# EDGAR Filing Document

**Accession Number:** 0001496998
**File Stem:** 0001193125-25-251551
**Filing Date:** 2025-10
**Character Count:** 499425
**Document Hash:** f07d6a667e3f4b291a9e2e049870f771
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001193125-25-251551.hdr.sgml**: 20251027

**ACCESSION NUMBER**: 0001193125-25-251551

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250831

**FILED AS OF DATE**: 20251027

**DATE AS OF CHANGE**: 20251027

**PERIOD START**: 20250831

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** AMERICAN FUNDS MORTGAGE FUND
- **CENTRAL INDEX KEY:** 0001496998

**ORGANIZATION NAME:**
- **EIN:** 273101898
- **FISCAL YEAR END:** 0831

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-22449
- **FILM NUMBER:** 251419838

**BUSINESS ADDRESS:**
- **STREET 1:** 6455 IRVINE CENTER DRIVE
- **CITY:** IRVINE
- **STATE:** CA
- **ZIP:** 92618
- **BUSINESS PHONE:** 213-486-9501

**MAIL ADDRESS:**
- **STREET 1:** 333 S HOPE ST - 55TH FLOOR
- **CITY:** LOS ANGELES
- **STATE:** CA
- **ZIP:** 90071

## Series and Classes Contracts Data

### AMERICAN FUNDS MORTGAGE FUND (Series ID: S000030190)

| Class ID   | Class Name    | Ticker Symbol   |
|:---|:---|:---|
| C000092896 | Class A       | MFAAX           |
| C000092897 | Class 529-F-1 | CMFFX           |
| C000092898 | Class R-1     | RMAAX           |
| C000092899 | Class R-2     | RMABX           |
| C000092900 | Class R-3     | RMACX           |
| C000092901 | Class R-4     | RMAEX           |
| C000092902 | Class R-5     | RMAFX           |
| C000092903 | Class R-6     | RMAGX           |
| C000092905 | Class C       | MFACX           |
| C000092906 | Class F-1     | MFAEX           |
| C000092907 | Class F-2     | MFAFX           |
| C000092908 | Class 529-A   | CMFAX           |
| C000092910 | Class 529-C   | CMFCX           |
| C000092911 | Class 529-E   | CMFEX           |
| C000148445 | Class R-2E    | RMBEX           |
| C000164806 | Class R-5E    | RMAHX           |
| C000180009 | Class F-3     | AFFMX           |
| C000189492 | Class 529-T   | TMFMX           |
| C000189493 | Class T       | TFMFX           |
| C000224553 | Class 529-F-2 | FFMFX           |
| C000224554 | Class 529-F-3 | FMMFX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** American Funds Mortgage Fund

- **b. Investment Company Act file number:** 811-22449

- **c. CIK number of Registrant:** 0001496998

- **d. LEI of Registrant:** C5033DWGZLEAE8CW5708

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

  - **Street Address 1:** 6455 Irvine Center Drive

  - **City:** Irvine

  - **State:** CA

  - **Foreign country:** US

  - **Zip / Postal Code:** 92618-4518

  - **Telephone number:** 9499755000

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

- **a. Name of Series:** American Funds Mortgage Fund

- **b. EDGAR series identifier (if any):** S000030190

- **c. LEI of Series:** C5033DWGZLEAE8CW5708

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

- **a. Date of fiscal year-end:** 2025-08-31

- **b. Date as of which information is reported:** 2025-08-31

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $14323269604.11

**Total Liabilities:** $2445748122.33

**Net Assets:** $11877521481.78

**Cash Not Reported:** $9725165.26

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -1680.045257000000 | **1-Year:** -21925.767960000000 | **5-Year:** -21678.135310000000 | **10-Year:** -5249.377870000000 | **30-Year:** -1056.008835000000

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

- **3-Month:** -680.991654400000 | **1-Year:** -9842.456723000000 | **5-Year:** -27470.274890000000 | **10-Year:** -5849.880723000000 | **30-Year:** -314.565400000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000092896 | 1.74%                | -0.65%               | 1.85%                |
| Class ID C000092897 | 1.76%                | -0.63%               | 1.87%                |
| Class ID C000092898 | 1.70%                | -0.72%               | 1.80%                |
| Class ID C000092899 | 1.70%                | -0.61%               | 1.69%                |
| Class ID C000092900 | 1.72%                | -0.68%               | 1.83%                |
| Class ID C000092901 | 1.74%                | -0.53%               | 1.74%                |
| Class ID C000092902 | 1.77%                | -0.51%               | 1.76%                |
| Class ID C000092903 | 1.77%                | -0.62%               | 1.88%                |
| Class ID C000092905 | 1.69%                | -0.61%               | 1.68%                |
| Class ID C000092906 | 1.74%                | -0.65%               | 1.85%                |
| Class ID C000092907 | 1.76%                | -0.51%               | 1.76%                |
| Class ID C000092908 | 1.74%                | -0.54%               | 1.85%                |
| Class ID C000092910 | 1.69%                | -0.62%               | 1.68%                |
| Class ID C000092911 | 1.72%                | -0.56%               | 1.71%                |
| Class ID C000148445 | 1.72%                | -0.68%               | 1.82%                |
| Class ID C000164806 | 1.76%                | -0.63%               | 1.87%                |
| Class ID C000180009 | 1.77%                | -0.50%               | 1.77%                |
| Class ID C000189492 | 1.75%                | -0.52%               | 1.87%                |
| Class ID C000189493 | 1.76%                | -0.52%               | 1.87%                |
| Class ID C000224553 | 1.76%                | -0.52%               | 1.75%                |
| Class ID C000224554 | 1.77%                | -0.51%               | 1.76%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $3968224.35              | $115457468.85                              |
| Month 2  | $8595117.90              | $-74923629.21                              |
| Month 3  | $8373543.88              | $97388406.30                               |

