# EDGAR Filing Document

**Accession Number:** 0001496998
**File Stem:** 0001193125-26-182050
**Filing Date:** 2026-4
**Character Count:** 513159
**Document Hash:** 8c9eadd363a00dcdea49a30f3b489880
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001193125-26-182050.hdr.sgml**: 20260427

**ACCESSION NUMBER**: 0001193125-26-182050

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20260228

**FILED AS OF DATE**: 20260427

**DATE AS OF CHANGE**: 20260427

**PERIOD START**: 20260831

**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:** 26900885

**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:** 2026-08-31

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $14574241633.86

**Total Liabilities:** $1498715310.63

**Net Assets:** $13075526323.23

**Cash Not Reported:** $14080637.38

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -1637.300000000000 | **1-Year:** -25911.560000000000 | **5-Year:** -17634.810000000000 | **10-Year:** -1519.300000000000 | **30-Year:** -241.968887300000

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

- **3-Month:** -42227.820000000000 | **1-Year:** -15628.130000000000 | **5-Year:** -27800.870000000000 | **10-Year:** -9691.740000000000 | **30-Year:** -4384.990000000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000092896 | 0.13%                | 0.11%                | 1.45%                |
| Class ID C000092897 | 0.15%                | 0.13%                | 1.47%                |
| Class ID C000092898 | -0.05%               | 0.16%                | 1.39%                |
| Class ID C000092899 | 0.07%                | 0.05%                | 1.52%                |
| Class ID C000092900 | 0.10%                | 0.09%                | 1.43%                |
| Class ID C000092901 | 0.13%                | 0.12%                | 1.56%                |
| Class ID C000092902 | 0.15%                | 0.14%                | 1.59%                |
| Class ID C000092903 | 0.16%                | 0.15%                | 1.59%                |
| Class ID C000092905 | 0.06%                | 0.04%                | 1.52%                |
| Class ID C000092906 | 0.13%                | 0.11%                | 1.56%                |
| Class ID C000092907 | 0.15%                | 0.24%                | 1.47%                |
| Class ID C000092908 | 0.12%                | 0.22%                | 1.45%                |
| Class ID C000092910 | 0.06%                | 0.04%                | 1.40%                |
| Class ID C000092911 | 0.11%                | 0.09%                | 1.54%                |
| Class ID C000148445 | 0.10%                | 0.08%                | 1.54%                |
| Class ID C000164806 | 0.15%                | 0.13%                | 1.56%                |
| Class ID C000180009 | 0.16%                | 0.15%                | 1.59%                |
| Class ID C000189492 | 0.14%                | 0.24%                | 1.46%                |
| Class ID C000189493 | 0.15%                | 0.24%                | 1.47%                |
| Class ID C000224553 | 0.15%                | 0.13%                | 1.58%                |
| Class ID C000224554 | 0.16%                | 0.25%                | 1.48%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $1050846.60              | $-14180693.14                              |
| Month 2  | $17534027.57             | $-21294230.87                              |
| Month 3  | $5368569.60              | $87041217.70                               |