**Designated Index Information**

- **Index Name:** Bloomberg U.S. Mortgage Backed Securities Index

- **Index Identifier:** LUMSTRUU

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 3.0 SD7553 03-01-52                  | CUSIP: 3132DVMA0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   6291467 | PA      | $5543788.94   | 0.05%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCT UMBS 2.0 RB5138 12-01-41                  | CUSIP: 3133KYV71<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  23387305 | PA      | $20109153.03  | 0.17%             | 2041-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCT UMBS 2.0 QK1181 11-01-41                  | CUSIP: 3133D4J20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1793291 | PA      | $1541934.23   | 0.01%             | 2041-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.0 FM7411 05-01-51                  | CUSIP: 3140XBGV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    993864 | PA      | $790272.22    | 0.01%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.0 MA4547 02-01-52                  | CUSIP: 31418EBR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2057978 | PA      | $1639689.78   | 0.01%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.0 MA4305 04-01-51                  | CUSIP: 31418DYB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     40970 | PA      | $32823.77     | 0.00%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GCAR 2024-3A                                                | GCAR 2024-3A A3 144A 5.02% 04-17-28            | CUSIP: 37989AAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2085000 | PA      | $2091982.67   | 0.02%             | 2028-04-17      | Fixed         | 5.02%                 | Yes           |                  2 | On Loan: No      |
| GCAR 2024-4A                                                | GCAR 2024-4A A2 144A 4.76% 10-15-27            | CUSIP: 36270YAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1092092 | PA      | $1092709.10   | 0.01%             | 2027-10-15      | Fixed         | 4.76%                 | Yes           |                  2 | On Loan: No      |
| NELNET STUDENT LOAN TRUST NSLT_21-A                         | NSLT 2021-A APT1 144A 1.36% 04-20-62           | CUSIP: 64035DAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4811123 | PA      | $4539178.80   | 0.04%             | 2062-04-20      | Fixed         | 1.36%                 | Yes           |                  2 | On Loan: No      |
| NAVIENT PRIVATE EDUCATION LOAN TRUST NAVSL_21-C             | NAVSL 2021-CA A 144A 1.06% 10-15-69            | CUSIP: 63942JAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2905406 | PA      | $2657075.48   | 0.02%             | 2069-10-15      | Fixed         | 1.06%                 | Yes           |                  2 | On Loan: No      |
| NELNET STUDENT LOAN TRUST NSLT_21-B                         | NSLT 2021-BA AFX 144A 1.42% 04-20-62           | CUSIP: 64034QAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  13215290 | PA      | $12481907.48  | 0.11%             | 2062-04-20      | Fixed         | 1.42%                 | Yes           |                  2 | On Loan: No      |
| NELNET STUDENT LOAN TRUST NSLT_21-C                         | NSLT 2021-CA AFX 144A 1.32% 04-20-62           | CUSIP: 64035GAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3803045 | PA      | $3560539.58   | 0.03%             | 2062-04-20      | Fixed         | 1.32%                 | Yes           |                  2 | On Loan: No      |
| NELNET STUDENT LOAN TRUST NSLT_21-C                         | NSLT 2021-CA AFL 144A FRN 04-20-62             | CUSIP: 64035GAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6914626 | PA      | $6900430.67   | 0.06%             | 2062-04-20      | Variable      | 5.19%                 | Yes           |                  2 | On Loan: No      |
| NAVIENT STUDENT LOAN TRUST NAVSL_21-A                       | NAVSL 2021-A A 144A 0.84% 05-15-69             | CUSIP: 63942BAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1580530 | PA      | $1444403.99   | 0.01%             | 2069-05-15      | Fixed         | 0.84%                 | Yes           |                  2 | On Loan: No      |
| SANTANDER DRIVE AUTO RECEIVABLES TRUST SDART_22-4           | SDART 2022-4 B 4.42% 11-15-27                  | CUSIP: 80286FAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    197531 | PA      | $197521.64    | 0.00%             | 2027-11-15      | Fixed         | 4.42%                 | No            |                  2 | On Loan: No      |
| SDART 2023-1                                                | SDART 2023-1 B 4.98% 02-15-28                  | CUSIP: 80287GAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     86948 | PA      | $86967.29     | 0.00%             | 2028-02-15      | Fixed         | 4.98%                 | No            |                  2 | On Loan: No      |
| SYNCHRONY CARD ISSUANCE TRUST SYNIT_23-A1                   | SYNIT 2023-A1 A 5.54% 07-15-29                 | CUSIP: 87166PAK7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7488000 | PA      | $7574007.17   | 0.06%             | 2029-07-15      | Fixed         | 5.54%                 | No            |                  2 | On Loan: No      |
| SDART 2023-4                                                | SDART 2023-4 A3 5.73% 04-17-28                 | CUSIP: 802927AD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    355793 | PA      | $356867.11    | 0.00%             | 2028-04-17      | Fixed         | 5.73%                 | No            |                  2 | On Loan: No      |
| SDART 2024-4                                                | SDART 2024-4 A2 5.41% 07-15-27                 | CUSIP: 802919AB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    550544 | PA      | $550872.35    | 0.00%             | 2027-07-15      | Fixed         | 5.41%                 | No            |                  2 | On Loan: No      |
| SDART 2024-5                                                | SDART 2024-5 A2 4.88% 09-15-27                 | CUSIP: 802920AC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1192971 | PA      | $1193619.24   | 0.01%             | 2027-09-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| CF HIPPOLYTA ISSUER LLC SORT_20-1                           | SORT 2020-1 A1 144A 1.69% 07-15-60             | CUSIP: 12530MAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5016288 | PA      | $4369602.87   | 0.04%             | 2060-07-15      | Fixed         | 1.69%                 | Yes           |                  2 | On Loan: No      |
| CF HIPPOLYTA ISSUER LLC SORT_20-1                           | SORT 2020-1 A2 144A 1.99% 07-15-60             | CUSIP: 12530MAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2218048 | PA      | $1898906.10   | 0.02%             | 2060-07-15      | Fixed         | 1.99%                 | Yes           |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST SMB_21-A                   | SMB 2021-A APT2 144A 1.07% 01-15-53            | CUSIP: 78448YAJ0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1089055 | PA      | $993406.30    | 0.01%             | 2053-01-15      | Fixed         | 1.07%                 | Yes           |                  2 | On Loan: No      |
| CF HIPPOLYTA ISSUER LLC SORT_21-1                           | SORT 2021-1A A1 144A 1.53% 03-15-61            | CUSIP: 12530MAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9482563 | PA      | $7970786.21   | 0.07%             | 2061-03-15      | Fixed         | 1.53%                 | Yes           |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST TPMT_15-3                         | TPMT 2015-3 M2 144A FRN 03-25-54               | CUSIP: 89172HAD9<br>LEI: 549300ZHISOOIT5VZP03 | Long             | ABS-CBDO         | CORP              | US        |    441934 | PA      | $440562.15    | 0.00%             | 2054-03-25      | Variable      | 4.00%                 | Yes           |                  2 | On Loan: No      |
| NEW ECONOMY ASSETS - PHASE I ISSUER LLC USRE_21-1           | USRE 2021-1 A1 144A 1.91% 10-20-61             | CUSIP: 643821AA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  12130000 | PA      | $10114733.93  | 0.09%             | 2061-10-20      | Fixed         | 1.91%                 | Yes           |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANKS                                     | FED HM LN BK BD 9/3/2025                       | CUSIP: 313385LF1<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGA              | US        | 100000000 | PA      | $99988340.00  | 0.84%             | 2025-09-03      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANKS                                     | FED HM LN BK BD 9/10/2025                      | CUSIP: 313385LN4<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGA              | US        |  50000000 | PA      | $49953775.00  | 0.42%             | 2025-09-10      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANKS                                     | FED HM LN BK BD 9/15/2025                      | CUSIP: 313385LT1<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGA              | US        |  40000000 | PA      | $39940196.00  | 0.34%             | 2025-09-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANKS                                     | FED HM LN BK BD 10/15/2025                     | CUSIP: 313385MZ6<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGA              | US        |  59000000 | PA      | $58705407.10  | 0.49%             | 2025-10-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANKS                                     | FED HM LN BK BD 9/2/2025                       | CUSIP: N/A<br>LEI: 2549001DPIFGXC1TOL40       | Long             | DBT              | USGA              | US        |  41000000 | PA      | $41000000.00  | 0.35%             | 2025-09-02      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANKS                                     | FED HM LN BK BD 9/25/2025                      | CUSIP: 313385MD5<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGA              | US        | 200000000 | PA      | $199460740.00 | 1.68%             | 2025-09-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANKS                                     | FED HM LN BK BD 10/8/2025                      | CUSIP: 313385MS2<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGA              | US        | 100000000 | PA      | $99577980.00  | 0.84%             | 2025-10-08      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANKS                                     | FED HM LN BK BD 10/2/2025                      | CUSIP: 313385ML7<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGA              | US        | 250000000 | PA      | $249116625.00 | 2.10%             | 2025-10-02      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANKS                                     | FED HM LN BK BD 10/31/2025                     | CUSIP: 313385NR3<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGA              | US        | 150000000 | PA      | $148987110.00 | 1.25%             | 2025-10-31      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANKS                                     | FED HM LN BK BD 12/4/2025                      | CUSIP: 313385QB5<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGA              | US        | 150000000 | PA      | $148422645.00 | 1.25%             | 2025-12-04      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANKS                                     | FED HM LN BK BD 9/26/2025                      | CUSIP: 313385ME3<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGA              | US        | 430000000 | PA      | $428790195.00 | 3.61%             | 2025-09-26      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                      | UNITED STATES TREASURY NOTE 1.375% 11-15-40    | CUSIP: 912810ST6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3168400 | PA      | $2019360.10   | 0.02%             | 2040-11-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                      | UNITED STATES TREASURY NOTE 1.875% 02-15-51    | CUSIP: 912810SU3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  11600000 | PA      | $6380907.12   | 0.05%             | 2051-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                      | UNITED STATES TREASURY NOTE 1.875% 02-15-41    | CUSIP: 912810SW9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  18332900 | PA      | $12603868.75  | 0.11%             | 2041-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                      | UNITED STATES TREASURY NOTE 0.875% 09-30-26    | CUSIP: 91282CCZ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    400000 | PA      | $387617.16    | 0.00%             | 2026-09-30      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                      | UNITED STATES TREASURY NOTE 1.75% 01-31-29     | CUSIP: 91282CDW8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10000000 | PA      | $9410547.00   | 0.08%             | 2029-01-31      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                      | UNITED STATES TREASURY NOTE 1.875% 02-15-32    | CUSIP: 91282CDY4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10000000 | PA      | $8861328.00   | 0.07%             | 2032-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                      | UNITED STATES TREASURY NOTE 3.25% 05-15-42     | CUSIP: 912810TH1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   8193400 | PA      | $6737150.97   | 0.06%             | 2042-05-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                      | UNITED STATES TREASURY NOTE 4.125% 07-31-28    | CUSIP: 91282CHQ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 118000000 | PA      | $119756170.40 | 1.01%             | 2028-07-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                      | UNITED STATES TREASURY NOTE 4.5% 03-31-26      | CUSIP: 91282CKH3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  20000000 | PA      | $20057812.00  | 0.17%             | 2026-03-31      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                      | UNITED STATES TREASURY NOTE 4.5% 05-31-29      | CUSIP: 91282CKT7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 136000000 | PA      | $140143756.80 | 1.18%             | 2029-05-31      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                      | UNITED STATES TREASURY NOTE 4.375% 07-31-26    | CUSIP: 91282CLB5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  37000000 | PA      | $37157538.60  | 0.31%             | 2026-07-31      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                      | UNITED STATES TREASURY NOTE 3.5% 09-30-26      | CUSIP: 91282CLP4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  44000000 | PA      | $43844451.20  | 0.37%             | 2026-09-30      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCT UMBS 4.0 AS7224 05-01-36                  | CUSIP: 3138WHA28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1013043 | PA      | $1001853.78   | 0.01%             | 2036-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCI UMBS 4.0 MA2630 05-01-36                  | CUSIP: 31418B4Q6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    197245 | PA      | $195592.30    | 0.00%             | 2036-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                      | FGTW 4.0 C91877 05-01-36                       | CUSIP: 3128P8CN9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    241154 | PA      | $239388.92    | 0.00%             | 2036-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCT UMBS 1.5 BR0986 05-01-41                  | CUSIP: 3140KYCY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  23355733 | PA      | $19435099.67  | 0.16%             | 2041-05-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCT UMBS 2.5 FM9117 10-01-41                  | CUSIP: 3140XDDX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   6917413 | PA      | $6141486.45   | 0.05%             | 2041-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 3.0 QC7626 09-01-51                  | CUSIP: 3133ASPK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  10307139 | PA      | $9015973.78   | 0.08%             | 2051-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.5 CA8044 12-01-50                  | CUSIP: 3140QF5E5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  26491525 | PA      | $22240853.56  | 0.19%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 3.0 SD2880 10-01-51                  | CUSIP: 3132DQFV3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  14128053 | PA      | $12354177.14  | 0.10%             | 2051-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.0 FS4628 10-01-51                  | CUSIP: 3140XLEA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   6801169 | PA      | $5949138.96   | 0.05%             | 2051-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 MA4980 04-01-53                  | CUSIP: 31418ERA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  19323205 | PA      | $19855443.09  | 0.17%             | 2053-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 MA5011 05-01-53                  | CUSIP: 31418ER93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  28882271 | PA      | $29680374.72  | 0.25%             | 2053-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 SD8325 05-01-53                  | CUSIP: 3132DWHA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  19547805 | PA      | $20057279.09  | 0.17%             | 2053-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 MA5040 06-01-53                  | CUSIP: 31418ES68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  56629392 | PA      | $58105323.44  | 0.49%             | 2053-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.0 MA5038 06-01-53                  | CUSIP: 31418ES43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  41029570 | PA      | $40660467.95  | 0.34%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 SD8332 06-01-53                  | CUSIP: 3132DWHH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  29645622 | PA      | $30411842.34  | 0.26%             | 2053-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.5 MA5039 06-01-53                  | CUSIP: 31418ES50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  40285260 | PA      | $40644120.73  | 0.34%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.5 CA7737 11-01-50                  | CUSIP: 3140QFS34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  37305532 | PA      | $31435245.70  | 0.26%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.5 CA8862 01-01-51                  | CUSIP: 3140QGZ42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  29558648 | PA      | $25015483.63  | 0.21%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.5 CB6491 06-01-53                  | CUSIP: 3140QSF97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   4666579 | PA      | $4880354.99   | 0.04%             | 2053-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.5 CB6468 06-01-53                  | CUSIP: 3140QSFJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1246662 | PA      | $1303009.08   | 0.01%             | 2053-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.5 CB6490 06-01-53                  | CUSIP: 3140QSF89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1704714 | PA      | $1773638.79   | 0.01%             | 2053-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 CB6486 06-01-53                  | CUSIP: 3140QSF48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   7723754 | PA      | $7933145.47   | 0.07%             | 2053-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 CB6465 06-01-53                  | CUSIP: 3140QSFF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   5674020 | PA      | $5852178.66   | 0.05%             | 2053-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.0 BV4246 03-01-52                  | CUSIP: 3140MHWG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     36682 | PA      | $29265.12     | 0.00%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.0 BU8930 04-01-52                  | CUSIP: 3140MA4Q4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3279209 | PA      | $2619566.75   | 0.02%             | 2052-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.0 QE3078 03-01-52                  | CUSIP: 3133BCM38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    598137 | PA      | $475609.03    | 0.00%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.0 QH8513 01-01-54                  | CUSIP: 3133CMN67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    324590 | PA      | $258491.38    | 0.00%             | 2054-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.0 BV4651 04-01-52                  | CUSIP: 3140MJEZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     32551 | PA      | $25940.46     | 0.00%             | 2052-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.0 BV4658 04-01-52                  | CUSIP: 3140MJE84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    183932 | PA      | $147031.77    | 0.00%             | 2052-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.0 BV9643 05-01-52                  | CUSIP: 3140MPWD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2066362 | PA      | $1646545.30   | 0.01%             | 2052-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.5 QJ5643 09-01-54                  | CUSIP: 3133CWHU9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   4429409 | PA      | $4604419.25   | 0.04%             | 2054-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.0 FM7751 05-01-51                  | CUSIP: 3140XBTH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1255218 | PA      | $998088.18    | 0.01%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.0 QC2537 06-01-51                  | CUSIP: 3133ALZA9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3013079 | PA      | $2395852.45   | 0.02%             | 2051-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 3.0 QD9587 04-01-52                  | CUSIP: 3133B7UL0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3728021 | PA      | $3235970.43   | 0.03%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.0 FM6556 03-01-51                  | CUSIP: 3140XAJA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    671468 | PA      | $533918.63    | 0.00%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.0 CB2095 11-01-51                  | CUSIP: 3140QMKH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   8885754 | PA      | $7706605.68   | 0.06%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.5 FS8786 07-01-54                  | CUSIP: 3140XQXQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2195150 | PA      | $2282782.52   | 0.02%             | 2054-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.0 FM6558 03-01-51                  | CUSIP: 3140XAJC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3989642 | PA      | $3172367.73   | 0.03%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.0 RA6771 02-01-52                  | CUSIP: 3133KNQY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  12225423 | PA      | $9721057.33   | 0.08%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.0 BU7233 01-01-52                  | CUSIP: 3140M9BB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    476719 | PA      | $379063.57    | 0.00%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.0 SD0934 04-01-51                  | CUSIP: 3132DNBB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    993857 | PA      | $791848.58    | 0.01%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.0 QB7148 12-01-50                  | CUSIP: 3133AD5H5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     38632 | PA      | $30795.52     | 0.00%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.0 QD5035 01-01-52                  | CUSIP: 3133B2SY6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2306469 | PA      | $1833991.05   | 0.02%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.0 BQ6858 12-01-51                  | CUSIP: 3140KSTQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2985979 | PA      | $2374303.97   | 0.02%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.0 QD4747 01-01-52                  | CUSIP: 3133B2HY8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   4281012 | PA      | $3404050.75   | 0.03%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.0 BR1283 01-01-51                  | CUSIP: 3140KYM92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1470322 | PA      | $1172214.01   | 0.01%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.0 FM8114 06-01-51                  | CUSIP: 3140XCAQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3251572 | PA      | $2585490.64   | 0.02%             | 2051-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.0 QB8132 01-01-51                  | CUSIP: 3133AFA92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3412440 | PA      | $2720622.56   | 0.02%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.0 QB6480 12-01-50                  | CUSIP: 3133ADFV3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1358550 | PA      | $1083101.29   | 0.01%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.0 CB2666 01-01-52                  | CUSIP: 3140QM6C3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   9906523 | PA      | $8604112.05   | 0.07%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.0 QD5262 01-01-52                  | CUSIP: 3133B2Z36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    234458 | PA      | $187448.82    | 0.00%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.0 CA8517 01-01-51                  | CUSIP: 3140QGPB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     48773 | PA      | $38869.11     | 0.00%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.0 BU9641 01-01-52                  | CUSIP: 3140MBWB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    850005 | PA      | $738516.21    | 0.01%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.5 QX8785 03-01-55                  | CUSIP: 31426FXP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    692422 | PA      | $718270.35    | 0.01%             | 2055-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.5 DB6592 06-01-54                  | CUSIP: 3140AGKE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     27036 | PA      | $28170.67     | 0.00%             | 2054-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.0 CB3247 04-01-52                  | CUSIP: 3140QNTD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    355297 | PA      | $308147.32    | 0.00%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.0 QD3751 01-01-52                  | CUSIP: 3133B1EY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    852449 | PA      | $677825.42    | 0.01%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.5 CB7746 12-01-53                  | CUSIP: 3140QTTC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     56507 | PA      | $58876.53     | 0.00%             | 2053-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.5 DA1133 10-01-53                  | CUSIP: 3140A1HK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1539967 | PA      | $1601136.38   | 0.01%             | 2053-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.5 QG1921 05-01-53                  | CUSIP: 3133C2D21<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    174169 | PA      | $182148.40    | 0.00%             | 2053-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.5 QG9115 08-01-53                  | CUSIP: 3133CADU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     77709 | PA      | $81025.53     | 0.00%             | 2053-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.0 BU0948 10-01-51                  | CUSIP: 3140M2BS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     13565 | PA      | $10786.31     | 0.00%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 3.0 SD6203 06-01-52                  | CUSIP: 3132DT3L2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   8442881 | PA      | $7329551.79   | 0.06%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.0 FS4815 05-01-52                  | CUSIP: 3140XLK56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    381325 | PA      | $330723.89    | 0.00%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.0 CA6987 09-01-50                  | CUSIP: 3140QEXR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2849176 | PA      | $2269758.73   | 0.02%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.0 RA5155 05-01-51                  | CUSIP: 3133KLWQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    245740 | PA      | $195400.54    | 0.00%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.0 FS2784 06-01-52                  | CUSIP: 3140XJCW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    147556 | PA      | $127974.36    | 0.00%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 FA0287 12-01-54                  | CUSIP: 3140W0J97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  54092841 | PA      | $55301328.85  | 0.47%             | 2054-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 SL1138 05-01-55                  | CUSIP: 31427NHQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1527393 | PA      | $1561432.13   | 0.01%             | 2055-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 SL1137 05-01-55                  | CUSIP: 31427NHP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1405227 | PA      | $1436873.06   | 0.01%             | 2055-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 RQ0028 07-01-55                  | CUSIP: 3142J6A60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        | 122555376 | PA      | $125264584.74 | 1.05%             | 2055-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.0 CB1186 07-01-51                  | CUSIP: 3140QLJ80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   9990314 | PA      | $7992640.45   | 0.07%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.0 MA4465 11-01-51                  | CUSIP: 31418D6B3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2784880 | PA      | $2226300.13   | 0.02%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.5 RA5286 05-01-51                  | CUSIP: 3133KL2T3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    226822 | PA      | $188710.97    | 0.00%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 MA5761 07-01-55                  | CUSIP: 31418FMK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3009180 | PA      | $3075701.12   | 0.03%             | 2055-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.0 SL0316 05-01-52                  | CUSIP: 31427MK67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  10137761 | PA      | $8094880.19   | 0.07%             | 2052-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.0 RA4352 01-01-51                  | CUSIP: 3133KKZR3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  24075063 | PA      | $19365282.20  | 0.16%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.0 SD8199 03-01-52                  | CUSIP: 3132DWDC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  30462508 | PA      | $24275511.38  | 0.20%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.0 SD8182 12-01-51                  | CUSIP: 3132DWCT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    800587 | PA      | $639763.82    | 0.01%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.0 SD8128 02-01-51                  | CUSIP: 3132DWA52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    141619 | PA      | $113535.01    | 0.00%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.0 SD8134 03-01-51                  | CUSIP: 3132DWBB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    235908 | PA      | $189027.22    | 0.00%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.0 SD8106 11-01-50                  | CUSIP: 3132DWAF0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  34687646 | PA      | $27837772.75  | 0.23%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 3.0 SD7544 07-01-51                  | CUSIP: 3132DVLZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  19787676 | PA      | $17566450.01  | 0.15%             | 2051-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                      | FGLMC 4.0 Q05343 11-01-41                      | CUSIP: 3132GLS88<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    224404 | PA      | $218773.76    | 0.00%             | 2041-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCT UMBS 1.5 RB5113 06-01-41                  | CUSIP: 3133KYVE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        | 113724403 | PA      | $94632918.71  | 0.80%             | 2041-06-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCT UMBS 2.5 RB5115 06-01-41                  | CUSIP: 3133KYVG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  22762239 | PA      | $20279629.79  | 0.17%             | 2041-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.5 CB0457 05-01-51                  | CUSIP: 3140QKQK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   4498524 | PA      | $3775494.35   | 0.03%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.5 RA5259 05-01-51                  | CUSIP: 3133KLZY6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   4375620 | PA      | $3672322.16   | 0.03%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.5 CA8828 02-01-51                  | CUSIP: 3140QGY27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  25066264 | PA      | $21181694.64  | 0.18%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.5 DB5480 06-01-54                  | CUSIP: 3140AFCS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     60059 | PA      | $62386.72     | 0.00%             | 2054-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.0 MA5443 08-01-54                  | CUSIP: 31418FBM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1933877 | PA      | $1908786.96   | 0.02%             | 2054-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.5 FS8619 07-01-54                  | CUSIP: 3140XQSH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  19814767 | PA      | $20688300.63  | 0.17%             | 2054-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 SD5949 07-01-54                  | CUSIP: 3132DTTE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   9106070 | PA      | $9326464.05   | 0.08%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.5 FS8607 07-01-54                  | CUSIP: 3140XQR58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  10678632 | PA      | $11149421.31  | 0.09%             | 2054-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.5 SD5905 07-01-54                  | CUSIP: 3132DTR28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   6551685 | PA      | $6840522.94   | 0.06%             | 2054-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.5 RJ1986 07-01-54                  | CUSIP: 3142GSF45<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  18429187 | PA      | $19147538.69  | 0.16%             | 2054-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.5 RJ0854 01-01-54                  | CUSIP: 3142GQ5Q1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    997163 | PA      | $1036957.50   | 0.01%             | 2054-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.5 RJ1725 06-01-54                  | CUSIP: 3142GR4K3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1557786 | PA      | $1631817.01   | 0.01%             | 2054-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 FS8591 07-01-54                  | CUSIP: 3140XQRM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   4801519 | PA      | $4953779.99   | 0.04%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 DC0299 08-01-54                  | CUSIP: 3140AMKM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2941434 | PA      | $3007242.49   | 0.03%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 DB7692 08-01-54                  | CUSIP: 3140AHRN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2848468 | PA      | $2916845.10   | 0.02%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 DC0296 08-01-54                  | CUSIP: 3140AMKJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    567412 | PA      | $583788.16    | 0.00%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 DB7687 08-01-54                  | CUSIP: 3140AHRH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    730997 | PA      | $753281.33    | 0.01%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 DB7039 07-01-54                  | CUSIP: 3140AGZD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1385858 | PA      | $1423223.47   | 0.01%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 DB7690 08-01-54                  | CUSIP: 3140AHRL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    608006 | PA      | $625553.59    | 0.01%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 QI3333 04-01-54                  | CUSIP: 3133W9V24<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    853109 | PA      | $876739.48    | 0.01%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 SD5692 05-01-54                  | CUSIP: 3132DTKD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1069891 | PA      | $1103698.63   | 0.01%             | 2054-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 FS8219 06-01-54                  | CUSIP: 3140XQDZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1698962 | PA      | $1752318.19   | 0.01%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 SD3432 07-01-53                  | CUSIP: 3132DQY59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1451133 | PA      | $1498696.37   | 0.01%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 SD5896 07-01-54                  | CUSIP: 3132DTRR3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1537731 | PA      | $1575920.34   | 0.01%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 FS8223 06-01-54                  | CUSIP: 3140XQD53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1868195 | PA      | $1913411.01   | 0.02%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.0 RJ2193 08-01-54                  | CUSIP: 3142GSNK0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3594984 | PA      | $3560224.47   | 0.03%             | 2054-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2SF 4.0 MB0202 02-20-55                       | CUSIP: 3618N5GL7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |         0 | PA      | $0.11         | 0.00%             | 2055-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2SF 4.0 MB0256 03-20-55                       | CUSIP: 3618N5JA8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |         0 | PA      | $0.03         | 0.00%             | 2055-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2MHD 3.25 AH5907 85K MAX 04-20-35             | CUSIP: 36182NR47<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    660528 | PA      | $635833.19    | 0.01%             | 2035-04-20      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.5 RJ2206 08-01-54                  | CUSIP: 3142GSNY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3825957 | PA      | $3857827.71   | 0.03%             | 2054-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 RJ2210 08-01-54                  | CUSIP: 3142GSN46<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  23903425 | PA      | $24501513.10  | 0.21%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.5 RJ2247 08-01-54                  | CUSIP: 3142GSP93<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   9053808 | PA      | $9456630.08   | 0.08%             | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.0 RJ2241 08-01-54                  | CUSIP: 3142GSP36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2499343 | PA      | $2474727.05   | 0.02%             | 2054-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.0 RJ2195 08-01-54                  | CUSIP: 3142GSNM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2302672 | PA      | $2275010.00   | 0.02%             | 2054-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.5 RJ2200 08-01-54                  | CUSIP: 3142GSNS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   6043752 | PA      | $6092935.73   | 0.05%             | 2054-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.5 RJ2243 08-01-54                  | CUSIP: 3142GSP51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3468476 | PA      | $3499376.33   | 0.03%             | 2054-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.5 RJ2203 08-01-54                  | CUSIP: 3142GSNV6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    635190 | PA      | $641437.95    | 0.01%             | 2054-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 RJ2216 08-01-54                  | CUSIP: 3142GSPA0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  13277065 | PA      | $13598409.52  | 0.11%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.5 RJ2228 08-01-54                  | CUSIP: 3142GSPN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   5191391 | PA      | $5397255.15   | 0.05%             | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.5 RJ2222 08-01-54                  | CUSIP: 3142GSPG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  23249505 | PA      | $24274529.68  | 0.20%             | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.5 CB9071 08-01-54                  | CUSIP: 3140QVCH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  14930452 | PA      | $15609399.57  | 0.13%             | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 RJ2212 08-01-54                  | CUSIP: 3142GSN61<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   4722829 | PA      | $4872594.29   | 0.04%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.0 CB8977 08-01-54                  | CUSIP: 3140QU6P6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    248035 | PA      | $245270.45    | 0.00%             | 2054-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.5 SD4693 01-01-54                  | CUSIP: 3132DSGA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   4815802 | PA      | $5012147.21   | 0.04%             | 2054-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 SD6045 08-01-54                  | CUSIP: 3132DTWE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   4062503 | PA      | $4191328.88   | 0.04%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 DB5214 07-01-54                  | CUSIP: 3140AEYL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2893226 | PA      | $2966864.59   | 0.02%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 SD8439 06-01-54                  | CUSIP: 3132DWLU5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     36025 | PA      | $36830.06     | 0.00%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.5 CB3353 04-01-52                  | CUSIP: 3140QNWP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     90297 | PA      | $75063.68     | 0.00%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.5 CB2092 11-01-51                  | CUSIP: 3140QMKE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  14899815 | PA      | $12386156.71  | 0.10%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 3.5 QH8426 01-01-54                  | CUSIP: 3133CMLF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    353048 | PA      | $319256.48    | 0.00%             | 2054-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 4.0 SD8392 12-01-53                  | CUSIP: 3132DWKD4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   5379140 | PA      | $5024740.34   | 0.04%             | 2053-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 4.0 CB4958 10-01-52                  | CUSIP: 3140QQQL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    434294 | PA      | $405881.28    | 0.00%             | 2052-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.5 CB2400 12-01-51                  | CUSIP: 3140QMU28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    880060 | PA      | $731590.47    | 0.01%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.0 BV7784 06-01-52                  | CUSIP: 3140MMUJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    139827 | PA      | $111183.87    | 0.00%             | 2052-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.0 CB2801 02-01-52                  | CUSIP: 3140QNDF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    209141 | PA      | $167182.62    | 0.00%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.0 BU7817 12-01-51                  | CUSIP: 3140M9VK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2308995 | PA      | $1835999.59   | 0.02%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.0 CB2361 12-01-51                  | CUSIP: 3140QMTT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  14220126 | PA      | $11307147.17  | 0.10%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.0 QD0877 11-01-51                  | CUSIP: 3133AW6N9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1668950 | PA      | $1327067.15   | 0.01%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.0 CB3095 03-01-52                  | CUSIP: 3140QNNM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2028671 | PA      | $1613099.81   | 0.01%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.0 FS0394 11-01-51                  | CUSIP: 3140XFNL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2052255 | PA      | $1636915.60   | 0.01%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.0 BU0968 11-01-51                  | CUSIP: 3140M2CE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    991297 | PA      | $788230.45    | 0.01%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 MA5587 01-01-55                  | CUSIP: 31418FF51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  22698132 | PA      | $23207318.97  | 0.20%             | 2055-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.0 RA6816 02-01-52                  | CUSIP: 3133KNSD6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    994634 | PA      | $790884.00    | 0.01%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 4.5 MA5612 02-01-55                  | CUSIP: 31418FGW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   4322146 | PA      | $4161604.05   | 0.04%             | 2055-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 4.5 RJ3264 02-01-55                  | CUSIP: 3142GTTW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  28351615 | PA      | $27298523.02  | 0.23%             | 2055-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 SD8507 02-01-55                  | CUSIP: 3132DWNY5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  13440032 | PA      | $13740644.78  | 0.12%             | 2055-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 3.0 SD8295 02-01-53                  | CUSIP: 3132DWGC1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3929087 | PA      | $3409512.25   | 0.03%             | 2053-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 SD8516 03-01-55                  | CUSIP: 3132DWN90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   5268885 | PA      | $5386596.77   | 0.05%             | 2055-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 4.0 MA5643 03-01-55                  | CUSIP: 31418FHV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  13471861 | PA      | $12579067.74  | 0.11%             | 2055-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 4.0 BU8948 04-01-52                  | CUSIP: 3140MA5J9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     38761 | PA      | $36261.63     | 0.00%             | 2052-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 SD8496 01-01-55                  | CUSIP: 3132DWNM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3947768 | PA      | $4035965.19   | 0.03%             | 2055-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 MA5615 02-01-55                  | CUSIP: 31418FGZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        | 137056345 | PA      | $140121884.45 | 1.18%             | 2055-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 MA5647 03-01-55                  | CUSIP: 31418FHZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  20877562 | PA      | $21339645.54  | 0.18%             | 2055-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.5 QX6697 02-01-55                  | CUSIP: 31426CNP5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    243422 | PA      | $252910.65    | 0.00%             | 2055-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.0 SD8491 12-01-54                  | CUSIP: 3132DWNG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  12308890 | PA      | $12149267.83  | 0.10%             | 2054-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 MA5674 04-01-55                  | CUSIP: 31418FJU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        | 106010017 | PA      | $108353474.69 | 0.91%             | 2055-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.0 RJ2664 10-01-54                  | CUSIP: 3142GS6A1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    106022 | PA      | $104753.91    | 0.00%             | 2054-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.0 RJ2836 11-01-54                  | CUSIP: 3142GTEJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     75321 | PA      | $74343.67     | 0.00%             | 2054-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 SD8525 04-01-55                  | CUSIP: 3132DWPJ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  26037903 | PA      | $26613496.81  | 0.22%             | 2055-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 DC7823 12-01-54                  | CUSIP: 3140AVVR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1718741 | PA      | $1757139.48   | 0.01%             | 2054-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 7.0 SD5619 06-01-54                  | CUSIP: 3132DTG46<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     20731 | PA      | $21814.43     | 0.00%             | 2054-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCT UMBS 7.0 MA5696 03-01-45                  | CUSIP: 31418FKJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   5851265 | PA      | $6169743.37   | 0.05%             | 2045-03-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCI UMBS 2.5 CB3701 05-01-37                  | CUSIP: 3140QPDF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     23486 | PA      | $22044.66     | 0.00%             | 2037-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCI UMBS 2.5 SB1388 01-01-38                  | CUSIP: 3132CXRH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    163891 | PA      | $153861.35    | 0.00%             | 2038-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCI UMBS 2.5 CB2247 11-01-36                  | CUSIP: 3140QMP99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2941416 | PA      | $2761551.63   | 0.02%             | 2036-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCI UMBS 2.5 MA4773 10-01-37                  | CUSIP: 31418EJT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    188500 | PA      | $176928.71    | 0.00%             | 2037-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCI UMBS 2.5 MA4665 07-01-37                  | CUSIP: 31418EFF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    688173 | PA      | $646138.89    | 0.01%             | 2037-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCI UMBS 2.5 QO0557 07-01-37                  | CUSIP: 3133WJTN9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2101406 | PA      | $1972404.78   | 0.02%             | 2037-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 4.0 CB4021 06-01-52                  | CUSIP: 3140QPPF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  10874823 | PA      | $10181509.19  | 0.09%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 4.0 CB3379 04-01-52                  | CUSIP: 3140QNXH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   5202463 | PA      | $4870779.67   | 0.04%             | 2052-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.5 FA0608 02-01-55                  | CUSIP: 3140W0VA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  74500930 | PA      | $74990326.98  | 0.63%             | 2055-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 FS8792 08-01-54                  | CUSIP: 3140XQXW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2891663 | PA      | $2956265.69   | 0.02%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.0 MA5699 05-01-55                  | CUSIP: 31418FKM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  28738645 | PA      | $28360702.85  | 0.24%             | 2055-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.0 SD8532 05-01-55                  | CUSIP: 3132DWPR8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  26263747 | PA      | $25916828.79  | 0.22%             | 2055-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2SF 2.5 MA7987 04-20-52                       | CUSIP: 36179W2U1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   3858845 | PA      | $3293211.91   | 0.03%             | 2052-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2SF 3.0 MA7988 04-20-52                       | CUSIP: 36179W2V9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   3612066 | PA      | $3202258.84   | 0.03%             | 2052-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2SF 4.0 MA8346 10-20-52                       | CUSIP: 36179XHX7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   7972128 | PA      | $7503900.58   | 0.06%             | 2052-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.5 FS9025 09-01-54                  | CUSIP: 3140XRA39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   8637732 | PA      | $8750583.97   | 0.07%             | 2054-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.0 MA5552 12-01-54                  | CUSIP: 31418FE29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        | 116305312 | PA      | $114796366.77 | 0.97%             | 2054-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 4.5 FS9507 02-01-54                  | CUSIP: 3140XRR56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  27228705 | PA      | $26269818.81  | 0.22%             | 2054-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.5 MA5531 11-01-54                  | CUSIP: 31418FED5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2700086 | PA      | $2717822.49   | 0.02%             | 2054-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.0 RJ3163 12-01-54                  | CUSIP: 3142GTQR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  24391556 | PA      | $24151933.85  | 0.20%             | 2054-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.5 CB9616 12-01-54                  | CUSIP: 3140QVVJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   7174726 | PA      | $7243086.81   | 0.06%             | 2054-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 4.0 MA5583 01-01-55                  | CUSIP: 31418FFZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    323654 | PA      | $302280.86    | 0.00%             | 2055-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.5 BU5234 12-01-54                  | CUSIP: 3140M6Y80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   4927328 | PA      | $4974270.89   | 0.04%             | 2054-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 QX0384 12-01-54                  | CUSIP: 31425UNA9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2102619 | PA      | $2157053.33   | 0.02%             | 2054-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.5 SD8469 10-01-54                  | CUSIP: 3132DWMS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  14298756 | PA      | $14393771.41  | 0.12%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.5 SD8494 01-01-55                  | CUSIP: 3132DWNK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3219544 | PA      | $3240693.31   | 0.03%             | 2055-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 4.0 CB3678 05-01-52                  | CUSIP: 3140QPCQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    238690 | PA      | $222927.72    | 0.00%             | 2052-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 4.0 DC2687 10-01-54                  | CUSIP: 3140AP6Z2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    400264 | PA      | $373800.14    | 0.00%             | 2054-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 4.0 FS3526 12-01-52                  | CUSIP: 3140XJ4L4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    182813 | PA      | $170924.80    | 0.00%             | 2052-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.5 DC1777 10-01-54                  | CUSIP: 3140AN6P9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2418969 | PA      | $2439027.35   | 0.02%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.5 DC1613 10-01-54                  | CUSIP: 3140ANYK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   4801950 | PA      | $4837316.67   | 0.04%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.5 SD8475 11-01-54                  | CUSIP: 3132DWMY6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  15648765 | PA      | $15751562.05  | 0.13%             | 2054-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.5 DC4451 10-01-54                  | CUSIP: 3140AR5M8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1769333 | PA      | $1787280.94   | 0.02%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.5 FS8788 08-01-54                  | CUSIP: 3140XQXS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   9344178 | PA      | $9741567.69   | 0.08%             | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                      | FGLMC 4.5 Z40273 10-01-48                      | CUSIP: 3132FCJS5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   4348993 | PA      | $4266736.34   | 0.04%             | 2048-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.5 CA9558 10-01-51                  | CUSIP: 3140QHTQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     58546 | PA      | $48753.32     | 0.00%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.5 QB9836 03-01-51                  | CUSIP: 3133AG4V8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    972315 | PA      | $814902.36    | 0.01%             | 2051-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 QY7743 07-01-55                  | CUSIP: 31426SS91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    471478 | PA      | $482100.90    | 0.00%             | 2055-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.5 RA9288 06-01-53                  | CUSIP: 3133KRJ96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    758347 | PA      | $797650.88    | 0.01%             | 2053-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.5 RA9289 06-01-53                  | CUSIP: 3133KRKA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    761645 | PA      | $799646.28    | 0.01%             | 2053-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.5 RA9290 06-01-53                  | CUSIP: 3133KRKB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    403936 | PA      | $423479.51    | 0.00%             | 2053-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 RA9281 06-01-53                  | CUSIP: 3133KRJ21<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2776880 | PA      | $2864073.88   | 0.02%             | 2053-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.5 RA9291 06-01-53                  | CUSIP: 3133KRKC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    252271 | PA      | $262400.66    | 0.00%             | 2053-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.5 RA9292 06-01-53                  | CUSIP: 3133KRKD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    806057 | PA      | $841750.64    | 0.01%             | 2053-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 RA9283 06-01-53                  | CUSIP: 3133KRJ47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   4029053 | PA      | $4134936.03   | 0.03%             | 2053-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.5 RA9294 06-01-53                  | CUSIP: 3133KRKF0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    905669 | PA      | $945772.89    | 0.01%             | 2053-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 RA9284 06-01-53                  | CUSIP: 3133KRJ54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2232570 | PA      | $2320577.40   | 0.02%             | 2053-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.5 RA9295 06-01-53                  | CUSIP: 3133KRKG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    221301 | PA      | $234722.43    | 0.00%             | 2053-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.5 SD8342 07-01-53                  | CUSIP: 3132DWHT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        | 130114755 | PA      | $131492149.65 | 1.11%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.5 SD8331 06-01-53                  | CUSIP: 3132DWHG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  36001725 | PA      | $36327972.84  | 0.31%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.5 MA5072 07-01-53                  | CUSIP: 31418ET67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  36636939 | PA      | $36957659.13  | 0.31%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                      | FGLMC 3.5 Q56590 06-01-48                      | CUSIP: 3132Y0KC3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    258939 | PA      | $239702.31    | 0.00%             | 2048-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.0 AE1248 06-01-41                  | CUSIP: 31419BL60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    104142 | PA      | $105866.02    | 0.00%             | 2041-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                      | FGLMC 3.5 Q56589 06-01-48                      | CUSIP: 3132Y0KB5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     72256 | PA      | $66917.84     | 0.00%             | 2048-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.5 CA4151 09-01-49                  | CUSIP: 3140QBTH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   4975049 | PA      | $4612542.33   | 0.04%             | 2049-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.5 SD8316 04-01-53                  | CUSIP: 3132DWGZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   7117350 | PA      | $7190089.26   | 0.06%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 4.5 QF2363 11-01-52                  | CUSIP: 3133BPTU2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  35626472 | PA      | $34358596.68  | 0.29%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                      | FGLMC 4.0 Q15874 02-01-43                      | CUSIP: 3132J66L3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     18860 | PA      | $18131.87     | 0.00%             | 2043-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.5 BE5017 02-01-45                  | CUSIP: 3140FQSF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    586829 | PA      | $547163.91    | 0.00%             | 2045-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                      | FGLMC 4.5 Q58378 09-01-48                      | CUSIP: 3132Y2JY3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    297092 | PA      | $290640.76    | 0.00%             | 2048-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.5 AY1829 12-01-44                  | CUSIP: 3138YFA79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     51733 | PA      | $48561.97     | 0.00%             | 2044-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.5 AT0412 03-01-43                  | CUSIP: 3138WMN64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     55327 | PA      | $51748.45     | 0.00%             | 2043-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                      | FGLMC 3.5 Q51622 10-01-47                      | CUSIP: 3132XTYU6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    471003 | PA      | $429309.05    | 0.00%             | 2047-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                      | FGLMC 3.5 Q47615 04-01-47                      | CUSIP: 3132WMN91<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    468370 | PA      | $427850.22    | 0.00%             | 2047-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.5 AT3954 04-01-43                  | CUSIP: 3138WRMC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     44289 | PA      | $41689.59     | 0.00%             | 2043-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.5 MA4979 04-01-53                  | CUSIP: 31418EQ94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  16115774 | PA      | $16284216.49  | 0.14%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 4.5 QE7537 08-01-52                  | CUSIP: 3133BHLS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   8690030 | PA      | $8391970.38   | 0.07%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                      | FGLMC 4.0 Q56599 06-01-48                      | CUSIP: 3132Y0KM1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    535886 | PA      | $511089.43    | 0.00%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                      | FGLMC 3.5 Q18236 05-01-43                      | CUSIP: 3132J9S25<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    324136 | PA      | $305425.51    | 0.00%             | 2043-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.5 BE8740 05-01-47                  | CUSIP: 3140FUWA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    499883 | PA      | $462370.08    | 0.00%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                      | FGLMC 3.5 Q54782 03-01-48                      | CUSIP: 3132XXJ42<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    219672 | PA      | $202476.27    | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.5 SD2948 11-01-52                  | CUSIP: 3132DQHZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  13125608 | PA      | $13261418.39  | 0.11%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.0 SD8341 07-01-53                  | CUSIP: 3132DWHS5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    320924 | PA      | $317744.54    | 0.00%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                      | FGLMC 4.5 Q57242 07-01-48                      | CUSIP: 3132Y1BL1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     84428 | PA      | $82737.32     | 0.00%             | 2048-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                      | FGLMC 4.5 Q58411 09-01-48                      | CUSIP: 3132Y2KZ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    939967 | PA      | $923516.13    | 0.01%             | 2048-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 3.0 RA3384 08-01-50                  | CUSIP: 3133KJXM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    466195 | PA      | $408304.44    | 0.00%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.0 CA7052 09-01-50                  | CUSIP: 3140QEZS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    465180 | PA      | $407560.51    | 0.00%             | 2050-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                      | FGLMC 4.0 Q55970 05-01-48                      | CUSIP: 3132XYT49<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    162876 | PA      | $154610.19    | 0.00%             | 2048-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                      | FGLMC 3.5 Q17696 04-01-43                      | CUSIP: 3132J87J3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    123753 | PA      | $116584.02    | 0.00%             | 2043-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.5 BW1243 10-01-52                  | CUSIP: 3140MSLZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2777512 | PA      | $2808250.50   | 0.02%             | 2052-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.0 FS4563 05-01-53                  | CUSIP: 3140XLB98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   4149801 | PA      | $4125711.14   | 0.03%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 4.0 AJ1873 10-01-41                  | CUSIP: 3138ATCK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    119271 | PA      | $116247.04    | 0.00%             | 2041-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                      | FGLMC 3.5 Q55060 04-01-48                      | CUSIP: 3132XXTS8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     55137 | PA      | $50652.51     | 0.00%             | 2048-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.5 BY0849 05-01-53                  | CUSIP: 3140NG5K2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     24628 | PA      | $24952.05     | 0.00%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.5 BX4108 02-01-53                  | CUSIP: 3140N8R67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    734057 | PA      | $740619.02    | 0.01%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                      | FGLMC 3.5 Q54698 03-01-48                      | CUSIP: 3132XXGG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     61706 | PA      | $56718.13     | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.5 QF8686 02-01-53                  | CUSIP: 3133BWUK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    384543 | PA      | $389838.37    | 0.00%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.0 FS9189 05-01-52                  | CUSIP: 3140XRF75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   4605524 | PA      | $3681904.42   | 0.03%             | 2052-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.5 BU5049 10-01-54                  | CUSIP: 3140M6TF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   4620258 | PA      | $4849131.43   | 0.04%             | 2054-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.0 FS3056 10-01-52                  | CUSIP: 3140XJME0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   4617641 | PA      | $3679835.19   | 0.03%             | 2052-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.5 BP5576 06-01-50                  | CUSIP: 3140KDFS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    384918 | PA      | $320543.95    | 0.00%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 MA5498 10-01-54                  | CUSIP: 31418FDC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   6320869 | PA      | $6462961.92   | 0.05%             | 2054-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.5 FP0015 09-01-50                  | CUSIP: 3140XTAR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      4572 | PA      | $3806.25      | 0.00%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.5 FS7879 07-01-52                  | CUSIP: 3140XPXH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        | 103010579 | PA      | $85677812.65  | 0.72%             | 2052-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 SD8463 09-01-54                  | CUSIP: 3132DWML4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1618910 | PA      | $1655790.85   | 0.01%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.5 FM6128 02-01-51                  | CUSIP: 3140X9Y25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    423439 | PA      | $352101.11    | 0.00%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.5 FS2660 02-01-52                  | CUSIP: 3140XH5W3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     90513 | PA      | $75310.79     | 0.00%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.5 FP0034 10-01-50                  | CUSIP: 3140XTBC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    101034 | PA      | $84108.58     | 0.00%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.5 BR8460 04-01-51                  | CUSIP: 3140L7MJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    355963 | PA      | $295910.93    | 0.00%             | 2051-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.5 FS6479 01-01-52                  | CUSIP: 3140XNFV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    171962 | PA      | $143153.51    | 0.00%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.5 QD3619 12-01-51                  | CUSIP: 3133B1AU5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3433522 | PA      | $2854314.65   | 0.02%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.5 SD3632 07-01-52                  | CUSIP: 3132E0A93<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     96285 | PA      | $80241.78     | 0.00%             | 2052-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.5 FS5387 05-01-52                  | CUSIP: 3140XL6Z6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    172940 | PA      | $143764.10    | 0.00%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.5 CB2644 01-01-52                  | CUSIP: 3140QM5E0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2286994 | PA      | $1901169.35   | 0.02%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.5 SD8462 09-01-54                  | CUSIP: 3132DWMK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   9984202 | PA      | $10054780.52  | 0.08%             | 2054-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.5 SD2601 02-01-53                  | CUSIP: 3132DP3J5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    287599 | PA      | $239943.44    | 0.00%             | 2053-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.5 SD2629 01-01-52                  | CUSIP: 3132DP4N5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    725785 | PA      | $604236.22    | 0.01%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.5 SD6531 09-01-54                  | CUSIP: 3132DUHG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2861918 | PA      | $2993729.74   | 0.03%             | 2054-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.5 BU5165 11-01-54                  | CUSIP: 3140M6W33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   6053786 | PA      | $6112084.38   | 0.05%             | 2054-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 BU5166 10-01-54                  | CUSIP: 3140M6W41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   7755889 | PA      | $7958069.24   | 0.07%             | 2054-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.0 MA5530 11-01-54                  | CUSIP: 31418FEC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        | 122049172 | PA      | $120465706.09 | 1.01%             | 2054-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 CB9432 11-01-54                  | CUSIP: 3140QVPS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  19060454 | PA      | $19587742.82  | 0.16%             | 2054-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 4.5 RJ2851 11-01-54                  | CUSIP: 3142GTEZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   4750715 | PA      | $4574629.72   | 0.04%             | 2054-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.0 RJ2860 11-01-54                  | CUSIP: 3142GTFA9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  14370118 | PA      | $14183680.50  | 0.12%             | 2054-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.5 RJ2917 11-01-54                  | CUSIP: 3142GTG34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  21774715 | PA      | $21929184.41  | 0.18%             | 2054-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 RJ2922 11-01-54                  | CUSIP: 3142GTG83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1523844 | PA      | $1558159.71   | 0.01%             | 2054-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.5 SD8493 12-01-54                  | CUSIP: 3132DWNJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    296602 | PA      | $298550.75    | 0.00%             | 2054-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 SD8432 05-01-54                  | CUSIP: 3132DWLM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    300794 | PA      | $307520.65    | 0.00%             | 2054-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FARM 2024-2                                                 | FARM 2024-2 A1 144A FRN 08-01-54               | CUSIP: 307910AA7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   8359625 | PA      | $8366321.21   | 0.07%             | 2054-08-01      | Variable      | 5.19%                 | Yes           |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.5 FM4591 10-01-50                  | CUSIP: 3140X8C54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  15412951 | PA      | $12830110.53  | 0.11%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 4.0 FS6793 06-01-53                  | CUSIP: 3140XNRP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3033362 | PA      | $2833220.99   | 0.02%             | 2053-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 4.0 CB6012 04-01-53                  | CUSIP: 3140QRVE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   6235200 | PA      | $5823795.04   | 0.05%             | 2053-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.5 CB0844 06-01-51                  | CUSIP: 3140QK5E4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    783241 | PA      | $651105.04    | 0.01%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 4.0 CB6985 05-01-53                  | CUSIP: 3140QSXP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2951476 | PA      | $2760441.77   | 0.02%             | 2053-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 4.0 FS7990 02-01-54                  | CUSIP: 3140XP2Y4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   6834837 | PA      | $6383594.02   | 0.05%             | 2054-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 4.0 RA8666 03-01-53                  | CUSIP: 3133KQTX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2885985 | PA      | $2698985.13   | 0.02%             | 2053-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.5 CB7242 10-01-53                  | CUSIP: 3140QTBL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3622280 | PA      | $3774926.18   | 0.03%             | 2053-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.0 RJ3017 12-01-54                  | CUSIP: 3142GTK70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  13549663 | PA      | $13384086.22  | 0.11%             | 2054-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.0 RJ3012 12-01-54                  | CUSIP: 3142GTK21<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  28434491 | PA      | $28159586.63  | 0.24%             | 2054-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.5 SD6911 