**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 NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.5 MA4842 12-01-52                | CUSIP: 31418ELY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3906161 | PA      | $3992120.48   | 0.03%             | 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        |   3842333 | PA      | $3480776.85   | 0.03%             | 2052-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.0 BU8803 02-01-52                | CUSIP: 3140MAX90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     23524 | PA      | $21324.22     | 0.00%             | 2052-02-01      | 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        |   3640103 | PA      | $3297969.66   | 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        |   2399125 | PA      | $2174801.64   | 0.02%             | 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        |    350828 | PA      | $358098.03    | 0.00%             | 2052-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 3.0 QC5996 08-01-51                | CUSIP: 3133AQUV7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    763759 | PA      | $692889.34    | 0.01%             | 2051-08-01      | Fixed         | 3.00%                 | 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        |    375262 | PA      | $382353.73    | 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        |     16491 | PA      | $17162.86     | 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        |     96354 | PA      | $83980.97     | 0.00%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.0 CB1810 10-01-51                | CUSIP: 3140QMAL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    398180 | PA      | $360622.08    | 0.00%             | 2051-10-01      | Fixed         | 3.00%                 | 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        |    307543 | PA      | $316660.47    | 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        |    895366 | PA      | $812265.13    | 0.01%             | 2051-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.5 BT6781 10-01-51                | CUSIP: 3140LVRB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    706399 | PA      | $613068.37    | 0.00%             | 2051-10-01      | Fixed         | 2.50%                 | 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        |     18702 | PA      | $16938.14     | 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        |  26068030 | PA      | $26881483.25  | 0.21%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.5 BW0002 07-01-52                | CUSIP: 3140MRAC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    282383 | PA      | $245764.65    | 0.00%             | 2052-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.5 QE1863 05-01-52                | CUSIP: 3133BBB81<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     18067 | PA      | $15735.28     | 0.00%             | 2052-05-01      | Fixed         | 2.50%                 | 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        |    188419 | PA      | $172913.22    | 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        |   2223507 | PA      | $2298256.44   | 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        | 138116250 | PA      | $142759304.21 | 1.09%             | 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        |      3251 | PA      | $3372.63      | 0.00%             | 2031-07-01      | Fixed         | 6.50%                 | 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        |       306 | PA      | $317.55       | 0.00%             | 2027-10-01      | Fixed         | 6.50%                 | 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        |   1877871 | PA      | $1563269.51   | 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        |    267044 | PA      | $221624.19    | 0.00%             | 2052-02-01      | Fixed         | 2.00%                 | 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        |   4456876 | PA      | $3716927.91   | 0.03%             | 2052-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNJMCK 3.0 AU7556 09-01-33                   | CUSIP: 3138X7ME0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    239966 | PA      | $230703.12    | 0.00%             | 2033-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 QY2226 04-01-55                | CUSIP: 31426LPL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    817994 | PA      | $842163.33    | 0.01%             | 2055-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 QY0775 04-01-55                | CUSIP: 31426J2H1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    821827 | PA      | $845550.41    | 0.01%             | 2055-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 QJ8303 11-01-54                | CUSIP: 3133D0GL9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     52121 | PA      | $54373.44     | 0.00%             | 2054-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 MA5823 09-01-55                | CUSIP: 31418FPH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    197073 | PA      | $202285.97    | 0.00%             | 2055-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 7.0 SD8501 01-01-55                | CUSIP: 3132DWNS8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    506426 | PA      | $532014.52    | 0.00%             | 2055-01-01      | Fixed         | 7.00%                 | 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        |   2472856 | PA      | $2330503.86   | 0.02%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 7.0 MA5738 06-01-55                | CUSIP: 31418FLU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   4978095 | PA      | $5228364.05   | 0.04%             | 2055-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 7.0 DD1917 01-01-55                | CUSIP: 3140B2DX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   5483554 | PA      | $5767426.11   | 0.04%             | 2055-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.5 RQ0049 09-01-55                | CUSIP: 3142J6BT9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2533422 | PA      | $2576204.13   | 0.02%             | 2055-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.5 FP0137 01-01-55                | CUSIP: 3140XTEK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    123060 | PA      | $127922.69    | 0.00%             | 2055-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 3.5 RQ0081 01-01-56                | CUSIP: 3142J6CT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1635408 | PA      | $1542762.15   | 0.01%             | 2056-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.5 BV6163 08-01-55                | CUSIP: 3140MKZ54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    693104 | PA      | $653839.75    | 0.01%             | 2055-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.5 QH7865 01-01-54                | CUSIP: 3133CLW28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     48466 | PA      | $50410.37     | 0.00%             | 2054-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.0 BU1319 02-01-52                | CUSIP: 3140M2PD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    495540 | PA      | $449949.97    | 0.00%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.0 CB2894 02-01-52                | CUSIP: 3140QNGC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    650141 | PA      | $589822.75    | 0.00%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 7.0 QY1898 04-01-55                | CUSIP: 31426LDC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    687636 | PA      | $727639.56    | 0.01%             | 2055-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 7.0 DD8411 05-01-55                | CUSIP: 3140B9KZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1749932 | PA      | $1840421.31   | 0.01%             | 2055-05-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 7.0 DD6277 04-01-55                | CUSIP: 3140B66P5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    989386 | PA      | $1043523.70   | 0.01%             | 2055-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 7.0 QY2235 05-01-55                | CUSIP: 31426LPV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    998277 | PA      | $1049959.71   | 0.01%             | 2055-05-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.5 SL1959 07-01-55                | CUSIP: 31427PE91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  35287671 | PA      | $36697131.25  | 0.28%             | 2055-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 3.5 QJ6339 10-01-54                | CUSIP: 3133CXBG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     33786 | PA      | $31873.53     | 0.00%             | 2054-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.0 RA3808 10-01-50                | CUSIP: 3133KKGR4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     65740 | PA      | $54560.28     | 0.00%             | 2050-10-01      | Fixed         | 2.00%                 | 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        |      3570 | PA      | $3757.10      | 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        |     11783 | PA      | $12318.80     | 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        |     24134 | PA      | $20067.04     | 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        |    164993 | PA      | $136880.20    | 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        |    677497 | PA      | $699488.76    | 0.01%             | 2053-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.0 QD6139 02-01-52                | CUSIP: 3133B3ZC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    768954 | PA      | $637936.70    | 0.00%             | 2052-02-01      | 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        |       457 | PA      | $485.27       | 0.00%             | 2035-06-01      | Fixed         | 6.50%                 | 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        |  12145896 | PA      | $10088053.46  | 0.08%             | 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        |    811837 | PA      | $673509.54    | 0.01%             | 2052-02-01      | Fixed         | 2.00%                 | 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        |      5075 | PA      | $5162.18      | 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        |       305 | PA      | $312.06       | 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        |       102 | PA      | $105.87       | 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        |        82 | PA      | $85.45        | 0.00%             | 2026-07-01      | Fixed         | 6.50%                 | 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        |   6810410 | PA      | $6550150.12   | 0.05%             | 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        |   1353437 | PA      | $1378053.64   | 0.01%             | 2054-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.5 SD8464 09-01-54                | CUSIP: 3132DWMM2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  13066296 | PA      | $13574574.67  | 0.10%             | 2054-09-01      | Fixed         | 6.50%                 | 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        |     29402 | PA      | $30205.04     | 0.00%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.5 SD5368 07-01-52                | CUSIP: 3132DS6D9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  28044910 | PA      | $24381543.21  | 0.19%             | 2052-07-01      | Fixed         | 2.50%                 | 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        |     87335 | PA      | $75929.15     | 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        |  14514636 | PA      | $12596903.89  | 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        |    346480 | PA      | $326877.02    | 0.00%             | 2054-01-01      | Fixed         | 3.50%                 | 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        |    852732 | PA      | $742179.40    | 0.01%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.5 BQ7729 