10-01-54                  | CUSIP: 3132DUVC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  49581587 | PA      | $51879792.98  | 0.44%             | 2054-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 DC1075 08-01-54                  | CUSIP: 3140ANFR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    292908 | PA      | $299690.52    | 0.00%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.5 SD0571 04-01-51                  | CUSIP: 3132DMT47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1006433 | PA      | $836643.43    | 0.01%             | 2051-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 3.5 QE1079 04-01-52                  | CUSIP: 3133BAFU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     29342 | PA      | $26533.39     | 0.00%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.5 BV4519 03-01-52                  | CUSIP: 3140MJAV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     31413 | PA      | $28486.42     | 0.00%             | 2052-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 3.5 SD8359 08-01-53                  | CUSIP: 3132DWJC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    940299 | PA      | $850523.09    | 0.01%             | 2053-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 3.5 SL0012 07-01-52                  | CUSIP: 31427MAN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     28618 | PA      | $25883.78     | 0.00%             | 2052-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.5 MA5131 07-01-53                  | CUSIP: 31418EVZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    484500 | PA      | $438319.27    | 0.00%             | 2053-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 QY7483 07-01-55                  | CUSIP: 31426SJ59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1635054 | PA      | $1671198.13   | 0.01%             | 2055-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 QY3404 05-01-55                  | CUSIP: 31426MYA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    405993 | PA      | $415166.02    | 0.00%             | 2055-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 FA1162 04-01-55                  | CUSIP: 3140W1JG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    317208 | PA      | $324277.70    | 0.00%             | 2055-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 DD4459 04-01-55                  | CUSIP: 3140B45V8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    301495 | PA      | $308195.40    | 0.00%             | 2055-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 3.5 QE0777 04-01-52                  | CUSIP: 3133B92J2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   6422267 | PA      | $5807572.57   | 0.05%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 3.5 QE5610 06-01-52                  | CUSIP: 3133BFGT1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    361153 | PA      | $326945.64    | 0.00%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.5 FS6039 08-01-52                  | CUSIP: 3140XMV94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    398619 | PA      | $360465.80    | 0.00%             | 2052-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.5 FS6598 08-01-52                  | CUSIP: 3140XNKL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    401930 | PA      | $363746.88    | 0.00%             | 2052-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.5 BV0272 02-01-52                  | CUSIP: 3140MDJS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     99244 | PA      | $89978.08     | 0.00%             | 2052-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 DD9150 05-01-55                  | CUSIP: 3140BAEY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    472397 | PA      | $483070.36    | 0.00%             | 2055-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 QX1463 12-01-54                  | CUSIP: 31425VTV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   5993153 | PA      | $6128646.34   | 0.05%             | 2054-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.0 MA4750 07-01-52                  | CUSIP: 31418EH45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    725597 | PA      | $578806.65    | 0.00%             | 2052-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.0 QC9779 09-01-51                  | CUSIP: 3133AU2L1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2625951 | PA      | $2088027.49   | 0.02%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.0 BT2353 05-01-52                  | CUSIP: 3140LQTK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2483133 | PA      | $1974465.76   | 0.02%             | 2052-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.0 SD1406 08-01-52                  | CUSIP: 3132DNR39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3013721 | PA      | $2402875.68   | 0.02%             | 2052-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.0 FM7943 07-01-51                  | CUSIP: 3140XBZH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    460410 | PA      | $366095.38    | 0.00%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.5 RQ0013 06-01-55                  | CUSIP: 3142J6AP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  20457234 | PA      | $20586830.85  | 0.17%             | 2055-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 MA5701 05-01-55                  | CUSIP: 31418FKP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  57371886 | PA      | $58640149.39  | 0.49%             | 2055-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.0 MA5734 06-01-55                  | CUSIP: 31418FLQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  14571448 | PA      | $14378974.03  | 0.12%             | 2055-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.0 RQ0012 06-01-55                  | CUSIP: 3142J6AN3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  15475403 | PA      | $15270988.46  | 0.13%             | 2055-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.0 SL1094 04-01-55                  | CUSIP: 31427NGC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  12384203 | PA      | $12220620.30  | 0.10%             | 2055-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 SL0797 02-01-55                  | CUSIP: 31427M3F6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   6122291 | PA      | $6296096.22   | 0.05%             | 2055-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 4.0 RQ0010 06-01-55                  | CUSIP: 3142J6AL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1077786 | PA      | $1006360.46   | 0.01%             | 2055-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.0 QI8825 07-01-54                  | CUSIP: 3133WFYW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    971069 | PA      | $959529.00    | 0.01%             | 2054-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.0 SD8452 08-01-54                  | CUSIP: 3132DWL92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     31429 | PA      | $31020.85     | 0.00%             | 2054-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 4.0 MB0309 05-01-55                  | CUSIP: 3138MTKX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  22348146 | PA      | $20867112.17  | 0.18%             | 2055-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.5 SD8533 05-01-55                  | CUSIP: 3132DWPS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  24076264 | PA      | $24228786.78  | 0.20%             | 2055-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 4.0 DD9323 04-01-55                  | CUSIP: 3140BALD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     77257 | PA      | $72137.26     | 0.00%             | 2055-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 4.0 CA5575 04-01-50                  | CUSIP: 3140QDFR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     19079 | PA      | $17949.02     | 0.00%             | 2050-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 4.0 QY0231 04-01-55                  | CUSIP: 31426JHH5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    656320 | PA      | $612824.91    | 0.01%             | 2055-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 QJ3296 08-01-54                  | CUSIP: 3133CTUV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    224164 | PA      | $229171.57    | 0.00%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 DC3459 09-01-54                  | CUSIP: 3140AQZZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    205797 | PA      | $210395.06    | 0.00%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 DC3262 09-01-54                  | CUSIP: 3140AQTU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    401219 | PA      | $410202.46    | 0.00%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 3.0 SL1562 10-01-53                  | CUSIP: 31427NWY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   8469556 | PA      | $7358832.78   | 0.06%             | 2053-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.5 CC0859 08-01-55                  | CUSIP: 3140Y65V8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   4811359 | PA      | $4880219.00   | 0.04%             | 2055-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 CC0879 08-01-55                  | CUSIP: 3140Y66R6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1385931 | PA      | $1429561.64   | 0.01%             | 2055-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.0 BT1267 06-01-51                  | CUSIP: 3140LPMR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     24292 | PA      | $21149.17     | 0.00%             | 2051-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 3.0 QE6790 06-01-52                  | CUSIP: 3133BGRK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    325569 | PA      | $282860.30    | 0.00%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.0 FM7071 04-01-51                  | CUSIP: 3140XA2D3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    952257 | PA      | $827380.30    | 0.01%             | 2051-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 3.0 QD5042 01-01-52                  | CUSIP: 3133B2S75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    952207 | PA      | $827032.33    | 0.01%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 3.0 QC7486 09-01-51                  | CUSIP: 3133ASJ79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    957611 | PA      | $830550.81    | 0.01%             | 2051-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 3.0 QE8299 06-01-52                  | CUSIP: 3133BJGG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     29476 | PA      | $25609.39     | 0.00%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.0 BV8135 04-01-52                  | CUSIP: 3140MNBD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     26360 | PA      | $22902.54     | 0.00%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.0 CB0535 05-01-51                  | CUSIP: 3140QKSZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     32103 | PA      | $27843.32     | 0.00%             | 2051-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 3.0 RA8517 01-01-53                  | CUSIP: 3133KQPA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     25860 | PA      | $22431.59     | 0.00%             | 2053-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.0 CB3516 05-01-52                  | CUSIP: 3140QN4A7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     31747 | PA      | $27595.20     | 0.00%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.0 BQ7487 04-01-52                  | CUSIP: 3140KTJ97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    972691 | PA      | $845211.40    | 0.01%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 3.0 QG7176 07-01-53                  | CUSIP: 3133C76M4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3222684 | PA      | $2795194.89   | 0.02%             | 2053-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 3.0 QA7102 02-01-50                  | CUSIP: 3133A13K6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    966046 | PA      | $839529.77    | 0.01%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.0 BP3259 05-01-50                  | CUSIP: 3140KATR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     17822 | PA      | $15488.09     | 0.00%             | 2050-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 3.0 QD6604 02-01-52                  | CUSIP: 3133B4KR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    964195 | PA      | $837746.88    | 0.01%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.0 FA1161 03-01-52                  | CUSIP: 3140W1JF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2782707 | PA      | $2413466.75   | 0.02%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.0 BV0273 01-01-52                  | CUSIP: 3140MDJT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2923689 | PA      | $2540229.60   | 0.02%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 3.0 QD5490 01-01-52                  | CUSIP: 3133B3C39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3000002 | PA      | $2606530.81   | 0.02%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.0 MA5130 07-01-53                  | CUSIP: 31418EVY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3755898 | PA      | $3257505.44   | 0.03%             | 2053-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 3.0 QD8978 03-01-52                  | CUSIP: 3133B66P0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3950956 | PA      | $3428679.35   | 0.03%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.0 BV9190 04-01-52                  | CUSIP: 3140MPF89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    619094 | PA      | $537888.08    | 0.00%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 3.0 QD2481 12-01-51                  | CUSIP: 3133AYXJ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3441016 | PA      | $2989713.22   | 0.03%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.0 BV7243 05-01-52                  | CUSIP: 3140MMBM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3633558 | PA      | $3157052.92   | 0.03%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.0 CB4357 08-01-52                  | CUSIP: 3140QPZX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1000001 | PA      | $867290.82    | 0.01%             | 2052-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.0 BV8865 06-01-52                  | CUSIP: 3140MNZ74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    214954 | PA      | $186569.92    | 0.00%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 3.0 QD2256 11-01-51                  | CUSIP: 3133AYQH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1000001 | PA      | $868838.73    | 0.01%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.0 FS6120 06-01-52                  | CUSIP: 3140XMYS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   8999996 | PA      | $7815884.17   | 0.07%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.0 CB0998 07-01-51                  | CUSIP: 3140QLDC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   4999999 | PA      | $4336574.48   | 0.04%             | 2051-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.0 BV9262 05-01-52                  | CUSIP: 3140MPJG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1542009 | PA      | $1337833.43   | 0.01%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 3.0 QD7059 02-01-52                  | CUSIP: 3133B4ZY4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1999999 | PA      | $1734603.03   | 0.01%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 3.0 QF9466 03-01-53                  | CUSIP: 3133BXQT1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1953214 | PA      | $1695292.20   | 0.01%             | 2053-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 3.0 QE0384 04-01-52                  | CUSIP: 3133B9M92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2000001 | PA      | $1737662.63   | 0.01%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 3.0 RJ3598 02-01-55                  | CUSIP: 3142GT7L4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2538916 | PA      | $2201491.23   | 0.02%             | 2055-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.0 MA4999 03-01-53                  | CUSIP: 31418ERV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1289814 | PA      | $1118958.83   | 0.01%             | 2053-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCT UMBS 4.0 MA2819 11-01-36                  | CUSIP: 31418CDZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    841193 | PA      | $833903.38    | 0.01%             | 2036-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC MULTIFAMILY STRUCTURED PASS THROUGH FHMS_K052         | FHMS K052 A2 (MF) 3.151% 11-25-25              | CUSIP: 3137BMTX4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   1595877 | PA      | $1589401.11   | 0.01%             | 2025-11-25      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                      | FGTW 2.5 C91720 08-01-33                       | CUSIP: 3128P74D2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     39138 | PA      | $37350.56     | 0.00%             | 2033-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                      | FGTW 2.5 C91593 12-01-32                       | CUSIP: 3128P7XW8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     20060 | PA      | $19179.59     | 0.00%             | 2032-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FHARM FRN 760014 08-01-45                      | CUSIP: 31342WAP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    784854 | PA      | $785572.34    | 0.01%             | 2045-08-01      | Variable      | 4.29%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                      | FGLMC 4.0 T65448 09-01-47                      | CUSIP: 31323ABR2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    595039 | PA      | $554159.67    | 0.00%             | 2047-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCK 4.5 MA3002 04-01-47                       | CUSIP: 31418CKQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    587391 | PA      | $556419.19    | 0.00%             | 2047-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCT UMBS 4.0 MA3186 11-01-37                  | CUSIP: 31418CRG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2597568 | PA      | $2564594.06   | 0.02%             | 2037-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCT UMBS 6.5 928689 09-01-27                  | CUSIP: 31412LXS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      1756 | PA      | $1820.11      | 0.00%             | 2027-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                      | FGLMC 3.5 Q52069 11-01-47                      | CUSIP: 3132XUJP1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    662814 | PA      | $610643.24    | 0.01%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.5 BJ8411 08-01-49                  | CUSIP: 3140HAKZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    974210 | PA      | $901144.52    | 0.01%             | 2049-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.0 AE1277 11-01-41                  | CUSIP: 31419BM36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     44258 | PA      | $45063.61     | 0.00%             | 2041-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNMDI4 4.0 BF0133 08-01-56                     | CUSIP: 3140FXEF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  17135315 | PA      | $16052311.35  | 0.14%             | 2056-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNMDI4 2.5 BF0546 07-01-61                     | CUSIP: 3140FXTC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  22974275 | PA      | $18294438.49  | 0.15%             | 2061-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.5 SD8446 07-01-54                  | CUSIP: 3132DWL35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  18447076 | PA      | $18584838.81  | 0.16%             | 2054-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.5 RJ2474 09-01-54                  | CUSIP: 3142GSXC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  20165088 | PA      | $20966811.79  | 0.18%             | 2054-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.5 RJ2470 09-01-54                  | CUSIP: 3142GSW87<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   6910772 | PA      | $7184466.51   | 0.06%             | 2054-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.5 RJ2411 09-01-54                  | CUSIP: 3142GSVD7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  13898495 | PA      | $14495657.64  | 0.12%             | 2054-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.5 RJ2422 09-01-54                  | CUSIP: 3142GSVQ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   6808903 | PA      | $6863959.72   | 0.06%             | 2054-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.5 RJ2415 09-01-54                  | CUSIP: 3142GSVH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2862183 | PA      | $2902886.56   | 0.02%             | 2054-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.5 RJ2408 09-01-54                  | CUSIP: 3142GSVA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2586794 | PA      | $2609440.88   | 0.02%             | 2054-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.5 CB9146 09-01-54                  | CUSIP: 3140QVEU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   6550631 | PA      | $6615056.42   | 0.06%             | 2054-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.5 CB9210 09-01-54                  | CUSIP: 3140QVGU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  11329070 | PA      | $11407240.53  | 0.10%             | 2054-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.5 SD6286 08-01-54                  | CUSIP: 3132DT6X3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3465091 | PA      | $3512815.95   | 0.03%             | 2054-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 DC1873 09-01-54                  | CUSIP: 3140APCK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      8830 | PA      | $9056.02      | 0.00%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNMDI4 3.5 BF0784 12-01-63                     | CUSIP: 3140FX2S0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   5663439 | PA      | $5034338.57   | 0.04%             | 2063-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.0 SD6284 01-01-54                  | CUSIP: 3132DT6V7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3178918 | PA      | $2535104.54   | 0.02%             | 2054-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNMDI4 4.0 BF0786 12-01-63                     | CUSIP: 3140FX2U5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   7412441 | PA      | $6878826.87   | 0.06%             | 2063-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.5 SD8401 02-01-54                  | CUSIP: 3132DWKN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1509421 | PA      | $1521353.03   | 0.01%             | 2054-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.0 FS5083 03-01-52                  | CUSIP: 3140XLUH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1324516 | PA      | $1156439.98   | 0.01%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.0 FS4198 04-01-52                  | CUSIP: 3140XKUY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    461086 | PA      | $400418.20    | 0.00%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.0 FS5327 03-01-52                  | CUSIP: 3140XL4M7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1149996 | PA      | $999169.78    | 0.01%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 3.0 QE5296 05-01-52                  | CUSIP: 3133BE3D3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3000003 | PA      | $2605286.55   | 0.02%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 3.0 QG9049 07-01-53                  | CUSIP: 3133CABS8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    783714 | PA      | $679963.56    | 0.01%             | 2053-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.0 BX4573 08-01-53                  | CUSIP: 3140N9CK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    745602 | PA      | $646753.64    | 0.01%             | 2053-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.0 FS7064 09-01-53                  | CUSIP: 3140XNZ64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    254399 | PA      | $220806.45    | 0.00%             | 2053-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.0 FS6788 06-01-52                  | CUSIP: 3140XNRJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     77157 | PA      | $66974.61     | 0.00%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.0 QD7144 01-01-52                  | CUSIP: 3133B45D3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2866386 | PA      | $2279209.63   | 0.02%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 RQ0050 09-01-55                  | CUSIP: 3142J6BU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1440000 | PA      | $1471832.64   | 0.01%             | 2055-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCR 4.0 MA1583 09-01-43                       | CUSIP: 31418AXM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1629940 | PA      | $1572975.52   | 0.01%             | 2043-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCK 5.0 AD1823 02-01-40                       | CUSIP: 31418PAZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    381165 | PA      | $376917.40    | 0.00%             | 2040-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.275 AT7470 05-01-43                | CUSIP: 3138WVJQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     91105 | PA      | $78932.84     | 0.00%             | 2043-05-01      | Fixed         | 2.27%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 CB8163 03-01-54                  | CUSIP: 3140QUB96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  13070963 | PA      | $13481443.38  | 0.11%             | 2054-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.5 MA5331 04-01-54                  | CUSIP: 31418E4R8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    795716 | PA      | $801781.23    | 0.01%             | 2054-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 CB8153 03-01-54                  | CUSIP: 3140QUBX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3333060 | PA      | $3438751.55   | 0.03%             | 2054-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.5 CB8143 03-01-54                  | CUSIP: 3140QUBM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  24516356 | PA      | $24755610.99  | 0.21%             | 2054-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.5 CB8148 03-01-54                  | CUSIP: 3140QUBS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  11020652 | PA      | $11143928.73  | 0.09%             | 2054-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 CB8168 03-01-54                  | CUSIP: 3140QUCE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   9090080 | PA      | $9311241.72   | 0.08%             | 2054-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.5 FS4191 03-01-53                  | CUSIP: 3140XKUR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1750178 | PA      | $1774281.05   | 0.01%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 SD3553 07-01-53                  | CUSIP: 3132DQ5N2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   4405900 | PA      | $4521686.71   | 0.04%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 RA9854 09-01-53                  | CUSIP: 3133KR5P5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  10568145 | PA      | $10902891.11  | 0.09%             | 2053-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 SD2861 05-01-53                  | CUSIP: 3132DQFA9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   4480467 | PA      | $4601242.27   | 0.04%             | 2053-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.5 RJ1216 04-01-54                  | CUSIP: 3142GRK66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   5706401 | PA      | $5784995.33   | 0.05%             | 2054-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.5 RJ1215 04-01-54                  | CUSIP: 3142GRK58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1095858 | PA      | $1104097.44   | 0.01%             | 2054-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FARM 2024-1                                                 | FARM 2024-1 A 144A FRN 10-01-53                | CUSIP: 30335JAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |  17344205 | PA      | $16915456.06  | 0.14%             | 2053-10-01      | Variable      | 4.69%                 | Yes           |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 FS5343 07-01-53                  | CUSIP: 3140XL5D6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  38760850 | PA      | $39779484.82  | 0.33%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.5 FS6809 02-01-54                  | CUSIP: 3140XNR71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    162437 | PA      | $163984.61    | 0.00%             | 2054-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.5 MA5215 12-01-53                  | CUSIP: 31418EYM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   5797364 | PA      | $5848560.12   | 0.05%             | 2053-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 SD4842 12-01-53                  | CUSIP: 3132DSLX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2757026 | PA      | $2826494.64   | 0.02%             | 2053-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 FS5769 09-01-53                  | CUSIP: 3140XMMT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  14206033 | PA      | $14650667.50  | 0.12%             | 2053-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.5 CB8328 04-01-54                  | CUSIP: 3140QUHE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  23793958 | PA      | $24121672.07  | 0.20%             | 2054-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.5 CB8337 04-01-54                  | CUSIP: 3140QUHP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  28665000 | PA      | $28895266.45  | 0.24%             | 2054-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 RJ1348 04-01-54                  | CUSIP: 3142GRQA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1815905 | PA      | $1870429.03   | 0.02%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.5 CB8387 04-01-54                  | CUSIP: 3140QUJ98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1329388 | PA      | $1392423.89   | 0.01%             | 2054-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.5 SD3386 07-01-53                  | CUSIP: 3132DQXP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   4134141 | PA      | $4174481.82   | 0.04%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 QI0006 02-01-54                  | CUSIP: 3133W6AF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   4618733 | PA      | $4729097.14   | 0.04%             | 2054-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 4.5 FS5520 01-01-53                  | CUSIP: 3140XMD29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2650657 | PA      | $2558963.12   | 0.02%             | 2053-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 RJ1429 05-01-54                  | CUSIP: 3142GRST8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  18544688 | PA      | $19053201.90  | 0.16%             | 2054-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.5 RJ1419 05-01-54                  | CUSIP: 3142GRSH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   5692389 | PA      | $5738417.51   | 0.05%             | 2054-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 4.0 MA5341 04-01-54                  | CUSIP: 31418E5B2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3775864 | PA      | $3526517.15   | 0.03%             | 2054-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 4.0 MA5320 03-01-54                  | CUSIP: 31418E4E7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  17080445 | PA      | $15955116.80  | 0.13%             | 2054-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 4.0 QI0001 02-01-54                  | CUSIP: 3133W6AA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   4889726 | PA      | $4566823.30   | 0.04%             | 2054-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 4.0 QI1357 03-01-54                  | CUSIP: 3133W7QJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     78249 | PA      | $73081.41     | 0.00%             | 2054-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 4.0 BY2249 04-01-53                  | CUSIP: 3140NJQB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    696979 | PA      | $651537.24    | 0.01%             | 2053-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 4.0 QG1084 03-01-53                  | CUSIP: 3133C1FZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    163468 | PA      | $152766.36    | 0.00%             | 2053-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 4.0 QH5655 12-01-53                  | CUSIP: 3133CJH87<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    297753 | PA      | $278090.54    | 0.00%             | 2053-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CME CHICAGO MERCANTILE EXCHANGE                             | SOFR 90DAY FUT OPT SFRU5C C @ 96.25 09-12-25   | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              |  | US        |      6081 | NC      | $-38006.25    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.0 BW6397 07-01-52                  | CUSIP: 3140MYDB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2000000 | PA      | $1736430.43   | 0.01%             | 2052-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.0 FM9921 12-01-51                  | CUSIP: 3140XEAX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   4052328 | PA      | $3514543.76   | 0.03%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.0 CB2096 11-01-51                  | CUSIP: 3140QMKJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1030141 | PA      | $894610.28    | 0.01%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CME CHICAGO MERCANTILE EXCHANGE                             | SOFR 90DAY FUT SFRM5 09-16-25                  | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |      6073 | NC      | $-690985.94   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| CME CHICAGO MERCANTILE EXCHANGE                             | UST 5YR FUT FVZ5 12-31-25                      | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |     19224 | NC      | $7840077.53   | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| CME CHICAGO MERCANTILE EXCHANGE                             | UST 2YR FUT TUZ5 12-31-25                      | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |     25226 | NC      | $7266988.54   | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| CME CHICAGO MERCANTILE EXCHANGE                             | UST 20YR FUT USZ5 12-19-25                     | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |      1195 | NC      | $381228.30    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.5 CB8872 07-01-54                  | CUSIP: 3140QU2E5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  40507679 | PA      | $42293540.90  | 0.36%             | 2054-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.5 CB8725 06-01-54                  | CUSIP: 3140QUVT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  26159690 | PA      | $27240006.81  | 0.23%             | 2054-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CME CHICAGO MERCANTILE EXCHANGE                             | UST 10YR FUT TYZ5 12-19-25                     | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |      4870 | NC      | $3183524.17   | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| CME CHICAGO MERCANTILE EXCHANGE                             | UST 30YR FUT ULTRA WNZ5 12-19-25               | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |       623 | NC      | $191462.62    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 RJ1964 07-01-54                  | CUSIP: 3142GSFE3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  17084686 | PA      | $17676072.06  | 0.15%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.5 FS9001 09-01-54                  | CUSIP: 3140XRAB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   7448044 | PA      | $7566155.16   | 0.06%             | 2054-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.0 SD6496 06-01-52                  | CUSIP: 3132DUGD3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1952447 | PA      | $1560472.06   | 0.01%             | 2052-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.0 RA6913 02-01-52                  | CUSIP: 3133KNVE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    276925 | PA      | $220937.70    | 0.00%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CME CHICAGO MERCANTILE EXCHANGE                             | UST 10YR FUT ULTRA UXYZ5 12-19-25              | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |      2581 | NC      | $1330281.14   | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| CPS 2024-D                                                  | CPS 2024-D A 144A 4.91% 06-15-28               | CUSIP: 22411JAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    606397 | PA      | $607168.25    | 0.01%             | 2028-06-15      | Fixed         | 4.91%                 | Yes           |                  2 | On Loan: No      |
| DRIVE 2024-2                                                | DRIVE 2024-2 A3 4.5% 09-15-28                  | CUSIP: 26207AAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2905000 | PA      | $2908454.05   | 0.02%             | 2028-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| WOSAT 2024-A                                                | WOSAT 2024-A A2A 5.37% 02-15-28                | CUSIP: 98164LAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1088672 | PA      | $1090880.54   | 0.01%             | 2028-02-15      | Fixed         | 5.37%                 | No            |                  2 | On Loan: No      |