03-01-51                | CUSIP: 3140KTST3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    695485 | PA      | $603611.02    | 0.00%             | 2051-03-01      | Fixed         | 2.50%                 | 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        |   5824518 | PA      | $5581012.17   | 0.04%             | 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        |   4909176 | PA      | $5122244.51   | 0.04%             | 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        |   5672493 | PA      | $5956378.63   | 0.05%             | 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        |   2488622 | PA      | $2618378.37   | 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        |   5544784 | PA      | $5833894.94   | 0.04%             | 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        |   3528367 | PA      | $3722829.76   | 0.03%             | 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        |   4351325 | PA      | $4540129.28   | 0.03%             | 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        |  17283194 | PA      | $17672894.96  | 0.14%             | 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        |    733444 | PA      | $754403.14    | 0.01%             | 2054-09-01      | Fixed         | 5.50%                 | 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        |   6973261 | PA      | $7180039.39   | 0.05%             | 2054-09-01      | Fixed         | 5.50%                 | No            |                  2 | 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        |    163417 | PA      | $163543.76    | 0.00%             | 2028-06-15      | Fixed         | 4.91%                 | Yes           |                  2 | On Loan: No      |
| CANYC 2021-1A                                               | CANYC 2021-1A AR CLO 144A FRN 04-15-34       | CUSIP: 13877EAL6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |  11856410 | PA      | $11868384.97  | 0.09%             | 2034-04-15      | Variable      | 4.72%                 | 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        |   2208391 | PA      | $2210490.82   | 0.02%             | 2028-09-15      | Fixed         | 4.50%                 | 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      | $23226726.38  | 0.18%             | 2036-02-15      | Fixed         | 5.28%                 | Yes           |                  2 | On Loan: No      |
| FLATIRON CLO 28 LTD FLAT_24-1A                              | FLAT 2024-1A A1R CLO 144A FRN 07-15-36       | CUSIP: 33884EAQ4<br>LEI: 254900U51J2X527SRJ56 | Long             | ABS-O            | CORP              | KY        |   8000000 | PA      | $8016720.00   | 0.06%             | 2036-07-15      | Variable      | 4.75%                 | Yes           |                  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        |   1220459 | PA      | $1221936.96   | 0.01%             | 2028-04-17      | Fixed         | 5.02%                 | Yes           |                  2 | On Loan: No      |
| MAGNE 2019-22A                                              | MAGNE 2019-22A ARR CLO 144A FRN 07-15-36     | CUSIP: 55954HAW2<br>LEI: 5493000081NBXWGGSW23 | Long             | ABS-O            | CORP              | US        |   3000000 | PA      | $3002580.00   | 0.02%             | 2036-07-15      | Variable      | 4.92%                 | 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        |   2389440 | PA      | $2287460.99   | 0.02%             | 2062-04-20      | Fixed         | 1.36%                 | 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        |  11175762 | PA      | $10629692.30  | 0.08%             | 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        |   3239195 | PA      | $3074861.10   | 0.02%             | 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        |   5889446 | PA      | $5878367.75   | 0.04%             | 2062-04-20      | Variable      | 4.52%                 | Yes           |                  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      | $7534305.79   | 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        |     18743 | PA      | $18761.73     | 0.00%             | 2028-04-17      | Fixed         | 5.73%                 | 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        |   4945055 | PA      | $4233318.11   | 0.03%             | 2060-07-15      | Fixed         | 1.69%                 | 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      | $10318372.37  | 0.08%             | 2061-10-20      | Fixed         | 1.91%                 | Yes           |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANKS                                     | FED HM LN BK BD 4/8/2026                     | CUSIP: 313385VG8<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGA              | US        | 300000000 | PA      | $298885890.00 | 2.29%             | 2026-04-08      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANKS                                     | FED HM LN BK BD 3/13/2026                    | CUSIP: 313385UE4<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGA              | US        | 150000000 | PA      | $149839530.00 | 1.15%             | 2026-03-13      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANKS                                     | FED HM LN BK BD 3/11/2026                    | CUSIP: 313385UC8<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGA              | US        |  67000000 | PA      | $66941354.90  | 0.51%             | 2026-03-11      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANKS                                     | FED HM LN BK BD 3/4/2026                     | CUSIP: 313385TV8<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGA              | US        | 450000000 | PA      | $449912340.00 | 3.44%             | 2026-03-04      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANKS                                     | FED HM LN BK BD 4/17/2026                    | CUSIP: 313385VR4<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGA              | US        | 125000000 | PA      | $124423500.00 | 0.95%             | 2026-04-17      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANKS                                     | FED HM LN BK BD 4/22/2026                    | CUSIP: 313385VW3<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGA              | US        |  50000000 | PA      | $49744480.00  | 0.38%             | 2026-04-22      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANKS                                     | FED HM LN BK BD 4/27/2026                    | CUSIP: 313385WB8<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGA              | US        | 250000000 | PA      | $248597925.00 | 1.90%             | 2026-04-27      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL FARM CREDIT BANKS FUNDING CORP                      | FED FARM CR DISC NT 3/4/2026                 | CUSIP: 313313TV0<br>LEI: 254900C5LP6DN9OP9V83 | Long             | DBT              | USGA              | US        |  70000000 | PA      | $69986364.00  | 0.54%             | 2026-03-04      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANKS                                     | FED HM LN BK BD 5/4/2026                     | CUSIP: 313385WJ1<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGA              | US        | 350000000 | PA      | $347803330.00 | 2.66%             | 2026-05-04      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANKS                                     | FED HM LN BK BD 5/6/2026                     | CUSIP: 313385WL6<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGA              | US        |  75000000 | PA      | $74514337.50  | 0.57%             | 2026-05-06      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANKS                                     | FED HM LN BK BD 4/15/2026                    | CUSIP: 313385VP8<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGA              | US        | 125000000 | PA      | $124448575.00 | 0.95%             | 2026-04-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANKS                                     | FED HM LN BK BD 6/18/2026                    | CUSIP: 313385YF7<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGA              | US        | 160000000 | PA      | $158278416.00 | 1.21%             | 2026-06-18      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANKS                                     | FED HM LN BK BD 5/15/2026                    | CUSIP: 313385WV4<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGA              | US        |  75000000 | PA      | $74446777.50  | 0.57%             | 2026-05-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANKS                                     | FED HM LN BK BD 4/14/2026                    | CUSIP: 313385VN3<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGA              | US        | 172000000 | PA      | $171258473.60 | 1.31%             | 2026-04-14      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANKS                                     | FED HM LN BK BD 5/20/2026                    | CUSIP: 313385XA9<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGA              | US        |  64000000 | PA      | $63495878.40  | 0.49%             | 2026-05-20      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANKS                                     | FED HM LN BK BD 5/22/2026                    | CUSIP: 313385XC5<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGA              | US        | 250000000 | PA      | $247980925.00 | 1.90%             | 2026-05-22      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANKS                                     | FED HM LN BK BD 4/29/2026                    | CUSIP: 313385WD4<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGA              | US        | 350000000 | PA      | $347978260.00 | 2.66%             | 2026-04-29      | 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      | $2129511.42   | 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      | $6772162.36   | 0.05%             | 2051-02-15      | Fixed         | 1.88%                 | 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      | $9063768.00   | 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      | $7045710.31   | 0.05%             | 2042-05-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                      | UNITED STATES TREASURY NOTE 3.875% 12-31-27  | CUSIP: 91282CGC9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  45041200 | PA      | $45414204.19  | 0.35%             | 2027-12-31      | Fixed         | 3.88%                 | 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      | $120041954.60 | 0.92%             | 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      | $20012890.00  | 0.15%             | 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      | $140533492.00 | 1.07%             | 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      | $37112013.80  | 0.28%             | 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      | $43967347.60  | 0.34%             | 2026-09-30      | Fixed         | 3.50%                 | 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      | $5322407.59   | 0.04%             | 2031-10-31      | Fixed         | 4.12%                 | 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        |   1663634 | PA      | $1660424.64   | 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        |    410843 | PA      | $410053.52    | 0.00%             | 2036-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                      | FGJMT6 3.5 T65389 09-01-46                   | CUSIP: 31322Y7A3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     38015 | PA      | $36406.61     | 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        |    386375 | PA      | $385998.05    | 0.00%             | 2036-09-01      | Fixed         | 4.00%                 | 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        |    789671 | PA      | $788104.81    | 0.01%             | 2036-11-01      | Fixed         | 4.00%                 | 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        |     35694 | PA      | $34432.17     | 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        |     17780 | PA      | $17154.65     | 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        |    757765 | PA      | $765093.36    | 0.01%             | 2045-08-01      | Variable      | 4.63%                 | 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        |   2443063 | PA      | $2436193.43   | 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        |      1156 | PA      | $1198.45      | 0.00%             | 2027-09-01      | Fixed         | 6.50%                 | 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        |    286885 | PA      | $275654.43    | 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        |    222371 | PA      | $216904.78    | 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        |      5861 | PA      | $5826.35      | 0.00%             | 2033-07-01      | Fixed         | 3.50%                 | No            |                  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        |     62203 | PA      | $61348.39     | 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        |      1708 | PA      | $1771.32      | 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        |     57557 | PA      | $56239.90     | 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        |      4554 | PA      | $4474.09      | 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        |       673 | PA      | $660.72       | 0.00%             | 2033-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER SCRT_18-3                     | SCRT 2018-3 MA FRN 08-25-57                  | CUSIP: 35563PGG8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    729311 | PA      | $720130.25    | 0.01%             | 2057-08-25      | Variable      | 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        |     13291 | PA      | $13693.55     | 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        |     15098 | PA      | $14805.09     | 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        |      9242 | PA      | $8892.49      | 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        |      8629 | PA      | $8841.71      | 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        |     35071 | PA      | $33826.49     | 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        |     52464 | PA      | $50271.56     | 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        |      1051 | PA      | $1078.19      | 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        |    184058 | PA      | $176751.54    | 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        |    124399 | PA      | $120333.52    | 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        |    139929 | PA      | $138223.07    | 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        |    100826 | PA      | $99776.88     | 0.00%             | 2048-05-01      | Fixed         | 4.00%                 | 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        |     39274 | PA      | $41573.16     | 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        |   1364536 | PA      | $1216628.40   | 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        |   1752003 | PA      | $1641432.68   | 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        |   2671614 | PA      | $2503406.29   | 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        |   4749843 | PA      | $4398440.37   | 0.03%             | 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        |   1117755 | PA      | $1047214.74   | 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        |    839424 | PA      | $702854.95    | 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        |    281765 | PA      | $251825.95    | 0.00%             | 2041-07-01      | Fixed         | 2.00%                 | 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        |   5354677 | PA      | $5196071.08   | 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        |   1496142 | PA      | $1567387.87   | 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        |   1364993 | PA      | $1315186.17   | 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        |   3635137 | PA      | $3521836.63   | 0.03%             | 2045-10-01      | Fixed         | 3.50%                 | 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        |  24158226 | PA      | $21326471.56  | 0.16%             | 2051-02-01      | Fixed         | 2.50%                 | 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        |   1238572 | PA      | $1141765.60   | 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        |   5694386 | PA      | $4752437.63   | 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        |   2403255 | PA      | $2434076.78   | 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        |    926467 | PA      | $894177.16    | 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        |    241892 | PA      | $233476.49    | 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        |   1179784 | PA      | $1044013.70   | 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        |   7568955 | PA      | $6327419.09   | 0.05%             | 2052-02-01      | 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        |     80304 | PA      | $69794.02     | 0.00%             | 2051-05-01      | Fixed         | 2.50%                 | 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        |  85178423 | PA      | $77253507.88  | 0.59%             | 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        |    143635 | PA      | $124656.03    | 0.00%             | 2051-09-01      | Fixed         | 2.50%                 | 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        |  22815856 | PA      | $18974327.47  | 0.15%             | 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        |    800870 | PA      | $666151.83    | 0.01%             | 2052-03-01      | Fixed         | 2.00%                 | 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        |   