| ACAR 2024-4                                                 | ACAR 2024-4 A 144A 4.81% 03-13-28              | CUSIP: 024945AA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    480850 | PA      | $480982.45    | 0.00%             | 2028-03-13      | Fixed         | 4.81%                 | Yes           |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANKS                                     | FED HM LN BK BD 10/6/2025                      | CUSIP: 313385MQ6<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGA              | US        | 100000000 | PA      | $99601430.00  | 0.84%             | 2025-10-06      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.5 FS0433 12-01-51                  | CUSIP: 3140XFPT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  28821788 | PA      | $24663466.85  | 0.21%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.0 FM9976 12-01-51                  | CUSIP: 3140XECN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   7153833 | PA      | $6345141.84   | 0.05%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 3.5 SD0873 02-01-52                  | CUSIP: 3132DM6J9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  27356628 | PA      | $25175319.78  | 0.21%             | 2052-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 3.0 QD3120 12-01-51                  | CUSIP: 3133B0PD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    962737 | PA      | $836463.62    | 0.01%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.5 BW9206 08-01-52                  | CUSIP: 3140N2GQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    150153 | PA      | $155187.72    | 0.00%             | 2052-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 4.0 BW5000 03-01-53                  | CUSIP: 3140MWRW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1259054 | PA      | $1177566.56   | 0.01%             | 2053-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 4.0 MA4993 04-01-53                  | CUSIP: 31418ERP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    571466 | PA      | $534350.44    | 0.00%             | 2053-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 4.0 BW5132 02-01-53                  | CUSIP: 3140MWV29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    560348 | PA      | $524194.57    | 0.00%             | 2053-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.5 QC8196 10-01-51                  | CUSIP: 3133ATC90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2991941 | PA      | $2487188.64   | 0.02%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 4.0 BX5662 01-01-53                  | CUSIP: 3140NAJG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    708845 | PA      | $662520.25    | 0.01%             | 2053-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 4.0 BW7713 09-01-52                  | CUSIP: 3140N0SB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    756603 | PA      | $707213.67    | 0.01%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 4.0 BW8736 10-01-52                  | CUSIP: 3140N1V67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    337403 | PA      | $315551.01    | 0.00%             | 2052-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.5 SD8312 01-01-53                  | CUSIP: 3132DWGV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     97442 | PA      | $81207.10     | 0.00%             | 2053-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.5 CB6106 04-01-53                  | CUSIP: 3140QRYC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   4936480 | PA      | $5182780.43   | 0.04%             | 2053-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.5 BH4101 10-01-47                  | CUSIP: 3140GSRX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  12086682 | PA      | $11161554.82  | 0.09%             | 2047-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                      | FGLMC 3.5 Q45650 01-01-47                      | CUSIP: 3132WKH43<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   5570019 | PA      | $5211365.23   | 0.04%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNMDI3 5.5 BF0320 01-01-49                     | CUSIP: 3140FXLA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1615872 | PA      | $1675347.50   | 0.01%             | 2049-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                      | FGLMC 3.5 G67700 08-01-46                      | CUSIP: 3132XCRV9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1435992 | PA      | $1334177.19   | 0.01%             | 2046-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                      | FGLMC 3.5 G60238 10-01-45                      | CUSIP: 31335AHP6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   3847145 | PA      | $3593145.00   | 0.03%             | 2045-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNMDI4 3.5 BM6693 08-01-59                     | CUSIP: 3140JBNK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  46680267 | PA      | $41901561.67  | 0.35%             | 2059-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.5 SD7545 09-01-51                  | CUSIP: 3132DVL29<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3980926 | PA      | $3378675.77   | 0.03%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.5 FM9492 11-01-51                  | CUSIP: 3140XDRN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  10292299 | PA      | $8720242.71   | 0.07%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.5 FM9804 12-01-51                  | CUSIP: 3140XD3N4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   5290857 | PA      | $4492133.28   | 0.04%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.5 FM9694 11-01-51                  | CUSIP: 3140XDXY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   4844342 | PA      | $4119953.37   | 0.03%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.0 BM1179 04-01-47                  | CUSIP: 3140J5JZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    776933 | PA      | $698501.93    | 0.01%             | 2047-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.0 AS8310 11-01-46                  | CUSIP: 3138WJGU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    640302 | PA      | $576261.14    | 0.00%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.0 CB2544 01-01-52                  | CUSIP: 3140QMZJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  15202032 | PA      | $13347672.91  | 0.11%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCT UMBS 2.0 RB5145 02-01-42                  | CUSIP: 3133KYWE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   7147210 | PA      | $6145328.16   | 0.05%             | 2042-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCT UMBS 2.0 RB5148 03-01-42                  | CUSIP: 3133KYWH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  15381304 | PA      | $13139386.73  | 0.11%             | 2042-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCT UMBS 2.0 MA4540 02-01-42                  | CUSIP: 31418EBJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   6421259 | PA      | $5521133.45   | 0.05%             | 2042-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCT UMBS 2.0 MA4570 03-01-42                  | CUSIP: 31418ECG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   8102830 | PA      | $6964439.05   | 0.06%             | 2042-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCT UMBS 2.0 RB5153 04-01-42                  | CUSIP: 3133KYWN5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2187096 | PA      | $1866364.84   | 0.02%             | 2042-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCT UMBS 2.0 MA4586 04-01-42                  | CUSIP: 31418ECY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2255230 | PA      | $1937688.77   | 0.02%             | 2042-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.5 SD7548 11-01-51                  | CUSIP: 3132DVL52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   7954100 | PA      | $6750803.84   | 0.06%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2SF 2.5 786706 12-20-51                       | CUSIP: 3622ACKT6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   5800770 | PA      | $4892508.29   | 0.04%             | 2051-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2SF 2.5 786701 03-20-52                       | CUSIP: 3622ACKN9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   4950112 | PA      | $4224301.80   | 0.04%             | 2052-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2SF 2.5 785575 08-20-51                       | CUSIP: 3622ABCL4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  55572607 | PA      | $46887830.91  | 0.39%             | 2051-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2SF 2.5 785659 10-20-51                       | CUSIP: 3622ABE81<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   6121917 | PA      | $5178394.98   | 0.04%             | 2051-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2SF 2.5 785792 12-20-51                       | CUSIP: 3622ABKD3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  74742935 | PA      | $62991925.84  | 0.53%             | 2051-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2SF 2.5 785847 01-20-52                       | CUSIP: 3622ABL42<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   2033105 | PA      | $1719765.14   | 0.01%             | 2052-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2SF 2.5 MA7936 03-20-52                       | CUSIP: 36179WY93<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   8428118 | PA      | $7192715.81   | 0.06%             | 2052-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2SF 4.0 MA8567 01-20-53                       | CUSIP: 36179XQU3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   5755290 | PA      | $5421592.76   | 0.05%             | 2053-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2SF 3.5 MA8266 09-20-52                       | CUSIP: 36179XFF8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  20733232 | PA      | $18937754.73  | 0.16%             | 2052-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2SF 4.5 MA9015 07-20-53                       | CUSIP: 36179YAQ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  17021545 | PA      | $16478727.48  | 0.14%             | 2053-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2MHD 4.25 AD0867 85K MAX 04-20-34             | CUSIP: 36180B6C0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    448449 | PA      | $446561.07    | 0.00%             | 2034-04-20      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2SF 4.0 MA8723 03-20-53                       | CUSIP: 36179XVQ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   3685836 | PA      | $3466455.23   | 0.03%             | 2053-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2SF 4.25 AH5881 05-20-44                      | CUSIP: 36182NRA3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    411178 | PA      | $393188.58    | 0.00%             | 2044-05-20      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2SF 3.75 AH5880 05-20-44                      | CUSIP: 36182NQ97<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    867846 | PA      | $803416.59    | 0.01%             | 2044-05-20      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2MHD 3.75 AH5896 85K MAX 07-20-34             | CUSIP: 36182NRR6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    435130 | PA      | $426135.75    | 0.00%             | 2034-07-20      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2SF 5.0 AE5743 09-20-41                       | CUSIP: 36180YLY5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    760113 | PA      | $758014.03    | 0.01%             | 2041-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2SF 3.25 AH5905 01-20-40                      | CUSIP: 36182NR21<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    510939 | PA      | $463503.21    | 0.00%             | 2040-01-20      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2SF 3.25 AH5904 02-20-35                      | CUSIP: 36182NRZ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    714507 | PA      | $688836.58    | 0.01%             | 2035-02-20      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2SF 4.0 MA9776 07-20-54                       | CUSIP: 36179Y2H6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1706869 | PA      | $1602101.65   | 0.01%             | 2054-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2SF 4.5 MB0024 11-20-54                       | CUSIP: 3618N5A25<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  57113378 | PA      | $55050785.05  | 0.46%             | 2054-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SREIT TRUST SREIT_21-MFP                                    | SREIT 2021-MFP A 144A FRN 11-15-38             | CUSIP: 78472UAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  15124312 | PA      | $15123556.03  | 0.13%             | 2038-11-15      | Variable      | 5.21%                 | Yes           |                  2 | On Loan: No      |
| SEASONED LOANS STRUCTURED TRANSACTION TRUST SLST_22-1       | SLST 2022-1 A1 3.5% 05-25-32                   | CUSIP: 35564CLZ8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |  22464058 | PA      | $21821788.21  | 0.18%             | 2032-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC SLST_20-3                                       | SLST 2020-3 AC 2.0% 11-25-30                   | CUSIP: 35564CJD0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |  25482017 | PA      | $23043362.83  | 0.19%             | 2030-11-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.5 CB6131 04-01-53                  | CUSIP: 3140QRY56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  15883062 | PA      | $16670369.22  | 0.14%             | 2053-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 4.5 MA5008 05-01-53                  | CUSIP: 31418ER69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3697266 | PA      | $3567984.16   | 0.03%             | 2053-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 4.5 SD8322 05-01-53                  | CUSIP: 3132DWG72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   9623894 | PA      | $9281158.50   | 0.08%             | 2053-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.5 SD8324 05-01-53                  | CUSIP: 3132DWG98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  17678049 | PA      | $17858718.70  | 0.15%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.0 SD8323 05-01-53                  | CUSIP: 3132DWG80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  93228796 | PA      | $92236282.26  | 0.78%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.0 MA5009 05-01-53                  | CUSIP: 31418ER77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        | 196497150 | PA      | $194729461.46 | 1.64%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.5 MA5010 05-01-53                  | CUSIP: 31418ER85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   5521768 | PA      | $5583744.45   | 0.05%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH FHMS_K751   | FHMS K751 A2 (MF) 4.412% 03-25-30              | CUSIP: 3137HA4B9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |  24000000 | PA      | $24350328.00  | 0.21%             | 2030-03-25      | Fixed         | 4.41%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCT UMBS 1.5 BQ7816 04-01-41                  | CUSIP: 3140KTVJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  17830876 | PA      | $14837767.19  | 0.12%             | 2041-04-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 CB6485 06-01-53                  | CUSIP: 3140QSF30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  12363468 | PA      | $12660129.42  | 0.11%             | 2053-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.5 RA9287 06-01-53                  | CUSIP: 3133KRJ88<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    525289 | PA      | $553618.57    | 0.00%             | 2053-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 RA9279 06-01-53                  | CUSIP: 3133KRJY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   4628436 | PA      | $4767029.54   | 0.04%             | 2053-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.5 CB8876 07-01-54                  | CUSIP: 3140QU2J4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  12055205 | PA      | $12578075.32  | 0.11%             | 2054-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.5 CB8842 07-01-54                  | CUSIP: 3140QUZG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1068206 | PA      | $1078822.69   | 0.01%             | 2054-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.5 RJ1963 07-01-54                  | CUSIP: 3142GSFD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    280878 | PA      | $283380.69    | 0.00%             | 2054-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 FS8318 07-01-54                  | CUSIP: 3140XQG43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   5694570 | PA      | $5875150.47   | 0.05%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 RJ1975 07-01-54                  | CUSIP: 3142GSFR4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  19035767 | PA      | $19538786.89  | 0.16%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 CB8858 07-01-54                  | CUSIP: 3140QUZY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  12432119 | PA      | $12790686.54  | 0.11%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.5 FS8317 07-01-54                  | CUSIP: 3140XQG35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   5957984 | PA      | $6220641.49   | 0.05%             | 2054-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 SD8454 08-01-54                  | CUSIP: 3132DWMB6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   6704817 | PA      | $6857499.10   | 0.06%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 MA5445 08-01-54                  | CUSIP: 31418FBP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  19200241 | PA      | $19629193.13  | 0.17%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.5 FM8658 09-01-51                  | CUSIP: 3140XCTQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    893076 | PA      | $742509.32    | 0.01%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.0 SD8430 05-01-54                  | CUSIP: 3132DWLK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   7995410 | PA      | $7900392.31   | 0.07%             | 2054-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCI UMBS 2.5 FM2499 02-01-35                  | CUSIP: 3140X5X57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   6379790 | PA      | $6051352.33   | 0.05%             | 2035-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.5 SD6271 09-01-54                  | CUSIP: 3132DT6G0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   5750716 | PA      | $5978271.72   | 0.05%             | 2054-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.5 FS8783 08-01-54                  | CUSIP: 3140XQXM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   6565444 | PA      | $6854894.50   | 0.06%             | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.5 QJ4693 09-01-54                  | CUSIP: 3133CVGA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2751157 | PA      | $2873143.53   | 0.02%             | 2054-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.5 QI9151 07-01-54                  | CUSIP: 3133WGEY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   6750875 | PA      | $7050209.24   | 0.06%             | 2054-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.5 CB7626 12-01-53                  | CUSIP: 3140QTPL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   4208220 | PA      | $4391332.70   | 0.04%             | 2053-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.5 CB7426 11-01-53                  | CUSIP: 3140QTHC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   5325405 | PA      | $5546590.66   | 0.05%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.5 RJ2625 10-01-54                  | CUSIP: 3142GS4K1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  19166703 | PA      | $19341963.77  | 0.16%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.5 SD6328 09-01-54                  | CUSIP: 3132DUA56<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    811946 | PA      | $822690.30    | 0.01%             | 2054-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.5 FS9167 07-01-53                  | CUSIP: 3140XRFH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     69899 | PA      | $58106.91     | 0.00%             | 2053-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNMDI4 3.0 BF0762 09-01-63                     | CUSIP: 3140FXZ47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  18009041 | PA      | $15253369.33  | 0.13%             | 2063-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.5 SD6733 10-01-54                  | CUSIP: 3132DUPS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   4162443 | PA      | $4327933.20   | 0.04%             | 2054-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.5 FS2824 12-01-51                  | CUSIP: 3140XJD67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   7069876 | PA      | $5877159.45   | 0.05%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 QX2593 01-01-55                  | CUSIP: 31425W3B5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  51811721 | PA      | $52994323.87  | 0.45%             | 2055-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 DD8500 05-01-55                  | CUSIP: 3140B9NS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   8064268 | PA      | $8250415.33   | 0.07%             | 2055-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.5 FS1978 03-01-52                  | CUSIP: 3140XHFU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  11493365 | PA      | $9554388.20   | 0.08%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.5 SD1605 12-01-51                  | CUSIP: 3132DNYA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  13728512 | PA      | $11412456.90  | 0.10%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 DD4340 03-01-55                  | CUSIP: 3140B4ZE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    399660 | PA      | $408555.29    | 0.00%             | 2055-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 DC5696 11-01-54                  | CUSIP: 3140ATKJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  26627512 | PA      | $27251474.42  | 0.23%             | 2054-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 DC8824 12-01-54                  | CUSIP: 3140AWYW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    688318 | PA      | $703868.87    | 0.01%             | 2054-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 DE1549 07-01-55                  | CUSIP: 3140BDWK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    499581 | PA      | $510625.02    | 0.00%             | 2055-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.5 SD0718 08-01-51                  | CUSIP: 3132DMYP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    633930 | PA      | $526983.69    | 0.00%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.0 RA3952 11-01-50                  | CUSIP: 3133KKL98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    996564 | PA      | $794406.26    | 0.01%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.0 QB8422 02-01-51                  | CUSIP: 3133AFLB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    997482 | PA      | $793148.93    | 0.01%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.0 SD4526 03-01-52                  | CUSIP: 3132DSA36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    823829 | PA      | $656784.72    | 0.01%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.0 SD3984 05-01-51                  | CUSIP: 3132E0M90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1862437 | PA      | $1480918.41   | 0.01%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 DD3786 03-01-55                  | CUSIP: 3140B4F47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    999046 | PA      | $1021130.79   | 0.01%             | 2055-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 QX0553 12-01-54                  | CUSIP: 31425UTK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   6991933 | PA      | $7152719.14   | 0.06%             | 2054-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 QY2990 05-01-55                  | CUSIP: 31426MKC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    135613 | PA      | $138633.29    | 0.00%             | 2055-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.5 CB3260 04-01-52                  | CUSIP: 3140QNTS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    797946 | PA      | $665163.53    | 0.01%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 RQ0041 08-01-55                  | CUSIP: 3142J6BK8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3261035 | PA      | $3333123.89   | 0.03%             | 2055-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.5 CB0455 05-01-51                  | CUSIP: 3140QKQH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    721836 | PA      | $603935.88    | 0.01%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2SF 6.5 773549 12-20-38                       | CUSIP: 36176REW8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    118230 | PA      | $121041.93    | 0.00%             | 2038-12-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2 5.0 005158 08-20-41                         | CUSIP: 36202FWT9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    442459 | PA      | $445013.45    | 0.00%             | 2041-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2 6.5 005165 08-20-41                         | CUSIP: 36202FW28<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     40900 | PA      | $41308.34     | 0.00%             | 2041-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 4.0 QI0100 02-01-54                  | CUSIP: 3133W6DD6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    271320 | PA      | $253416.14    | 0.00%             | 2054-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 4.0 QI1723 03-01-54                  | CUSIP: 3133W74G7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    726121 | PA      | $678170.44    | 0.01%             | 2054-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 4.0 CB6713 07-01-53                  | CUSIP: 3140QSN72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    587597 | PA      | $548945.93    | 0.00%             | 2053-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 4.0 QI3594 04-01-54                  | CUSIP: 3133W97F2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1177847 | PA      | $1100065.50   | 0.01%             | 2054-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 4.0 BX9358 04-01-53                  | CUSIP: 3140NEMG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3384094 | PA      | $3163948.44   | 0.03%             | 2053-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 4.0 FS5335 05-01-53                  | CUSIP: 3140XL4V7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    273900 | PA      | $256158.21    | 0.00%             | 2053-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 4.0 SD8425 04-01-54                  | CUSIP: 3132DWLE1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    153709 | PA      | $143558.86    | 0.00%             | 2054-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.5 SD8438 06-01-54                  | CUSIP: 3132DWLT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    389522 | PA      | $392470.78    | 0.00%             | 2054-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.5 SD5404 05-01-54                  | CUSIP: 3132DTAD2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  43647694 | PA      | $45471905.30  | 0.38%             | 2054-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.5 RJ1726 06-01-54                  | CUSIP: 3142GR4L1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  18733634 | PA      | $19576010.77  | 0.16%             | 2054-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.5 SD4966 02-01-54                  | CUSIP: 3132DSQT2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  46372994 | PA      | $48439421.46  | 0.41%             | 2054-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.5 MA5388 06-01-54                  | CUSIP: 31418E7A2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  22240071 | PA      | $22408450.89  | 0.19%             | 2054-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.0 FM9330 07-01-51                  | CUSIP: 3140XDLL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  28852577 | PA      | $25282647.95  | 0.21%             | 2051-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.0 CB0737 06-01-51                  | CUSIP: 3140QKZB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   7032159 | PA      | $6156486.20   | 0.05%             | 2051-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.0 FS3767 04-01-47                  | CUSIP: 3140XKFH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   6527680 | PA      | $5313485.91   | 0.04%             | 2047-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.0 SI2080 10-01-50                  | CUSIP: 3133USJZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  44865957 | PA      | $36198213.20  | 0.30%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.0 SI2062 09-01-50                  | CUSIP: 3133USJF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  43699866 | PA      | $35176381.95  | 0.30%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.0 MA4978 04-01-53                  | CUSIP: 31418EQ86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  23953017 | PA      | $23736577.42  | 0.20%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.0 FS3744 07-01-51                  | CUSIP: 3140XKES5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  24470278 | PA      | $19638034.14  | 0.17%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.0 FS3745 08-01-50                  | CUSIP: 3140XKET3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   8208976 | PA      | $6593022.97   | 0.06%             | 2050-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 4.5 MA5136 09-01-53                  | CUSIP: 31418EV64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  33807245 | PA      | $32553638.67  | 0.27%             | 2053-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 4.5 MA5070 07-01-53                  | CUSIP: 31418ET42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  12392647 | PA      | $11951109.23  | 0.10%             | 2053-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 4.0 MA5135 09-01-53                  | CUSIP: 31418EV56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    243003 | PA      | $226967.86    | 0.00%             | 2053-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 4.5 CB6853 08-01-53                  | CUSIP: 3140QSTK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   9758769 | PA      | $9403003.31   | 0.08%             | 2053-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 4.5 CB6719 07-01-53                  | CUSIP: 3140QSPD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   6263768 | PA      | $6035416.38   | 0.05%             | 2053-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.0 RA6114 02-01-52                  | CUSIP: 3133KMYK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1464788 | PA      | $1168276.80   | 0.01%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 SD8363 09-01-53                  | CUSIP: 3132DWJG9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    967240 | PA      | $992213.04    | 0.01%             | 2053-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.0 QG4719 06-01-53                  | CUSIP: 3133C5G47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  36117251 | PA      | $35755066.72  | 0.30%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.0 QG8909 08-01-53                  | CUSIP: 3133C93S0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    624632 | PA      | $617562.92    | 0.01%             | 2053-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.0 BY6763 07-01-53                  | CUSIP: 3140NPQR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    563533 | PA      | $558609.03    | 0.00%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.0 BX9041 04-01-53                  | CUSIP: 3140NEBK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     85255 | PA      | $84401.18     | 0.00%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.0 BU4112 07-01-53                  | CUSIP: 3140M5SA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     93137 | PA      | $92323.28     | 0.00%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 4.0 SD8338 06-01-53                  | CUSIP: 3132DWHP1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   4505172 | PA      | $4208371.69   | 0.04%             | 2053-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 4.0 MA5177 10-01-53                  | CUSIP: 31418EXF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1846575 | PA      | $1725489.40   | 0.01%             | 2053-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 4.0 SD8375 09-01-53                  | CUSIP: 3132DWJU8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    374701 | PA      | $350169.36    | 0.00%             | 2053-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 4.0 MA5127 08-01-53                  | CUSIP: 31418EVV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    296244 | PA      | $276879.43    | 0.00%             | 2053-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 4.0 SD8357 08-01-53                  | CUSIP: 3132DWJA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  17105369 | PA      | $15983701.65  | 0.13%             | 2053-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 4.0 MA5027 05-01-53                  | CUSIP: 31418ESR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    160346 | PA      | $149931.59    | 0.00%             | 2053-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 4.0 BX4568 08-01-53                  | CUSIP: 3140N9CE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    844363 | PA      | $788908.05    | 0.01%             | 2053-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 4.0 QG7153 07-01-53                  | CUSIP: 3133C75N3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1118982 | PA      | $1046303.66   | 0.01%             | 2053-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 4.0 QG0719 04-01-53                  | CUSIP: 3133C0YQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    415440 | PA      | $388124.41    | 0.00%             | 2053-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 4.0 QG7958 07-01-53                  | CUSIP: 3133C8ZX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    912155 | PA      | $851918.91    | 0.01%             | 2053-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 MA5191 11-01-53                  | CUSIP: 31418EXV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   9265213 | PA      | $9509296.01   | 0.08%             | 2053-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 RA9857 09-01-53                  | CUSIP: 3133KR5S9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  36246201 | PA      | $37145541.49  | 0.31%             | 2053-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 RA9636 08-01-53                  | CUSIP: 3133KRV50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   5743441 | PA      | $5885143.50   | 0.05%             | 2053-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 SD8373 11-01-53                  | CUSIP: 3132DWJS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  59121713 | PA      | $60598514.25  | 0.51%             | 2053-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 QG7363 07-01-53                  | CUSIP: 3133C8FC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  13601924 | PA      | $13962320.33  | 0.12%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 BY8293 08-01-53                  | CUSIP: 3140NRGB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3383383 | PA      | $3465643.42   | 0.03%             | 2053-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.5 SD8367 10-01-53                  | CUSIP: 3132DWJL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  27174438 | PA      | $27391344.29  | 0.23%             | 2053-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 4.5 CB4852 10-01-52                  | CUSIP: 3140QQMA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1876685 | PA      | $1811568.05   | 0.02%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 3.0 QC5631 08-01-51                  | CUSIP: 3133AQHG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3567411 | PA      | $3099570.34   | 0.03%             | 2051-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.0 BT5004 07-01-51                  | CUSIP: 3140LTR22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    289792 | PA      | $251786.90    | 0.00%             | 2051-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.0 BV3101 03-01-52                  | CUSIP: 3140MGNT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1665203 | PA      | $1326744.21   | 0.01%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.0 CB0381 05-01-51                  | CUSIP: 3140QKM70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   5989309 | PA      | $4762405.11   | 0.04%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.5 CB1394 08-01-51                  | CUSIP: 3140QLRQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    396660 | PA      | $329742.27    | 0.00%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.0 FM9646 11-01-51                  | CUSIP: 3140XDWG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1384722 | PA      | $1101063.31   | 0.01%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 CB5912 03-01-53                  | CUSIP: 3140QRSA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   7189110 | PA      | $7414840.69   | 0.06%             | 2053-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 4.5 CB6471 06-01-53                  | CUSIP: 3140QSFM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3003556 | PA      | $2895262.84   | 0.02%             | 2053-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 FS4932 06-01-53                  | CUSIP: 3140XLPS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   8134344 | PA      | $8339874.55   | 0.07%             | 2053-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.5 FS4203 01-01-52                  | CUSIP: 3140XKU57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   9906470 | PA      | $8235208.79   | 0.07%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 SD8368 10-01-53                  | CUSIP: 3132DWJM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  30399339 | PA      | $31116367.84  | 0.26%             | 2053-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.5 MA5167 10-01-53                  | CUSIP: 31418EW55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1097570 | PA      | $1138114.14   | 0.01%             | 2053-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 4.5 CB6303 05-01-53                  | CUSIP: 3140QSAD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        | 108580350 | PA      | $104687853.46 | 0.88%             | 2053-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 DB2495 05-01-54                  | CUSIP: 3140ABXZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1087948 | PA      | $1112405.09   | 0.01%             | 2054-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.5 SD6034 08-01-54                  | CUSIP: 3132DTV31<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  10112332 | PA      | $10558164.08  | 0.09%             | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.5 SD6047 08-01-54                  | CUSIP: 3132DTWG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3682125 | PA      | $3853454.60   | 0.03%             | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 DB7792 08-01-54                  | CUSIP: 3140AHUS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    729692 | PA      | $746933.50    | 0.01%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 BU4707 07-01-54                  | CUSIP: 3140M6GR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1160129 | PA      | $1187540.14   | 0.01%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.5 SD6035 08-01-54                  | CUSIP: 3132DTV49<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2592874 | PA      | $2707175.34   | 0.02%             | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-2          | GNR 2021-2 AH 1.5% 06-16-63                    | CUSIP: 38380RNG1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   7737568 | PA      | $5772976.03   | 0.05%             | 2063-06-16      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2SF 2.5 786647 03-20-52                       | CUSIP: 3622ACHY9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   7671897 | PA      | $6555981.31   | 0.06%             | 2052-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2SF 2.5 BZ3978 11-20-50                       | CUSIP: 3617QYM36<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   5029493 | PA      | $4279188.55   | 0.04%             | 2050-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2MHD 3.25 AH5909 150K MAX 05-20-40            | CUSIP: 36182NR62<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    342697 | PA      | $310873.56    | 0.00%             | 2040-05-20      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2MHD 3.25 AH5908 110K MAX 05-20-35            | CUSIP: 36182NR54<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    986097 | PA      | $948978.71    | 0.01%             | 2035-05-20      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2SF 4.5 TBA 09-01-55                          | CUSIP: 21H042695<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  25829845 | PA      | $24881631.39  | 0.21%             | 2055-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2SF 3.5 TBA 09-01-55                          | CUSIP: 21H032696<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  19590209 | PA      | $17834064.30  | 0.15%             | 2055-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2SF 5.5 MB0485 07-20-55                       | CUSIP: 3618N5RF8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   8509520 | PA      | $8580123.48   | 0.07%             | 2055-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2SF 5.5 MB0147 01-20-55                       | CUSIP: 3618N5EV7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   2999702 | PA      | $3024590.42   | 0.03%             | 2055-01-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2SF 5.5 MB0205 02-20-55                       | CUSIP: 3618N5GP8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1939015 | PA      | $1955102.92   | 0.02%             | 2055-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2SF 5.5 MB0424 06-20-55                       | CUSIP: 3618N5PJ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   9999105 | PA      | $10082067.96  | 0.08%             | 2055-06-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| LEGACY MORTGAGE ASSET TRUST LMAT_21-GS2                     | LMAT 2021-GS2 A1 144A 5.75% 04-25-61           | CUSIP: 52476DAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3050740 | PA      | $3053025.02   | 0.03%             | 2061-04-25      | Variable      | 5.75%                 | Yes           |                  2 | On Loan: No      |