1614193 | PA      | $1342406.81   | 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        |  10931864 | PA      | $10863441.06  | 0.08%             | 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        |  16785575 | PA      | $15450165.42  | 0.12%             | 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        |  23838706 | PA      | $20037647.81  | 0.15%             | 2051-05-01      | Fixed         | 2.00%                 | 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        |   6935136 | PA      | $7165500.62   | 0.05%             | 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        |   5035310 | PA      | $5213700.72   | 0.04%             | 2053-06-01      | Fixed         | 6.00%                 | 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        |  10918284 | PA      | $11259152.66  | 0.09%             | 2053-06-01      | Fixed         | 6.00%                 | 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        |     38570 | PA      | $38931.03     | 0.00%             | 2053-07-01      | Fixed         | 5.00%                 | 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        |    432343 | PA      | $394899.52    | 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        |    444122 | PA      | $405796.18    | 0.00%             | 2050-09-01      | Fixed         | 3.00%                 | 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        |    195625 | PA      | $200520.45    | 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        |    742508 | PA      | $756629.37    | 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        |     58049 | PA      | $59965.33     | 0.00%             | 2052-11-01      | Fixed         | 6.00%                 | 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        |   7851755 | PA      | $8058907.87   | 0.06%             | 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        |  32923984 | PA      | $33977913.17  | 0.26%             | 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        |   5232682 | PA      | $5394403.55   | 0.04%             | 2053-08-01      | 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        |   9558658 | PA      | $8295777.77   | 0.06%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.5 FS4712 04-01-52                | CUSIP: 3140XLGW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    490177 | PA      | $425410.77    | 0.00%             | 2052-04-01      | 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        |  21175856 | PA      | $21797896.75  | 0.17%             | 2053-10-01      | 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        |  15306646 | PA      | $15903513.29  | 0.12%             | 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        |  24216752 | PA      | $24944780.18  | 0.19%             | 2053-12-01      | Fixed         | 6.00%                 | 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        |  33221600 | PA      | $33532653.88  | 0.26%             | 2053-11-01      | Fixed         | 5.00%                 | 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        |   3831975 | PA      | $3912212.49   | 0.03%             | 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        |   4126858 | PA      | $4250671.81   | 0.03%             | 2054-02-01      | Fixed         | 6.00%                 | 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        |  16494487 | PA      | $17014278.09  | 0.13%             | 2054-05-01      | Fixed         | 6.00%                 | 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        |  20939428 | PA      | $21824663.09  | 0.17%             | 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        |   6015430 | PA      | $6228557.12   | 0.05%             | 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        |   5596635 | PA      | $5747833.64   | 0.04%             | 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        |  17404079 | PA      | $18026344.85  | 0.14%             | 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        |  11295638 | PA      | $11694351.52  | 0.09%             | 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        |   5207525 | PA      | $5484491.96   | 0.04%             | 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        |  10310479 | PA      | $10585397.84  | 0.08%             | 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        |  15198002 | PA      | $15606174.33  | 0.12%             | 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        |    873693 | PA      | $759954.38    | 0.01%             | 2051-09-01      | 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        |   1096625 | PA      | $1126588.11   | 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        |    669374 | PA      | $687275.29    | 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        |  41250594 | PA      | $43189701.40  | 0.33%             | 2054-06-01      | Fixed         | 6.50%                 | 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        |     59015 | PA      | $60277.92     | 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        |    138694 | PA      | $143950.92    | 0.00%             | 2052-10-01      | Fixed         | 5.50%                 | 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        |     22717 | PA      | $20657.78     | 0.00%             | 2052-08-01      | Fixed         | 3.00%                 | 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        |       974 | PA      | $1010.32      | 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        |      4319 | PA      | $4541.90      | 0.00%             | 2037-02-01      | Fixed         | 6.50%                 | 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        |   3005476 | PA      | $3104720.05   | 0.02%             | 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        |   1632485 | PA      | $1680481.62   | 0.01%             | 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        |   8519256 | PA      | $8668138.49   | 0.07%             | 