| MORGAN STANLEY RESIDENTIAL MORTGAGE LOAN TRUST MSRM_24-INV2 | MSRM 2024-INV2 A1 144A FRN 02-25-54            | CUSIP: 617939AA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  16884523 | PA      | $17246966.33  | 0.15%             | 2054-02-25      | Variable      | 6.50%                 | Yes           |                  2 | On Loan: No      |
| PMTLT 2024-INV1                                             | PMTLT 2024-INV1 A2 144A FRN 10-25-59           | CUSIP: 73015BAB1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   8731696 | PA      | $8886395.56   | 0.07%             | 2059-10-25      | Variable      | 6.00%                 | Yes           |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER SCRT_17-1                     | SCRT 2017-1 HA FRN 01-25-56                    | CUSIP: 35563PAP4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   2064928 | PA      | $1945622.93   | 0.02%             | 2056-01-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER SCRT_17-2                     | SCRT 2017-2 HA FRN 08-25-56                    | CUSIP: 35563PBF5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   2398490 | PA      | $2251134.26   | 0.02%             | 2056-08-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER SCRT_17-2                     | SCRT 2017-2 MA 3.0% 08-25-56                   | CUSIP: 35563PBC2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   2496631 | PA      | $2339934.73   | 0.02%             | 2056-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC - SCRT SCRT_17-3                                | SCRT 2017-3 HA FRN 07-25-56                    | CUSIP: 35563PBY4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   7867636 | PA      | $7489092.54   | 0.06%             | 2056-07-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| SEASONED LOAN STRUCTURED TRANSACTION SLST_18-1              | SLST 2018-1 A1 3.5% 06-25-28                   | CUSIP: 35564CAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   3616139 | PA      | $3539527.01   | 0.03%             | 2028-06-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER SCRT_19-1                     | SCRT 2019-1 MA 3.5% 07-25-58                   | CUSIP: 35563PJF7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    443004 | PA      | $430294.88    | 0.00%             | 2058-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER SCRT_19-3                     | SCRT 2019-3 MT 3.5% 10-25-58                   | CUSIP: 35563PLG2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    612704 | PA      | $549952.32    | 0.00%             | 2058-10-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER SCRT_19-2                     | SCRT 2019-2 MT 3.5% 08-26-58                   | CUSIP: 35563PKF5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   1000452 | PA      | $894271.15    | 0.01%             | 2058-08-26      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER SCRT_19-1                     | SCRT 2019-1 MT 3.5% 07-25-58                   | CUSIP: 35563PJE0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   1192554 | PA      | $1062812.54   | 0.01%             | 2058-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2SF 4.0 AG5106 09-20-43                       | CUSIP: 36181YU73<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    347576 | PA      | $328179.75    | 0.00%             | 2043-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                           | GNSF 2.75 793043 150K MAX 01-15-42             | CUSIP: 36177MLZ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    192592 | PA      | $171784.18    | 0.00%             | 2042-01-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                           | GNSF 2.75 799829 110K MAX 02-15-42             | CUSIP: 36177U4P6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    153902 | PA      | $136342.24    | 0.00%             | 2042-02-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                           | GNSF 2.75 AA0526 06-15-42                      | CUSIP: 36177WSP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     32350 | PA      | $28703.85     | 0.00%             | 2042-06-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                           | GNSF 2.75 AB1330 175K MAX 08-15-42             | CUSIP: 36178LPP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    208098 | PA      | $184386.65    | 0.00%             | 2042-08-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                           | GNSF 2.75 AB1591 175K MAX 09-15-42             | CUSIP: 36178LXU2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    179149 | PA      | $159758.09    | 0.00%             | 2042-09-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2SF 3.5 AA7306 11-20-43                       | CUSIP: 36178FDK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    625130 | PA      | $571625.82    | 0.00%             | 2043-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2SF 2.5 MA7827 01-20-52                       | CUSIP: 36179WVU9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   2639398 | PA      | $2252512.75   | 0.02%             | 2052-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2SF 2.5 MA6709 06-20-50                       | CUSIP: 36179VN22<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     44978 | PA      | $38457.69     | 0.00%             | 2050-06-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2SF 3.0 MA7937 03-20-52                       | CUSIP: 36179WZA9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   4760527 | PA      | $4220421.43   | 0.04%             | 2052-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2SF 2.5 MA7881 02-20-52                       | CUSIP: 36179WXJ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  12958040 | PA      | $11058637.77  | 0.09%             | 2052-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC SLST_20-2                                       | SLST 2020-2 AC 2.0% 09-25-30                   | CUSIP: 35564CGW1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |  27039326 | PA      | $24505822.23  | 0.21%             | 2030-09-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC - SLST SLST_21-2                                | SLST 2021-2 AD 2.0% 07-25-31                   | CUSIP: 35564CLN5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |  22259154 | PA      | $20028920.63  | 0.17%             | 2031-07-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| SCRT 2024-2                                                 | SCRT 2024-2 MT 3.5% 05-25-64                   | CUSIP: 35563PX46<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |  56759908 | PA      | $49148177.47  | 0.41%             | 2064-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST TPMT_16-2                         | TPMT 2016-2 M1 144A FRN 08-25-55               | CUSIP: 89172PAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3104394 | PA      | $3063230.17   | 0.03%             | 2055-08-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| UNIFORM MBS                                                 | FNCL 4.0 UMBS TBA 09-01-55                     | CUSIP: 01F040693<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  52170605 | PA      | $48689938.75  | 0.41%             | 2055-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                                 | FNCL 3.5 UMBS TBA 09-01-55                     | CUSIP: 01F032690<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        | 128166491 | PA      | $115800603.45 | 0.97%             | 2055-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                                 | FNCL 6.5 UMBS TBA 09-01-55                     | CUSIP: 01F062697<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        | 232476677 | PA      | $240945104.91 | 2.03%             | 2055-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                                 | FNCL 2.0 UMBS TBA 09-01-55                     | CUSIP: 01F020695<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  39501726 | PA      | $31381711.70  | 0.26%             | 2055-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                                 | FNCL 5.0 UMBS TBA 09-01-55                     | CUSIP: 01F050692<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  50000000 | PA      | $49318100.00  | 0.42%             | 2055-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                                 | FNCL 6.0 UMBS TBA 09-01-55                     | CUSIP: 01F060691<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1994562 | PA      | $2037883.89   | 0.02%             | 2055-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                                 | FNCL 5.5 UMBS TBA 09-01-55                     | CUSIP: 01F052698<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  78568000 | PA      | $79022594.45  | 0.67%             | 2055-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                                 | FNCI 4.0 UMBS TBA 09-01-40                     | CUSIP: 01F040495<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   4898438 | PA      | $4810035.89   | 0.04%             | 2040-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                                 | FNCI 2.5 UMBS TBA 09-01-40                     | CUSIP: 01F022493<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   6915103 | PA      | $6490826.86   | 0.05%             | 2040-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                                 | FNCL 6.0 UMBS TBA 10-01-55                     | CUSIP: 01F0606A8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    904416 | PA      | $923211.57    | 0.01%             | 2055-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                                 | FNCL 3.5 UMBS TBA 10-01-55                     | CUSIP: 01F0326A7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        | 107420453 | PA      | $97018393.43  | 0.82%             | 2055-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                                 | FNCL 6.5 UMBS TBA 10-01-55                     | CUSIP: 01F0626A4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        | 465796953 | PA      | $482491581.59 | 4.06%             | 2055-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                                 | FNCL 7.0 UMBS TBA 10-01-55                     | CUSIP: 01F0706A7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  30065638 | PA      | $31631155.77  | 0.27%             | 2055-10-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                                 | FNCL 2.5 UMBS TBA 10-01-55                     | CUSIP: 01F0226A8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        | 150854080 | PA      | $125258969.95 | 1.05%             | 2055-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                                 | FNCL 4.5 UMBS TBA 10-01-55                     | CUSIP: 01F0426A6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   3876000 | PA      | $3724851.50   | 0.03%             | 2055-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                                 | FNCI 2.5 UMBS TBA 10-01-40                     | CUSIP: 01F0224A0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   5234798 | PA      | $4915867.93   | 0.04%             | 2040-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                                 | FNCI 4.0 UMBS TBA 10-01-40                     | CUSIP: 01F0404A2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   6101562 | PA      | $5989067.50   | 0.05%             | 2040-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CAPITAL GROUP CENTRAL CASH FUND                             | CAPITAL GROUP CENTRAL CASH FUND                | CUSIP: 14020B102<br>LEI: 549300YD0SRETB6WWP29 | Long             | STIV             | RF                | US        |   9365671 | NS      | $936660738.71 | 7.89%             |  |  |  | No            |                  1 | On Loan: No      |
| RISKLESS ISSUER                                             | OIS PAYFIX USD 3.41% 03-09-23/07-28-45 LCH     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $10579908.00  | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                             | OIS PAYFIX USD 3.6038% 01-08-24/01-08-34 LCH   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $-102875.50   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                             | OIS PAYFIX USD 3.8215% 04-23-25/04-23-35 LCH   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $-123536.34   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                             | OIS PAYFIX USD 4.0415% 06-17-25/06-17-55 LCH   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $22157.81     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                             | OIS PAYFIX USD 4.0265% 07-11-25/07-11-55 LCH   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $44341.90     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                             | OIS PAYFIX USD 3.802% 07-11-25/07-11-35 LCH    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $-71926.40    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CME CHICAGO MERCANTILE EXCHANGE                             | SOFR 90DAY FUT OPT SFRU5C C @ 98 09-12-25      | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              |  | US        |      4605 | NC      | $28781.25     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CME CHICAGO MERCANTILE EXCHANGE                             | SOFR 90DAY FUT OPT SFRU5C C @ 97 09-12-25      | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              |  | US        |      1656 | NC      | $10350.00     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CME CHICAGO MERCANTILE EXCHANGE                             | SOFR 90DAY FUT OPT SFRZ5P P @ 95.6875 12-12-25 | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              |  | US        |     11750 | NC      | $73437.50     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CME CHICAGO MERCANTILE EXCHANGE                             | SOFR 90DAY FUT OPT SFRU5C C @ 96.125 09-12-25  | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              |  | US        |      6081 | NC      | $76012.50     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.5 BY2795 04-01-53                  | CUSIP: 3140NKC90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    558588 | PA      | $564039.02    | 0.00%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.5 QF5680 01-01-53                  | CUSIP: 3133BTJZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    680501 | PA      | $687455.97    | 0.01%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.5 BX5097 02-01-53                  | CUSIP: 3140N9UX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    596128 | PA      | $601536.44    | 0.01%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.5 BX8835 03-01-53                  | CUSIP: 3140NDY92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    701425 | PA      | $707380.71    | 0.01%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.5 BX8389 03-01-53                  | CUSIP: 3140NDKB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    558755 | PA      | $563319.58    | 0.00%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.5 BX9427 03-01-53                  | CUSIP: 3140NEPM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    211885 | PA      | $214664.14    | 0.00%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.5 BY3521 06-01-53                  | CUSIP: 3140NK4F5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    822087 | PA      | $828773.42    | 0.01%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 FS3256 11-01-52                  | CUSIP: 3140XJTN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     67612 | PA      | $69393.38     | 0.00%             | 2052-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 FS4775 06-01-53                  | CUSIP: 3140XLJV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     81629 | PA      | $83738.72     | 0.00%             | 2053-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 SD3240 06-01-53                  | CUSIP: 3132DQS56<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1736410 | PA      | $1781264.43   | 0.01%             | 2053-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 SD3356 07-01-53                  | CUSIP: 3132DQWR3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1187893 | PA      | $1217883.04   | 0.01%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.0 CA8820 02-01-51                  | CUSIP: 3140QGYS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  26893903 | PA      | $21649296.17  | 0.18%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.0 CA8108 12-01-50                  | CUSIP: 3140QGAJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  13031677 | PA      | $10490421.60  | 0.09%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.5 FS5192 06-01-53                  | CUSIP: 3140XLXW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   4880210 | PA      | $4931715.62   | 0.04%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.5 RA8059 10-01-52                  | CUSIP: 3133KP5U8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   9132150 | PA      | $9257899.35   | 0.08%             | 2052-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.5 SD3369 05-01-53                  | CUSIP: 3132DQW69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1378302 | PA      | $1392708.40   | 0.01%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.5 FM6112 02-01-51                  | CUSIP: 3140X9YJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  27057234 | PA      | $22658323.02  | 0.19%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 4.0 CB4119 07-01-52                  | CUSIP: 3140QPSH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  75931985 | PA      | $71020096.77  | 0.60%             | 2052-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 MA5216 12-01-53                  | CUSIP: 31418EYN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   7517447 | PA      | $7714720.25   | 0.06%             | 2053-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 MA5166 10-01-53                  | CUSIP: 31418EW48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  20422410 | PA      | $20936972.75  | 0.18%             | 2053-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                      | FGTW 4.0 K93558 05-01-36                       | CUSIP: 3132LPZX0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    349010 | PA      | $343469.62    | 0.00%             | 2036-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCI UMBS 4.0 MA2717 08-01-36                  | CUSIP: 31418CAT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    947634 | PA      | $939517.88    | 0.01%             | 2036-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCI UMBS 4.0 MA2746 09-01-36                  | CUSIP: 31418CBQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1760325 | PA      | $1744795.27   | 0.01%             | 2036-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCT UMBS 4.0 MA2787 10-01-36                  | CUSIP: 31418CCZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    442042 | PA      | $437081.56    | 0.00%             | 2036-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                      | FGLMC 3.5 T65389 09-01-46                      | CUSIP: 31322Y7A3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     39448 | PA      | $36093.44     | 0.00%             | 2046-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                      | FGTW 4.0 C91899 09-01-36                       | CUSIP: 3128P8DC2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    407534 | PA      | $403357.72    | 0.00%             | 2036-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.5 AT7161 06-01-43                  | CUSIP: 3138WU5X7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    326034 | PA      | $305855.54    | 0.00%             | 2043-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                      | FGLMC 3.5 Q55056 03-01-48                      | CUSIP: 3132XXTN9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    449689 | PA      | $416472.22    | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 3.5 RA1463 10-01-49                  | CUSIP: 3133KGTU2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3403946 | PA      | $3155914.34   | 0.03%             | 2049-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                      | FGLMC 3.5 Q54781 03-01-48                      | CUSIP: 3132XXJ34<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    158293 | PA      | $146437.11    | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                      | FGLMC 3.5 Q54699 03-01-48                      | CUSIP: 3132XXGH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    103939 | PA      | $95677.56     | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                      | FGLMC 3.5 Q54831 03-01-48                      | CUSIP: 3132XXLM9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    130060 | PA      | $120582.91    | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 4.0 BK6840 06-01-48                  | CUSIP: 3140HLS64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    513615 | PA      | $489734.71    | 0.00%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.0 AC0794 10-01-39                  | CUSIP: 31417J3C2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     66536 | PA      | $67800.58     | 0.00%             | 2039-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.5 AX8521 12-01-44                  | CUSIP: 3138YAPF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     74760 | PA      | $69984.30     | 0.00%             | 2044-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 3.5 QA2748 09-01-49                  | CUSIP: 31339SBR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    413851 | PA      | $381977.20    | 0.00%             | 2049-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                      | FGLMC 3.5 Q28558 09-01-44                      | CUSIP: 3132M9E75<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1258602 | PA      | $1178632.59   | 0.01%             | 2044-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                      | FGLMC 4.0 Q55971 05-01-48                      | CUSIP: 3132XYT56<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    365363 | PA      | $345968.91    | 0.00%             | 2048-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.5 AR1512 01-01-43                  | CUSIP: 3138NXVE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    119387 | PA      | $112281.97    | 0.00%             | 2043-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                      | FGLMC 3.5 Q54709 03-01-48                      | CUSIP: 3132XXGT0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    461469 | PA      | $425760.79    | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 4.5 FS9792 12-01-50                  | CUSIP: 3140XR3A1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2818464 | PA      | $2761122.21   | 0.02%             | 2050-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 FS8795 08-01-54                  | CUSIP: 3140XQXZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   7672042 | PA      | $7845883.01   | 0.07%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.0 CB9737 01-01-55                  | CUSIP: 3140QVZB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  15794556 | PA      | $15625980.33  | 0.13%             | 2055-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 DC3867 11-01-54                  | CUSIP: 3140ARJM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    130238 | PA      | $133194.43    | 0.00%             | 2054-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.275 AU0626 06-01-43                | CUSIP: 3138WZVU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    149213 | PA      | $126949.68    | 0.00%             | 2043-06-01      | Fixed         | 2.27%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.275 AU8120 07-01-43                | CUSIP: 3138X8AW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     65571 | PA      | $55743.46     | 0.00%             | 2043-07-01      | Fixed         | 2.27%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.275 AU8121 08-01-43                | CUSIP: 3138X8AX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     81546 | PA      | $69799.03     | 0.00%             | 2043-08-01      | Fixed         | 2.27%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCI UMBS 3.025 AT7457 04-01-43                | CUSIP: 3138WVJB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    158463 | PA      | $145129.57    | 0.00%             | 2043-04-01      | Fixed         | 3.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCT UMBS 2.5 MA1640 09-01-33                  | CUSIP: 31418AZE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    521074 | PA      | $496848.41    | 0.00%             | 2033-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCZ AS0745 08-01-53                           | CUSIP: 3138W9ZK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    430075 | PA      | $389980.65    | 0.00%             | 2053-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCK 3.0 AU7556 09-01-33                       | CUSIP: 3138X7ME0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    253592 | PA      | $241679.42    | 0.00%             | 2033-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.0 AT5898 06-01-43                  | CUSIP: 3138WTRU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2621767 | PA      | $2395744.65   | 0.02%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2MHD 3.25 AH5911 85K MAX 08-20-35             | CUSIP: 36182NR88<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1396965 | PA      | $1341310.97   | 0.01%             | 2035-08-20      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2MHD 3.25 AH5912 110K MAX 08-20-40            | CUSIP: 36182NR96<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    430871 | PA      | $390851.62    | 0.00%             | 2040-08-20      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2RF 4.889 AQ8290 02-20-66                     | CUSIP: 36190VF75<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      6055 | PA      | $6040.47      | 0.00%             | 2066-02-20      | Fixed         | 4.89%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2RF 5.19 AQ8292 02-20-66                      | CUSIP: 36190VF91<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |       723 | PA      | $722.64       | 0.00%             | 2066-02-20      | Fixed         | 5.19%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2RF 5.2 773441 04-20-62                       | CUSIP: 36176RBJ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |       540 | PA      | $541.99       | 0.00%             | 2062-04-20      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2RF 5.2 AG8235 12-20-64                       | CUSIP: 36182DEG6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |       593 | PA      | $590.64       | 0.00%             | 2064-12-20      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                    | GNR 2016-H13 IO IO FRN 05-20-66                | CUSIP: 38376RUW4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |   2696543 | PA      | $32086.17     | 0.00%             | 2066-05-20      | Variable      | 0.48%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2JM 4.0 MA3727 06-20-46                       | CUSIP: 36179SD87<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    872098 | PA      | $819274.16    | 0.01%             | 2046-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2SF 4.0 MA4511 06-20-47                       | CUSIP: 36179TAL9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   2799887 | PA      | $2655916.45   | 0.02%             | 2047-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2SF 4.5 MA6041 07-20-49                       | CUSIP: 36179UWA6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    226417 | PA      | $221161.20    | 0.00%             | 2049-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2SF 5.0 MA6042 07-20-49                       | CUSIP: 36179UWB4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      6437 | PA      | $6496.82      | 0.00%             | 2049-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2MHD 4.0 778205 03-20-32                      | CUSIP: 36176WKS9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    219447 | PA      | $217546.93    | 0.00%             | 2032-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2 4.0 MA0273 09-20-41                         | CUSIP: 36179MJS0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    401572 | PA      | $373297.31    | 0.00%             | 2041-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2SF 4.0 770241 05-20-42                       | CUSIP: 36176MP23<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    273249 | PA      | $260889.28    | 0.00%             | 2042-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2MHD 4.0 778208 05-20-32                      | CUSIP: 36176WKV2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    214672 | PA      | $212748.93    | 0.00%             | 2032-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2 4.5 MA0274 07-20-41                         | CUSIP: 36179MJT8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    184747 | PA      | $179319.42    | 0.00%             | 2041-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2SF 4.0 770242 06-20-42                       | CUSIP: 36176MP31<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    420928 | PA      | $401888.32    | 0.00%             | 2042-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2MHD 3.75 AA7288 06-20-37                     | CUSIP: 36178FCZ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    234968 | PA      | $222284.08    | 0.00%             | 2037-06-20      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                           | GNSF 792276 06-15-42                           | CUSIP: 36177LQ64<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    141241 | PA      | $131948.48    | 0.00%             | 2042-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                           | GNSF 3.5 799343 85K MAX 07-15-42               | CUSIP: 36177ULZ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    293705 | PA      | $275296.24    | 0.00%             | 2042-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2SF 2.0 MA6994 11-20-50                       | CUSIP: 36179VXX3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   7360834 | PA      | $6037223.69   | 0.05%             | 2050-11-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2SF 6.5 796771 10-20-32                       | CUSIP: 36177RQZ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    144629 | PA      | $147882.65    | 0.00%             | 2032-10-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2 4.5 MA0310 10-20-41                         | CUSIP: 36179MKX7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    397343 | PA      | $385696.85    | 0.00%             | 2041-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2SF 5.5 783689 02-20-40                       | CUSIP: 3622A2C26<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    760499 | PA      | $785412.69    | 0.01%             | 2040-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2SF 6.0 783690 09-20-39                       | CUSIP: 3622A2C34<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    758826 | PA      | $803751.07    | 0.01%             | 2039-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2SF 5.0 783688 06-20-41                       | CUSIP: 3622A2CZ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    577991 | PA      | $585442.50    | 0.00%             | 2041-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2SF 4.5 783687 12-20-41                       | CUSIP: 3622A2CY6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    445072 | PA      | $435128.07    | 0.00%             | 2041-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2SF 4.5 AB3621 09-20-41                       | CUSIP: 36178QAW2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     96526 | PA      | $94159.86     | 0.00%             | 2041-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2SF 4.0 AC2872 06-20-42                       | CUSIP: 36179CFM9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    134548 | PA      | $126475.09    | 0.00%             | 2042-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2SF 5.0 AC2887 07-20-35                       | CUSIP: 36179CF49<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     76897 | PA      | $76559.71     | 0.00%             | 2035-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2SF 4.5 AC2904 05-20-41                       | CUSIP: 36179CGM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    320087 | PA      | $312248.25    | 0.00%             | 2041-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2SF 4.5 AB2159 03-20-42                       | CUSIP: 36178MMG3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    475736 | PA      | $465044.51    | 0.00%             | 2042-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2SF 2.0 MA7051 12-20-50                       | CUSIP: 36179VZQ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   9316687 | PA      | $7641378.88   | 0.06%             | 2050-12-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2SF 3.5 AG5105 09-20-43                       | CUSIP: 36181YU65<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    251351 | PA      | $229993.59    | 0.00%             | 2043-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                                 | FNCL 4.5 UMBS TBA 09-01-55                     | CUSIP: 01F042699<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     34273 | PA      | $32968.64     | 0.00%             | 2055-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                                 | FNCL 2.5 UMBS TBA 09-01-55                     | CUSIP: 01F022691<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        | 100956680 | PA      | $83839474.91  | 0.71%             | 2055-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                                 | FNCL 7.0 UMBS TBA 09-01-55                     | CUSIP: 01F070690<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  71313030 | PA      | $75029080.68  | 0.63%             | 2055-09-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.0 SD8315 04-01-53                  | CUSIP: 3132DWGY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1529500 | PA      | $1511877.47   | 0.01%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.0 SD2716 04-01-53                  | CUSIP: 3132DQAR7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   6330931 | PA      | $6295483.76   | 0.05%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.0 SD8329 06-01-53                  | CUSIP: 3132DWHE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  73335563 | PA      | $72656915.49  | 0.61%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.5 BW1289 10-01-52                  | CUSIP: 3140MSNF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3050996 | PA      | $3083821.31   | 0.03%             | 2052-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.0 MA5071 07-01-53                  | CUSIP: 31418ET59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1766151 | PA      | $1747708.82   | 0.01%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 BX5931 01-01-53                  | CUSIP: 3140NASV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3803468 | PA      | $3902309.17   | 0.03%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 BW5278 04-01-53                  | CUSIP: 3140MW2L9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     55886 | PA      | $57254.53     | 0.00%             | 2053-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 MA5073 07-01-53                  | CUSIP: 31418ET75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    164989 | PA      | $168981.15    | 0.00%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 BX8781 03-01-53                  | CUSIP: 3140NDXK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    335805 | PA      | $344646.99    | 0.00%             | 2053-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 QG3376 05-01-53                  | CUSIP: 3133C3XD3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    193760 | PA      | $198554.99    | 0.00%             | 2053-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 BX8415 04-01-53                  | CUSIP: 3140NDK55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    193382 | PA      | $199072.95    | 0.00%             | 2053-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.5 QF0924 09-01-52                  | CUSIP: 3133BNAZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    423401 | PA      | $427466.75    | 0.00%             | 2052-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.5 QF8462 03-01-53                  | CUSIP: 3133BWMK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3520093 | PA      | $3554621.48   | 0.03%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.5 QG1875 05-01-53                  | CUSIP: 3133C2CL0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    507127 | PA      | $511527.68    | 0.00%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.5 BX8514 03-01-53                  | CUSIP: 3140NDN86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    659407 | PA      | $667688.43    | 0.01%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.5 QF8554 03-01-53                  | CUSIP: 3133BWQF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    463754 | PA      | $468159.47    | 0.00%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.5 QG1023 04-01-53                  | CUSIP: 3133C1D49<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    799638 | PA      | $807953.92    | 0.01%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.5 QF7144 02-01-53                  | CUSIP: 3133BU5D5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    908700 | PA      | $917729.68    | 0.01%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.5 BX7779 03-01-53                  | CUSIP: 3140NCUD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    756070 | PA      | $763592.60    | 0.01%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.5 QG3365 05-01-53                  | CUSIP: 3133C3W28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    665850 | PA      | $674582.66    | 0.01%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.0 FS4251 02-01-52                  | CUSIP: 3140XKWM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2083421 | PA      | $1693735.48   | 0.01%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.0 FS6474 03-01-51                  | CUSIP: 3140XNFQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1813716 | PA      | $1446345.86   | 0.01%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 DC6459 11-01-54                  | CUSIP: 3140AUE90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    397218 | PA      | $406070.47    | 0.00%             | 2054-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.5 BE5009 01-01-45                  | CUSIP: 3140FQR74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    299383 | PA      | $280016.01    | 0.00%             | 2045-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 4.0 BH3122 06-01-47                  | CUSIP: 3140GRPG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     30027 | PA      | $28630.69     | 0.00%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS AE1283 12-01-41                      | CUSIP: 31419BM93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     27265 | PA      | $27811.00     | 0.00%             | 2041-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 4.5 BK9761 08-01-48                  | CUSIP: 3140HPZ34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     77396 | PA      | $76605.36     | 0.00%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                      | FGLMC 3.5 Q54701 03-01-48                      | CUSIP: 3132XXGK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    456786 | PA      | $419026.91    | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 4.0 BJ5015 12-01-47                  | CUSIP: 3140H6SD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    655954 | PA      | $625455.01    | 0.01%             | 2047-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.5 BJ4901 03-01-48                  | CUSIP: 3140H6NT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    367208 | PA      | $339653.37    | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 4.0 BK9743 08-01-48                  | CUSIP: 3140HPZH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    151547 | PA      | $144286.34    | 0.00%             | 2048-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.0 AE1290 02-01-42                  | CUSIP: 31419BNG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     60546 | PA      | $61361.34     | 0.00%             | 2042-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.5 BH2848 05-01-47                  | CUSIP: 3140GREW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     32700 | PA      | $30305.92     | 0.00%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 4.0 CA2850 12-01-48                  | CUSIP: 3140QAEY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    928895 | PA      | $890526.49    | 0.01%             | 2048-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.5 BE8742 05-01-47                  | CUSIP: 3140FUWC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     71005 | PA      | $65875.35     | 0.00%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.5 FM1443 09-01-49                  | CUSIP: 3140X4S98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2764664 | PA      | $2557300.64   | 0.02%             | 2049-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.5 FM1062 06-01-49                  | CUSIP: 3140X4FC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3765499 | PA      | $3491129.37   | 0.03%             | 2049-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.0 931768 08-01-39                  | CUSIP: 31412QFH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     14807 | PA      | $15088.69     | 0.00%             | 2039-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS AT0300 03-01-43                      | CUSIP: 3138WMKN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     30853 | PA      | $29257.20     | 0.00%             | 2043-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.5 BH2847 05-01-47                  | CUSIP: 3140GREV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      9374 | PA      | $8670.10      | 0.00%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.0 AD3566 10-01-35                  | CUSIP: 31418Q6C2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      9262 | PA      | $9458.81      | 0.00%             | 2035-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.5 BH2846 05-01-47                  | CUSIP: 3140GREU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     35735 | PA      | $33129.16     | 0.00%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                      | FGLMC 3.5 Q56591 06-01-48                      | CUSIP: 3132Y0KD1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    133595 | PA      | $122897.66    | 0.00%             | 2048-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.0 695412 06-01-33                  | CUSIP: 31400RR94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      1210 | PA      | $1237.27      | 0.00%             | 2033-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                      | FGLMC 3.5 Q54700 03-01-48                      | CUSIP: 3132XXGJ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    383190 | PA      | $352479.36    | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                      | FGLMC 3.5 Q19133 06-01-43                      | CUSIP: 3132JASX4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    127181 | PA      | $119182.41    | 0.00%             | 2043-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 4.0 BK5232 05-01-48                  | CUSIP: 3140HJY62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    383815 | PA      | $365969.84    | 0.00%             | 2048-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                      | FGLMC 4.0 Q56175 05-01-48                      | CUSIP: 3132XY2H9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    264818 | PA      | $252823.19    | 0.00%             | 2048-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 3.0 SD8225 07-01-52                  | CUSIP: 3132DWD67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  65695179 | PA      | $57067956.55  | 0.48%             | 2052-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.5 CB5020 10-01-52                  | CUSIP: 3140QQSJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     61885 | PA      | $62588.85     | 0.00%             | 2052-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.5 BX1488 10-01-52                  | CUSIP: 3140N5UN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    139736 | PA      | $143129.52    | 0.00%             | 2052-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCT UMBS 6.5 AD0838 10-01-27                  | CUSIP: 31418M4Y5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |       662 | PA      | $685.90       | 0.00%             | 2027-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCT UMBS 6.5 928957 12-01-27                  | CUSIP: 31412MB23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      1239 | PA      | $1283.64      | 0.00%             | 2027-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.5 801783 02-01-37                  | CUSIP: 31405WXL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      4454 | PA      | $4667.33      | 0.00%             | 2037-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                      | UNITED STATES TREASURY NOTE 4.125% 10-31-31    | CUSIP: 91282CLU3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5183900 | PA      | $5264088.71   | 0.04%             | 2031-10-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                      | UNITED STATES TREASURY NOTE 4.125% 01-31-27    | CUSIP: 91282CMH1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  27000000 | PA      | $27137000.70  | 0.23%             | 2027-01-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                      | UNITED STATES TREASURY NOTE 4.375% 01-31-32    | CUSIP: 91282CMK4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  11000000 | PA      | $11310664.20  | 0.10%             | 2032-01-31      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                      | UNITED STATES TREASURY NOTE 4.625% 02-15-55    | CUSIP: 912810UG1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  45000000 | PA      | $42897654.00  | 0.36%             | 2055-02-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                      | UNITED STATES TREASURY NOTE 3.75% 06-30-27     | CUSIP: 91282CNL1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  28375700 | PA      | $28425947.69  | 0.24%             | 2027-06-30      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                      | UNITED STATES TREASURY NOTE 4.0% 06-30-32      | CUSIP: 91282CNJ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  30000000 | PA      | $30153516.00  | 0.25%             | 2032-06-30      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                      | UNITED STATES TREASURY NOTE 1.25% 05-31-28     | CUSIP: 91282CCE9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3800000 | PA      | $3569921.78   | 0.03%             | 2028-05-31      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                      | UNITED STATES TREASURY NOTE 1.25% 06-30-28     | CUSIP: 91282CCH2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  19000000 | PA      | $17819921.40  | 0.15%             | 2028-06-30      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                      | UNITED STATES TREASURY NOTE 2.0% 08-15-51      | CUSIP: 912810SZ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  11000000 | PA      | $6207264.80   | 0.05%             | 2051-08-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                      | UNITED STATES TREASURY NOTE 2.875% 05-15-32    | CUSIP: 91282CEP2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5822000 | PA      | $5469041.25   | 0.05%             | 2032-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| ARROYO MORTGAGE TRUST ARRW_19-1                             | ARRW 2019-1 A1 144A FRN 01-25-49               | CUSIP: 042859AA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     34923 | PA      | $34184.65     | 0.00%             | 2049-01-25      | Variable      | 3.81%                 | Yes           |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST BX_21-SOAR                     | BX 2021-SOAR A 144A FRN 06-15-38               | CUSIP: 05608WAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   9171496 | PA      | $9170156.46   | 0.08%             | 2038-06-15      | Variable      | 5.15%                 | Yes           |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST BX_21-VOLT                     | BX 2021-VOLT A 144A FRN 09-15-36               | CUSIP: 05609VAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  26061477 | PA      | $26028561.05  | 0.22%             | 2036-09-15      | Variable      | 5.18%                 | Yes           |                  2 | On Loan: No      |
| BX TRUST BX_21-ARIA                                         | BX 2021-ARIA A 144A FRN 10-15-36               | CUSIP: 05608RAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  19921000 | PA      | $19926498.20  | 0.17%             | 2036-10-15      | Variable      | 5.38%                 | Yes           |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2022-CSMO                      | BX 2022-CSMO A 144A FRN 06-15-27               | CUSIP: 05610MAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   7875000 | PA      | $7930038.38   | 0.07%             | 2027-06-15      | Variable      | 6.48%                 | Yes           |                  2 | On Loan: No      |
| COLT MORTGAGE LOAN TRUST COLT_21-5                          | COLT 2021-5 A1 144A FRN 11-26-66               | CUSIP: 12598RAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    773020 | PA      | $700356.29    | 0.01%             | 2066-11-26      | Variable      | 1.73%                 | Yes           |                  2 | On Loan: No      |
| CIM TRUST CIM_22-R2                                         | CIM 2022-R2 A1 144A FRN 12-25-61               | CUSIP: 12567NAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  13299378 | PA      | $12730975.50  | 0.11%             | 2061-12-25      | Variable      | 3.75%                 | Yes           |                  2 | On Loan: No      |
| CITIGROUP COMMERCIAL MORTGAGE TRUST CGCMT_23-SMRT           | CGCMT 23-SMRT A 144A FRN 10-12-40              | CUSIP: 17291NAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  31782000 | PA      | $32858837.72  | 0.28%             | 2040-10-12      | Variable      | 6.01%                 | Yes           |                  2 | On Loan: No      |
| EXTENDED STAY AMERICA TRUST ESA_21-ESH                      | ESA 2021-ESH A 144A FRN 07-15-38               | CUSIP: 30227FAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5358091 | PA      | $5360748.15   | 0.05%             | 2038-07-15      | Variable      | 5.56%                 | Yes           |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                      | FGLMC 4.5 Q40896 04-01-46                      | CUSIP: 3132WD7J7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    426136 | PA      | $420198.39    | 0.00%             | 2046-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.0 SD8204 04-01-52                  | CUSIP: 3132DWDH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1667061 | PA      | $1331105.12   | 0.01%             | 2052-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 4.5 RA7556 06-01-52                  | CUSIP: 3133KPMD7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  11544311 | PA      | $11146124.72  | 0.09%             | 2052-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCT UMBS 2.5 MA4521 01-01-42                  | CUSIP: 31418EAX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  17752229 | PA      | $15727764.73  | 0.13%             | 2042-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.0 RA5288 05-01-51                  | CUSIP: 3133KL2V8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  24636387 | PA      | $19869246.22  | 0.17%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.0 CB0290 04-01-51                  | CUSIP: 3140QKKC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   5818021 | PA      | $4661886.85   | 0.04%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 3.5 QD7089 02-01-52                  | CUSIP: 3133B42W4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    455723 | PA      | $415009.04    | 0.00%             | 2052-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.5 SD1385 11-01-51                  | CUSIP: 3132DNRE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   5319159 | PA      | $4501944.88   | 0.04%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.5 CB1527 09-01-51                  | CUSIP: 3140QLVV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  33391065 | PA      | $28003950.71  | 0.24%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.5 FM7900 07-01-51                  | CUSIP: 3140XBX62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1908425 | PA      | $1616273.97   | 0.01%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNMDI4 4.5 BF0585 12-01-61                     | CUSIP: 3140FXUK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3699730 | PA      | $3563358.22   | 0.03%             | 2061-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.5 CB2286 12-01-51                  | CUSIP: 3140QMRG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   5221235 | PA      | $4407427.33   | 0.04%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.5 CA6593 08-01-50                  | CUSIP: 3140QEKF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3739269 | PA      | $3169748.55   | 0.03%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.0 FS0965 11-01-51                  | CUSIP: 3140XGCB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    186388 | PA      | $148916.84    | 0.00%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.0 BR1035 05-01-51                  | CUSIP: 3140KYEH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     24378 | PA      | $19465.08     | 0.00%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.0 BP6715 09-01-50                  | CUSIP: 3140KEN95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      1346 | PA      | $1079.73      | 0.00%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 4.5 SD8266 11-01-52                  | CUSIP: 3132DWFF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    822433 | PA      | $796298.15    | 0.01%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 4.5 MA4805 11-01-52                  | CUSIP: 31418EKT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1184777 | PA      | $1143669.03   | 0.01%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.5 QC6921 09-01-51                  | CUSIP: 3133ARVN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    844801 | PA      | $702279.45    | 0.01%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.5 FM9067 10-01-51                  | CUSIP: 3140XDCD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    566645 | PA      | $471347.04    | 0.00%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.5 QE2352 05-01-52                  | CUSIP: 3133BBTH2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     87736 | PA      | $72934.97     | 0.00%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.5 RA5759 09-01-51                  | CUSIP: 3133KMMG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  11646278 | PA      | $9681504.46   | 0.08%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.5 CB1134 07-01-51                  | CUSIP: 3140QLHL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1121102 | PA      | $931967.42    | 0.01%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.5 QC8778 10-01-51                  | CUSIP: 3133ATXF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    248741 | PA      | $206777.02    | 0.00%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.0 SD8276 12-01-52                  | CUSIP: 3132DWFR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  37879846 | PA      | $37554723.32  | 0.32%             | 2052-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.5 BQ7564 11-01-50                  | CUSIP: 3140KTMN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     59974 | PA      | $49943.41     | 0.00%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 4.5 SD8287 01-01-53                  | CUSIP: 3132DWF40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    475287 | PA      | $458746.20    | 0.00%             | 2053-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.0 SD8288 01-01-53                  | CUSIP: 3132DWF57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    542540 | PA      | $537883.15    | 0.00%             | 2053-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.0 BV5578 05-01-52                  | CUSIP: 3140MKFU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   9063589 | PA      | $7876657.59   | 0.07%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.0 BT8220 05-01-52                  | CUSIP: 3140LXD28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3305242 | PA      | $2881182.80   | 0.02%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 4.5 SD1895 11-01-52                  | CUSIP: 3132DPC89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  34332692 | PA      | $33801770.92  | 0.28%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.0 BW1392 12-01-52                  | CUSIP: 3140MSRN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1929593 | PA      | $1674091.50   | 0.01%             | 2052-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.5 CB2870 02-01-52                  | CUSIP: 3140QNFL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    422469 | PA      | $352660.73    | 0.00%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNMDI4 3.5 BF0765 09-01-63                     | CUSIP: 3140FXZ70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        | 111987062 | PA      | $99547762.81  | 0.84%             | 2063-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 3.0 SD2602 12-01-52                  | CUSIP: 3132DP3K2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2592313 | PA      | $2250143.33   | 0.02%             | 2052-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.0 FS7823 07-01-53                  | CUSIP: 3140XPVR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   4156388 | PA      | $3319391.04   | 0.03%             | 2053-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.0 SD5343 03-01-52                  | CUSIP: 3132DS5C2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1818442 | PA      | $1451729.53   | 0.01%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.0 FS1742 03-01-52                  | CUSIP: 3140XG5C9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    810493 | PA      | $647522.53    | 0.01%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.5 FS8131 06-01-54                  | CUSIP: 3140XQA98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1078776 | PA      | $1092850.57   | 0.01%             | 2054-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.5 RJ1768 06-01-54                  | CUSIP: 3142GR6E5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1296693 | PA      | $1313451.46   | 0.01%             | 2054-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 RJ1779 06-01-54                  | CUSIP: 3142GR6R6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   5470867 | PA      | $5640157.56   | 0.05%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 RJ1785 06-01-54                  | CUSIP: 3142GR6X3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   7814112 | PA      | $8044190.85   | 0.07%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 CB8755 06-01-54                  | CUSIP: 3140QUWR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   6611960 | PA      | $6815211.70   | 0.06%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.0 RJ1855 06-01-54                  | CUSIP: 3142GSBZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3558075 | PA      | $3521202.61   | 0.03%             | 2054-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 RJ1859 06-01-54                  | CUSIP: 3142GSB56<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  24692400 | PA      | $25349292.02  | 0.21%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.5 RJ1857 06-01-54                  | CUSIP: 3142GSB31<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   6220008 | PA      | $6297191.63   | 0.05%             | 2054-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 FS8153 06-01-54                  | CUSIP: 3140XQBX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  23101319 | PA      | $23792810.30  | 0.20%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 FS7031 02-01-54                  | CUSIP: 3140XNY57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   6938358 | PA      | $7156236.04   | 0.06%             | 2054-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 SD8447 07-01-54                  | CUSIP: 3132DWL43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   7111138 | PA      | $7278527.17   | 0.06%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 MA5421 07-01-54                  | CUSIP: 31418FAX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  38132404 | PA      | $38984320.42  | 0.33%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.5 MA5420 07-01-54                  | CUSIP: 31418FAW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    100523 | PA      | $101183.69    | 0.00%             | 2054-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 SD5303 04-01-54                  | CUSIP: 3132DS3L4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  12313580 | PA      | $12679761.23  | 0.11%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.5 BU4699 07-01-54                  | CUSIP: 3140M6GH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   4485381 | PA      | $4529728.41   | 0.04%             | 2054-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 BU4700 07-01-54                  | CUSIP: 3140M6GJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  11787793 | PA      | $12101383.51  | 0.10%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.5 QI8872 07-01-54                  | CUSIP: 3133WF2D8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2234262 | PA      | $2256352.21   | 0.02%             | 2054-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 QI8874 07-01-54                  | CUSIP: 3133WF2F3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   4884463 | PA      | $5008416.21   | 0.04%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.5 SD5701 06-01-54                  | CUSIP: 3132DTKN9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   4532999 | PA      | $4732840.80   | 0.04%             | 2054-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 RJ2314 09-01-54                  | CUSIP: 3142GSSC3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  11280091 | PA      | $11562329.87  | 0.10%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.5 RJ2325 09-01-54                  | CUSIP: 3142GSSP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1745387 | PA      | $1820025.19   | 0.02%             | 2054-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.5 RJ2320 09-01-54                  | CUSIP: 3142GSSJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3272597 | PA      | $3416879.42   | 0.03%             | 2054-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 RJ2309 09-01-54                  | CUSIP: 3142GSR75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3476054 | PA      | $3560184.62   | 0.03%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 RJ2306 09-01-54                  | CUSIP: 3142GSR42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   5374467 | PA      | $5547369.32   | 0.05%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 RJ2308 09-01-54                  | CUSIP: 3142GSR67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   5660197 | PA      | $5839687.72   | 0.05%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 RJ2312 09-01-54                  | CUSIP: 3142GSSA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   6160887 | PA      | $6329830.35   | 0.05%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.5 SD5221 04-01-54                  | CUSIP: 3132DSYS5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   4814221 | PA      | $5033879.73   | 0.04%             | 2054-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.5 FS7653 03-01-54                  | CUSIP: 3140XPQF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3382584 | PA      | $3536406.99   | 0.03%             | 2054-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.5 FS8229 06-01-54                  | CUSIP: 3140XQEB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   8940434 | PA      | $9356432.62   | 0.08%             | 2054-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.5 QI8876 07-01-54                  | CUSIP: 3133WF2H9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  29526453 | PA      | $30760451.74  | 0.26%             | 2054-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.5 FS6767 01-01-54                  | CUSIP: 3140XNQV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  11332296 | PA      | $11831903.32  | 0.10%             | 2054-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.5 RJ0326 11-01-53                  | CUSIP: 3142GQLG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3753773 | PA      | $3913105.72   | 0.03%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 FS8756 08-01-54                  | CUSIP: 3140XQWS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2089045 | PA      | $2149531.52   | 0.02%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 SD6029 08-01-54                  | CUSIP: 3132DTVW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3217929 | PA      | $3306171.42   | 0.03%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 BU4916 08-01-54                  | CUSIP: 3140M6PA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2537046 | PA      | $2598449.69   | 0.02%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 SD5813 07-01-54                  | CUSIP: 3132DTN63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   5458245 | PA      | $5626980.94   | 0.05%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 FS8757 08-01-54                  | CUSIP: 3140XQWT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   5197263 | PA      | $5349334.99   | 0.05%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 BU4968 08-01-54                  | CUSIP: 3140M6QW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    679511 | PA      | $694847.08    | 0.01%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 FS8866 09-01-54                  | CUSIP: 3140XQZ83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3356001 | PA      | $3448029.46   | 0.03%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 FS8758 08-01-54                  | CUSIP: 3140XQWU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1994478 | PA      | $2042748.08   | 0.02%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.5 MA5470 09-01-54                  | CUSIP: 31418FCG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   6858788 | PA      | $6909302.49   | 0.06%             | 2054-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.0 CB4620 09-01-52                  | CUSIP: 3140QQD28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   9488259 | PA      | $9455012.60   | 0.08%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.5 BU4946 09-01-54                  | CUSIP: 3140M6P80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     39044 | PA      | $39331.06     | 0.00%             | 2054-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.5 QJ3044 09-01-54                  | CUSIP: 3133CTLZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     79086 | PA      | $79680.36     | 0.00%             | 2054-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ACAR 2024-3                                                 | ACAR 2024-3 A 144A 5.76% 11-12-27              | CUSIP: 02490BAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    684402 | PA      | $685279.60    | 0.01%             | 2027-11-12      | Fixed         | 5.76%                 | Yes           |                  2 | On Loan: No      |
| BRIDGECREST LENDING AUTO SECURITIZATION TRUST BLAST_24-4    | BLAST 2024-4 A2 4.84% 09-15-27                 | CUSIP: 10806EAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    608756 | PA      | $609130.70    | 0.01%             | 2027-09-15      | Fixed         | 4.84%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 4.5 CB9736 01-01-55                  | CUSIP: 3140QVZA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    975770 | PA      | $939296.74    | 0.01%             | 2055-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 4.5 CB9770 12-01-54                  | CUSIP: 3140QV2C7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    739563 | PA      | $712519.58    | 0.01%             | 2054-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 4.5 CB9768 12-01-54                  | CUSIP: 3140QV2A1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    274060 | PA      | $263880.47    | 0.00%             | 2054-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.0 BU5361 12-01-54                  | CUSIP: 3140M65X7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   9051235 | PA      | $8954631.45   | 0.08%             | 2054-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.0 QX1743 12-01-54                  | CUSIP: 31425V5D1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   7735259 | PA      | $7653497.60   | 0.06%             | 2054-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.0 QX2834 12-01-54                  | CUSIP: 31425XEG0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2555887 | PA      | $2528408.44   | 0.02%             | 2054-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.0 QC3259 06-01-51                  | CUSIP: 3133AMTQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    992643 | PA      | $789300.99    | 0.01%             | 2051-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.0 BT2177 02-01-52                  | CUSIP: 3140LQM31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    562882 | PA      | $449012.33    | 0.00%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.0 FM6332 02-01-51                  | CUSIP: 3140XABA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    887210 | PA      | $705465.65    | 0.01%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.0 CB2927 02-01-52                  | CUSIP: 3140QNHD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    383647 | PA      | $305667.20    | 0.00%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.0 SD4071 03-01-52                  | CUSIP: 3132E0QY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1869093 | PA      | $1486211.53   | 0.01%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.0 SD1403 01-01-52                  | CUSIP: 3132DNRY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1371496 | PA      | $1090546.14   | 0.01%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.0 FS7385 02-01-51                  | CUSIP: 3140XPF38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    983986 | PA      | $784180.38    | 0.01%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.0 BT6597 02-01-52                  | CUSIP: 3140LVKK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2698237 | PA      | $2150238.78   | 0.02%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.0 BU8256 02-01-52                  | CUSIP: 3140MAE67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1693224 | PA      | $1350019.56   | 0.01%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.0 QB5019 11-01-50                  | CUSIP: 3133ABSG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2762343 | PA      | $2206879.78   | 0.02%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.0 QD6549 02-01-52                  | CUSIP: 3133B4H24<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     66893 | PA      | $53189.80     | 0.00%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.0 QD6009 01-01-52                  | CUSIP: 3133B3VA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    997425 | PA      | $793103.61    | 0.01%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.0 BU8915 04-01-52                  | CUSIP: 3140MA3Z5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    109227 | PA      | $86851.68     | 0.00%             | 2052-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.0 FM8730 09-01-51                  | CUSIP: 3140XCVY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    122839 | PA      | $97675.69     | 0.00%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.5 MA5190 11-01-53                  | CUSIP: 31418EXU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  17245894 | PA      | $17383551.05  | 0.15%             | 2053-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 SD4053 10-01-53                  | CUSIP: 3132E0QE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  24429221 | PA      | $25055317.37  | 0.21%             | 2053-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.5 SD3620 08-01-53                  | CUSIP: 3132E0AV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  12831794 | PA      | $13054822.90  | 0.11%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.5 SD8362 09-01-53                  | CUSIP: 3132DWJF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    118847 | PA      | $119978.89    | 0.00%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 MA5139 09-01-53                  | CUSIP: 31418EV98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    263630 | PA      | $269889.06    | 0.00%             | 2053-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 SD8402 02-01-54                  | CUSIP: 3132DWKP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3562569 | PA      | $3642787.37   | 0.03%             | 2054-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SEASONED LOANS STRUCTURED TRANSACTION TRUST SLST_21-1       | SLST 2021-1 AC 2.25% 05-26-31                  | CUSIP: 35564CKH9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |  26053587 | PA      | $23829939.43  | 0.20%             | 2031-05-26      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 CB7438 11-01-53                  | CUSIP: 3140QTHQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   4450913 | PA      | $4565216.74   | 0.04%             | 2053-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 CB7122 09-01-53                  | CUSIP: 3140QS4G3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   4151094 | PA      | $4257146.46   | 0.04%             | 2053-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 CB7480 11-01-53                  | CUSIP: 3140QTJ26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3122849 | PA      | $3203044.17   | 0.03%             | 2053-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 CB7862 01-01-54                  | CUSIP: 3140QTWY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   4038189 | PA      | $4139677.06   | 0.03%             | 2054-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.5 RJ0856 02-01-54                  | CUSIP: 3142GQ5S7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   8122774 | PA      | $8451486.36   | 0.07%             | 2054-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 CB7932 02-01-54                  | CUSIP: 3140QTY60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  50487310 | PA      | $51740152.78  | 0.44%             | 2054-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.5 CB7933 02-01-54                  | CUSIP: 3140QTY78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  20741856 | PA      | $21526230.21  | 0.18%             | 2054-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 CB7617 12-01-53                  | CUSIP: 3140QTPB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  29222144 | PA      | $29947232.83  | 0.25%             | 2053-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 4.0 CB5118 11-01-52                  | CUSIP: 3140QQVL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    475906 | PA      | $445195.52    | 0.00%             | 2052-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.0 SD4977 11-01-53                  | CUSIP: 3132DSQ62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        | 215729383 | PA      | $213243533.79 | 1.80%             | 2053-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.5 FS6873 01-01-54                  | CUSIP: 3140XNT79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  24322423 | PA      | $25244996.98  | 0.21%             | 2054-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.5 RJ1066 03-01-54                  | CUSIP: 3142GRFG0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  11274890 | PA      | $11410594.15  | 0.10%             | 2054-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 FS6880 01-01-54                  | CUSIP: 3140XNUE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  10011901 | PA      | $10261998.72  | 0.09%             | 2054-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 RJ1076 03-01-54                  | CUSIP: 3142GRFS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2056695 | PA      | $2105681.83   | 0.02%             | 2054-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 SD4964 02-01-54                  | CUSIP: 3132DSQR6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  16371253 | PA      | $16865894.24  | 0.14%             | 2054-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.5 MA5296 03-01-54                  | CUSIP: 31418E3E8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  13546546 | PA      | $13650501.84  | 0.11%             | 2054-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.5 SD8408 03-01-54                  | CUSIP: 3132DWKV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  26546003 | PA      | $26748336.81  | 0.23%             | 2054-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| DRIVE 2024-2                                                | DRIVE 2024-2 A2 4.94% 12-15-27                 | CUSIP: 26207AAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1218967 | PA      | $1219912.47   | 0.01%             | 2027-12-15      | Fixed         | 4.94%                 | No            |                  2 | On Loan: No      |
| FORD CREDIT AUTO OWNER TRUST FORDR_23-2                     | FORDR 2023-2 A 144A 5.28% 02-15-36             | CUSIP: 34535CAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  22413000 | PA      | $23220630.04  | 0.20%             | 2036-02-15      | Fixed         | 5.28%                 | Yes           |                  2 | On Loan: No      |
| GCAR 2024-3A                                                | GCAR 2024-3A A2 144A 5.35% 08-16-27            | CUSIP: 37989AAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    524264 | PA      | $524977.70    | 0.00%             | 2027-08-16      | Fixed         | 5.35%                 | Yes           |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCI UMBS 3.5 BJ9000 11-01-33                  | CUSIP: 3140HBAA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     74796 | PA      | $73259.52     | 0.00%             | 2033-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCT UMBS 6.5 ZA2045 01-01-28                  | CUSIP: 31329KHW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      2378 | PA      | $2464.22      | 0.00%             | 2028-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCI UMBS 3.0 BJ4856 02-01-33                  | CUSIP: 3140H6ME6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     62219 | PA      | $60302.15     | 0.00%             | 2033-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCI UMBS 3.0 BM3919 02-01-33                  | CUSIP: 3140J8K93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      5211 | PA      | $5084.40      | 0.00%             | 2033-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCI UMBS 3.0 ZS8710 08-01-33                  | CUSIP: 3132A9VB0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |       762 | PA      | $742.42       | 0.00%             | 2033-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER SCRT_18-3                     | SCRT 2018-3 MA 3.5% 08-25-57                   | CUSIP: 35563PGG8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    782013 | PA      | $759948.78    | 0.01%             | 2057-08-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 3.5 SD7503 08-01-49                  | CUSIP: 3132DVKQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  23423967 | PA      | $21583827.33  | 0.18%             | 2049-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCI UMBS 2.5 BO6247 12-01-34                  | CUSIP: 3140K15H5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3279149 | PA      | $3107209.96   | 0.03%             | 2034-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCI UMBS 2.5 ZS8087 04-01-33                  | CUSIP: 3132A86Y0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     14418 | PA      | $13835.41     | 0.00%             | 2033-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCI UMBS 2.5 ZS8675 11-01-32                  | CUSIP: 3132A9T80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      4708 | PA      | $4524.05      | 0.00%             | 2032-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCI UMBS 3.0 SB8041 04-01-35                  | CUSIP: 3132D55A6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |       433 | PA      | $419.11       | 0.00%             | 2035-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                      | FGLMC 4.0 G67711 03-01-48                      | CUSIP: 3132XCR80<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  10895746 | PA      | $10402223.38  | 0.09%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 3.5 RA1580 10-01-49                  | CUSIP: 3133KGXH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3525267 | PA      | $3268405.03   | 0.03%             | 2049-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 3.5 QA0284 06-01-49                  | CUSIP: 31334WJ51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1405386 | PA      | $1299976.20   | 0.01%             | 2049-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 932606 02-01-40                      | CUSIP: 31412RDK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     23493 | PA      | $23943.70     | 0.00%             | 2040-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.5 BD2440 01-01-47                  | CUSIP: 3140F9WA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    296324 | PA      | $274148.50    | 0.00%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCI UMBS 3.0 BJ4876 02-01-33                  | CUSIP: 3140H6M22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    236300 | PA      | $228717.17    | 0.00%             | 2033-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCI UMBS 3.5 CA2106 07-01-33                  | CUSIP: 3140Q9KU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      6814 | PA      | $6731.78      | 0.00%             | 2033-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.5 AL3829 06-01-43                  | CUSIP: 3138ELHF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    995453 | PA      | $937286.85    | 0.01%             | 2043-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                      | FGLMC 4.5 Q58436 09-01-48                      | CUSIP: 3132Y2LS3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    456512 | PA      | $449171.98    | 0.00%             | 2048-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC - SCRT SCRT_17-3                                | SCRT 2017-3 HT 3.25% 07-25-56                  | CUSIP: 35563PBX6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    566366 | PA      | $503256.11    | 0.00%             | 2056-07-25      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC - SCRT SCRT_17-3                                | SCRT 2017-3 MT 3.0% 07-25-56                   | CUSIP: 35563PBS7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   3742478 | PA      | $3221210.83   | 0.03%             | 2056-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC FHLMC_18-1SC                                    | SCRT 2018-1 HT 3.0% 05-25-57                   | CUSIP: 35563PDT3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   3525067 | PA      | $3023372.41   | 0.03%             | 2057-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.5 BN6708 06-01-49                  | CUSIP: 3140JPN27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1013684 | PA      | $938704.58    | 0.01%             | 2049-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCI UMBS 3.5 AY1948 01-01-30                  | CUSIP: 3138YFEW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     26921 | PA      | $26555.21     | 0.00%             | 2030-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCI UMBS 3.5 AZ0554 10-01-30                  | CUSIP: 3138YRTL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     40187 | PA      | $39610.12     | 0.00%             | 2030-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 3.0 SD0187 01-01-50                  | CUSIP: 3132DMF42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2510861 | PA      | $2232935.97   | 0.02%             | 2050-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS SD7512 02-01-50                      | CUSIP: 3132DVKZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  10158974 | PA      | $9007921.80   | 0.08%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 3.5 RA1996 01-01-50                  | CUSIP: 3133KHGD2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   9047925 | PA      | $8290097.75   | 0.07%             | 2050-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCT UMBS 4.0 MA3099 08-01-37                  | CUSIP: 31418CNR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1249737 | PA      | $1238097.36   | 0.01%             | 2037-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.0 MA4237 01-01-51                  | CUSIP: 31418DV74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    764434 | PA      | $613319.79    | 0.01%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                      | FGLMC 6.0 G03699 01-01-38                      | CUSIP: 3128M5NQ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     41291 | PA      | $43564.77     | 0.00%             | 2038-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNMDI6 3.0 BF0497 07-01-60                     | CUSIP: 3140FXRT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1416005 | PA      | $1222218.67   | 0.01%             | 2060-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNMDI4 3.5 BF0481 06-01-60                     | CUSIP: 3140FXRB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1812899 | PA      | $1627292.43   | 0.01%             | 2060-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNMDI4 3.5 BF0379 04-01-59                     | CUSIP: 3140FXM58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2843604 | PA      | $2553127.21   | 0.02%             | 2059-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.0 CB0041 04-01-51                  | CUSIP: 3140QKBK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   4999221 | PA      | $4439613.04   | 0.04%             | 2051-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNMDI4 3.5 BF0480 06-01-60                     | CUSIP: 3140FXRA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1166122 | PA      | $1046736.90   | 0.01%             | 2060-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.0 MA4208 12-01-50                  | CUSIP: 31418DVA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    868834 | PA      | $697262.92    | 0.01%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCT UMBS 2.0 MA4387 07-01-41                  | CUSIP: 31418D2V3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    295494 | PA      | $254078.81    | 0.00%             | 2041-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.5 FM7409 05-01-51                  | CUSIP: 3140XBGT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     82515 | PA      | $68691.66     | 0.00%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.0 BW7756 08-01-52                  | CUSIP: 3140N0TN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     23026 | PA      | $20070.23     | 0.00%             | 2052-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 3.0 SD8213 05-01-52                  | CUSIP: 3132DWDS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        | 102120287 | PA      | $88727926.31  | 0.75%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.5 FM8745 09-01-51                  | CUSIP: 3140XCWF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    149328 | PA      | $124199.52    | 0.00%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.5 MA4842 12-01-52                  | CUSIP: 31418ELY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   4177386 | PA      | $4227490.03   | 0.04%             | 2052-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.0 BW1195 09-01-52                  | CUSIP: 3140MSKH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3887658 | PA      | $3371695.68   | 0.03%             | 2052-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.0 MA4577 04-01-52                  | CUSIP: 31418ECP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  23579587 | PA      | $18823065.44  | 0.16%             | 2052-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.0 MA4562 03-01-52                  | CUSIP: 31418EB82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    827173 | PA      | $660476.99    | 0.01%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 3.0 QD7918 03-01-52                  | CUSIP: 3133B5YP1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    178559 | PA      | $155138.55    | 0.00%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 3.0 QD6327 02-01-52                  | CUSIP: 3133B4A47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    216287 | PA      | $187920.93    | 0.00%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 3.0 RA6955 03-01-52                  | CUSIP: 3133KNWQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  11999996 | PA      | $10407620.25  | 0.09%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 3.0 QF1771 10-01-52                  | CUSIP: 3133BN6G3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3785744 | PA      | $3285965.50   | 0.03%             | 2052-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 3.0 QF2029 10-01-52                  | CUSIP: 3133BPHE1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3451865 | PA      | $2996232.45   | 0.03%             | 2052-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.5 MA4711 07-01-52                  | CUSIP: 31418EGV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    380103 | PA      | $384130.00    | 0.00%             | 2052-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.5 CB4418 08-01-52                  | CUSIP: 3140QP4C8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    402869 | PA      | $406467.92    | 0.00%             | 2052-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.5 QF2862 11-01-52                  | CUSIP: 3133BQFB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     16603 | PA      | $17287.43     | 0.00%             | 2052-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.5 CB2088 11-01-51                  | CUSIP: 3140QMKA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     98646 | PA      | $82261.80     | 0.00%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.5 BX1223 10-01-52                  | CUSIP: 3140N5LD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    348380 | PA      | $354231.14    | 0.00%             | 2052-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 3.0 QC4360 07-01-51                  | CUSIP: 3133ANZZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    939981 | PA      | $816693.73    | 0.01%             | 2051-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.0 CB0738 06-01-51                  | CUSIP: 3140QKZC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     19362 | PA      | $16803.04     | 0.00%             | 2051-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 MA4894 01-01-53                  | CUSIP: 31418ENL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  30702392 | PA      | $31487666.71  | 0.27%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 3.0 SD7556 08-01-52                  | CUSIP: 3132DVMD4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    197605 | PA      | $173278.67    | 0.00%             | 2052-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 SD8301 02-01-53                  | CUSIP: 3132DWGJ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2601601 | PA      | $2672684.56   | 0.02%             | 2053-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 SD8290 01-01-53                  | CUSIP: 3132DWF73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        | 161317778 | PA      | $165493165.76 | 1.39%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.5 613025 07-01-31                  | CUSIP: 31388SA21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      3767 | PA      | $3905.15      | 0.00%             | 2031-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.5 ZS0839 12-01-32                  | CUSIP: 3132A04Y9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      4036 | PA      | $4226.38      | 0.00%             | 2032-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.5 745001 09-01-35                  | CUSIP: 31403CU25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     12761 | PA      | $13315.36     | 0.00%             | 2035-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.0 SD8211 05-01-52                  | CUSIP: 3132DWDQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     24953 | PA      | $19931.45     | 0.00%             | 2052-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.0 QD8820 03-01-52                  | CUSIP: 3133B6YR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    169435 | PA      | $134996.36    | 0.00%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 MA4920 02-01-53                  | CUSIP: 31418EPE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    787302 | PA      | $808523.93    | 0.01%             | 2053-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.0 CB3346 04-01-52                  | CUSIP: 3140QNWG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    997626 | PA      | $793263.70    | 0.01%             | 2052-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.5 ZS4189 06-01-35                  | CUSIP: 3132A4UN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |       481 | PA      | $509.05       | 0.00%             | 2035-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.0 SD8299 02-01-53                  | CUSIP: 3132DWGG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    779050 | PA      | $769591.37    | 0.01%             | 2053-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.0 RA6973 03-01-52                  | CUSIP: 3133KNXA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  16648495 | PA      | $13283168.24  | 0.11%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.0 QD6836 02-01-52                  | CUSIP: 3133B4SZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    840751 | PA      | $670060.88    | 0.01%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCT UMBS 6.5 ZJ9210 11-01-27                  | CUSIP: 3131X1GT2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |       276 | PA      | $276.59       | 0.00%             | 2027-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCT UMBS 6.5 ZA2066 03-01-28                  | CUSIP: 31329KJK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      6323 | PA      | $6434.72      | 0.00%             | 2028-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCT UMBS 6.5 ZA2096 11-01-28                  | CUSIP: 31329KKH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |       480 | PA      | $491.35       | 0.00%             | 2028-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCT UMBS 6.5 ZA1944 06-01-26                  | CUSIP: 31329KER1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |       492 | PA      | $509.78       | 0.00%             | 2026-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCT UMBS 6.5 256310 07-01-26                  | CUSIP: 31371MVB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |       264 | PA      | $274.07       | 0.00%             | 2026-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 FS3759 02-01-53                  | CUSIP: 3140XKE97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   8534813 | PA      | $8856993.37   | 0.07%             | 2053-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.0 BV3080 02-01-52                  | CUSIP: 3140MGM65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  31473190 | PA      | $25102197.79  | 0.21%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.0 BV3076 02-01-52                  | CUSIP: 3140MGM24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   9494597 | PA      | $7570156.31   | 0.06%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 3.5 SD1298 06-01-52                  | CUSIP: 3132DNNP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3681654 | PA      | $3329271.80   | 0.03%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 4.0 SD8305 03-01-53                  | CUSIP: 3132DWGN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   9217356 | PA      | $8608669.55   | 0.07%             | 2053-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 4.0 QF5422 01-01-53                  | CUSIP: 3133BTAX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    664909 | PA      | $621503.48    | 0.01%             | 2053-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.5 MA4941 03-01-53                  | CUSIP: 31418EP38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     38837 | PA      | $39250.77     | 0.00%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.5 MA4919 02-01-53                  | CUSIP: 31418EPD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   8594502 | PA      | $8686093.11   | 0.07%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 4.0 BU8882 03-01-52                  | CUSIP: 3140MA2Q6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   4481174 | PA      | $4191291.77   | 0.04%             | 2052-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 4.0 QD2929 12-01-51                  | CUSIP: 3133B0HE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    578497 | PA      | $540951.32    | 0.00%             | 2051-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 4.0 CB5378 09-01-52                  | CUSIP: 3140QQ6Q3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    465460 | PA      | $435424.58    | 0.00%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 4.0 BW7750 10-01-52                  | CUSIP: 3140N0TG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    175194 | PA      | $163762.72    | 0.00%             | 2052-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 4.0 QF7852 02-01-53                  | CUSIP: 3133BVWM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   6486139 | PA      | $6065370.33   | 0.05%             | 2053-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 MA4942 03-01-53                  | CUSIP: 31418EP46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    399279 | PA      | $409919.82    | 0.00%             | 2053-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 4.0 BW6230 09-01-52                  | CUSIP: 3140MX4Q4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    399595 | PA      | $373229.13    | 0.00%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.0 CB0850 06-01-51                  | CUSIP: 3140QK5L8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   4532058 | PA      | $3972548.47   | 0.03%             | 2051-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.0 FM8981 10-01-51                  | CUSIP: 3140XC6T0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  26557113 | PA      | $23249929.34  | 0.20%             | 2051-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.0 FS0647 02-01-52                  | CUSIP: 3140XFWH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1299356 | PA      | $1146397.47   | 0.01%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.0 RA6406 11-01-51                  | CUSIP: 3133KNDK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   5895694 | PA      | $4716602.30   | 0.04%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.0 RA7938 09-01-52                  | CUSIP: 3133KPZB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2550753 | PA      | $2532604.72   | 0.02%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.5 FM9416 07-01-45                  | CUSIP: 3140XDPA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1409401 | PA      | $1313424.77   | 0.01%             | 2045-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.5 FM3280 05-01-49                  | CUSIP: 3140X6UE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    369402 | PA      | $344518.72    | 0.00%             | 2049-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.5 CA5968 06-01-50                  | CUSIP: 3140QDT20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1250996 | PA      | $1059878.92   | 0.01%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.0 CB2765 02-01-52                  | CUSIP: 3140QNCB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   7870122 | PA      | $6307068.92   | 0.05%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCT UMBS 6.5 AL9724 02-01-28                  | CUSIP: 3138ERYW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |       914 | PA      | $946.85       | 0.00%             | 2028-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCT UMBS 6.5 745316 02-01-26                  | CUSIP: 31403DAR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |       347 | PA      | $359.35       | 0.00%             | 2026-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.0 BW3384 07-01-52                  | CUSIP: 3140MUXN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     23501 | PA      | $20402.10     | 0.00%             | 2052-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.0 MA4785 10-01-52                  | CUSIP: 31418EJ76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3333943 | PA      | $3305497.39   | 0.03%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.5 FM7304 05-01-51                  | CUSIP: 3140XBDJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   4525022 | PA      | $3761632.34   | 0.03%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 4.0 QF1560 10-01-52                  | CUSIP: 3133BNWV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    125425 | PA      | $117223.50    | 0.00%             | 2052-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 3.0 SD8220 06-01-52                  | CUSIP: 3132DWDZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  62198924 | PA      | $54041970.21  | 0.45%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.5 QC3428 06-01-51                  | CUSIP: 3133AMYZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2366448 | PA      | $1967219.16   | 0.02%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 3.0 RA6806 02-01-52                  | CUSIP: 3133KNR39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     32727 | PA      | $28384.39     | 0.00%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 3.0 SD8242 09-01-52                  | CUSIP: 3132DWEP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  10223749 | PA      | $8882945.49   | 0.07%             | 2052-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 3.0 RA6702 02-01-52                  | CUSIP: 3133KNNT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2966267 | PA      | $2572652.18   | 0.02%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 3.0 QD5662 01-01-52                  | CUSIP: 3133B3JF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1033737 | PA      | $898163.17    | 0.01%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 4.0 BW1377 12-01-52                  | CUSIP: 3140MSQ73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    411006 | PA      | $384364.09    | 0.00%             | 2052-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.0 BV1172 12-01-51                  | CUSIP: 3140MEJS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     32586 | PA      | $28311.98     | 0.00%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 3.0 QD5189 01-01-52                  | CUSIP: 3133B2XS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1169797 | PA      | $1015898.79   | 0.01%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 4.0 BW8987 10-01-52                  | CUSIP: 3140N16Z1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    165851 | PA      | $155122.58    | 0.00%             | 2052-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.0 CB2896 02-01-52                  | CUSIP: 3140QNGE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    989307 | PA      | $858029.96    | 0.01%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCT UMBS 2.5 MA4388 07-01-41                  | CUSIP: 31418D2W1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   5904084 | PA      | $5217899.61   | 0.04%             | 2041-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCT UMBS 2.5 MA4447 10-01-41                  | CUSIP: 31418D5H1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  12485629 | PA      | $11054114.41  | 0.09%             | 2041-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCT UMBS 2.5 MA4502 12-01-41                  | CUSIP: 31418EAC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  14072834 | PA      | $12476707.60  | 0.11%             | 2041-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 DB6878 06-01-54                  | CUSIP: 3140AGUC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1371386 | PA      | $1403300.76   | 0.01%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 DB6901 07-01-54                  | CUSIP: 3140AGU36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    851764 | PA      | $871813.92    | 0.01%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.5 SD5706 06-01-54                  | CUSIP: 3132DTKT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  48794955 | PA      | $51035180.61  | 0.43%             | 2054-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.5 SD4614 01-01-54                  | CUSIP: 3132DSDT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    569248 | PA      | $593992.00    | 0.01%             | 2054-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.5 FS7162 02-01-54                  | CUSIP: 3140XN5Y6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    511044 | PA      | $533258.93    | 0.00%             | 2054-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.5 FS6763 01-01-54                  | CUSIP: 3140XNQR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1053319 | PA      | $1099749.86   | 0.01%             | 2054-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.5 CB7510 11-01-53                  | CUSIP: 3140QTKY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2763618 | PA      | $2883868.30   | 0.02%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.5 CB5545 01-01-53                  | CUSIP: 3140QRET6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3958132 | PA      | $4150576.28   | 0.03%             | 2053-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.5 DB5213 07-01-54                  | CUSIP: 3140AEYK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    686865 | PA      | $691377.27    | 0.01%             | 2054-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.5 FS4840 05-01-53                  | CUSIP: 3140XLLW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    107760 | PA      | $108811.42    | 0.00%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.5 FS6838 11-01-53                  | CUSIP: 3140XNS47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    313624 | PA      | $316611.22    | 0.00%             | 2053-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 SD3512 08-01-53                  | CUSIP: 3132DQ3V6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    486463 | PA      | $498833.62    | 0.00%             | 2053-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.5 RJ1797 06-01-54                  | CUSIP: 3142GR7K0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1684699 | PA      | $1750304.53   | 0.01%             | 2054-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 SD5873 07-01-54                  | CUSIP: 3132DTQ29<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1771575 | PA      | $1814521.85   | 0.02%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.5 FS4736 05-01-53                  | CUSIP: 3140XLHN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    224991 | PA      | $233921.15    | 0.00%             | 2053-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.5 RJ1015 03-01-54                  | CUSIP: 3142GRDV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    116878 | PA      | $121440.93    | 0.00%             | 2054-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.0 SD0838 01-01-52                  | CUSIP: 3132DM4X0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    993220 | PA      | $789760.19    | 0.01%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.0 BV0162 03-01-52                  | CUSIP: 3140MDFC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    327956 | PA      | $260774.37    | 0.00%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.0 CB3040 03-01-52                  | CUSIP: 3140QNLW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2858627 | PA      | $2281126.82   | 0.02%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.0 QE1478 03-01-52                  | CUSIP: 3133BAUB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     85127 | PA      | $67688.49     | 0.00%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.0 SD8505 02-01-55                  | CUSIP: 3132DWNW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     29760 | PA      | $29399.01     | 0.00%             | 2055-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.5 SD8515 03-01-55                  | CUSIP: 3132DWN82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     41931 | PA      | $42196.28     | 0.00%             | 2055-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.0 DC3150 10-01-54                  | CUSIP: 3140AQQC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    989989 | PA      | $977406.11    | 0.01%             | 2054-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.0 FA0551 01-01-55                  | CUSIP: 3140W0TH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3906986 | PA      | $3856297.22   | 0.03%             | 2055-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.0 QJ4825 09-01-54                  | CUSIP: 3133CVLE2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  28261539 | PA      | $27894873.65  | 0.23%             | 2054-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.0 QJ7708 11-01-54                  | CUSIP: 3133CYR59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    959178 | PA      | $947427.47    | 0.01%             | 2054-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.0 SL0799 03-01-55                  | CUSIP: 31427M3H2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    647271 | PA      | $638873.12    | 0.01%             | 2055-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 SL0796 04-01-55                  | CUSIP: 31427M3E9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  47473634 | PA      | $48531679.21  | 0.41%             | 2055-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 DC7035 12-01-54                  | CUSIP: 3140AUY98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  26192953 | PA      | $26778130.14  | 0.23%             | 2054-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 QX4065 01-01-55                  | CUSIP: 31425YQT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  80750895 | PA      | $82557049.89  | 0.70%             | 2055-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 DD0835 01-01-55                  | CUSIP: 3140B04V7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  24327353 | PA      | $24865133.22  | 0.21%             | 2055-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 3.0 RA5391 06-01-51                  | CUSIP: 3133KL7C5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3652743 | PA      | $3168063.92   | 0.03%             | 2051-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 4.5 MA5671 04-01-55                  | CUSIP: 31418FJR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1912525 | PA      | $1841036.35   | 0.02%             | 2055-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 4.5 MA5644 03-01-55                  | CUSIP: 31418FHW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1815819 | PA      | $1747945.20   | 0.01%             | 2055-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 3.0 SL0419 10-01-53                  | CUSIP: 31427MPD7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  17755335 | PA      | $15426847.37  | 0.13%             | 2053-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 SD8534 05-01-55                  | CUSIP: 3132DWPT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3595177 | PA      | $3674652.27   | 0.03%             | 2055-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-10-27

**Name of Applicant:** American Funds Mortgage Fund

**Signature:** Scott Lewis

**Name of Signer:** Scott Lewis

**Title:** Lead Analyst