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        |   9072398 | PA      | $9221348.65   | 0.07%             | 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        |     33832 | PA      | $34423.09     | 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        |     67523 | PA      | $68735.50     | 0.00%             | 2054-09-01      | Fixed         | 5.50%                 | 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        |  16607189 | PA      | $16204663.68  | 0.12%             | 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        |  22078152 | PA      | $18685534.74  | 0.14%             | 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        |  16368656 | PA      | $16656384.59  | 0.13%             | 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        |  16201459 | PA      | $16870498.44  | 0.13%             | 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        |   4745824 | PA      | $4946966.68   | 0.04%             | 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        |  11281929 | PA      | $11764693.54  | 0.09%             | 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        |   6463445 | PA      | $6587271.41   | 0.05%             | 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        |   2713051 | PA      | $2796507.46   | 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        |   2462737 | PA      | $2517572.61   | 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        |   6097687 | PA      | $6239354.32   | 0.05%             | 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        |  10528446 | PA      | $10717789.77  | 0.08%             | 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        |   3074674 | PA      | $3153628.55   | 0.02%             | 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        |      7978 | PA      | $8222.66      | 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        |   5416734 | PA      | $5027763.52   | 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        |   3078654 | PA      | $2554900.90   | 0.02%             | 2054-01-01      | 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        |   3553825 | PA      | $3729287.78   | 0.03%             | 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        |   4462013 | PA      | $3714237.85   | 0.03%             | 2052-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.5 BV0902 01-01-52                | CUSIP: 3140MEAC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     20083 | PA      | $17528.34     | 0.00%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.5 FM6965 04-01-51                | CUSIP: 3140XAW32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1735267 | PA      | $1509239.37   | 0.01%             | 2051-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.5 190445 03-01-55                | CUSIP: 31368HP64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        | 108874037 | PA      | $113109237.18 | 0.87%             | 2055-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.5 MA5822 09-01-55                | CUSIP: 31418FPG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   4337237 | PA      | $4410479.92   | 0.03%             | 2055-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNHLCR 4.0 MA1583 09-01-43                   | CUSIP: 31418AXM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1537600 | PA      | $1532309.32   | 0.01%             | 2043-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.5 FA3738 04-01-52                | CUSIP: 3140W4EL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  20137209 | PA      | $17512887.66  | 0.13%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 DC1547 09-01-54                | CUSIP: 3140ANWH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    580905 | PA      | $597123.78    | 0.00%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.5 SI2123 02-01-55                | CUSIP: 3133USLC3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    279552 | PA      | $290593.87    | 0.00%             | 2055-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 7.0 CB8748 06-01-54                | CUSIP: 3140QUWJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   8340968 | PA      | $8760285.07   | 0.07%             | 2054-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 7.0 SL1494 02-01-55                | CUSIP: 31427NUU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    424095 | PA      | $445668.32    | 0.00%             | 2055-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNJMCK 5.0 AD1823 02-01-40                   | CUSIP: 31418PAZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    372271 | PA      | $375085.34    | 0.00%             | 2040-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.0 QD2437 12-01-51                | CUSIP: 3133AYV64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    775387 | PA      | $643992.44    | 0.00%             | 2051-12-01      | Fixed         | 2.00%                 | 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        |     88929 | PA      | $79677.90     | 0.00%             | 2043-05-01      | Fixed         | 2.27%                 | 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        |    146024 | PA      | $129119.61    | 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        |     64178 | PA      | $56720.43     | 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        |     79564 | PA      | $70598.84     | 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        |    153875 | PA      | $145380.32    | 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        |    408732 | PA      | $391217.93    | 0.00%             | 2033-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.0 FS5133 09-01-51                | CUSIP: 3140XLV39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    488499 | PA      | $442404.94    | 0.00%             | 2051-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.5 QY3029 05-01-55                | CUSIP: 31426MLK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1425161 | PA      | $1449663.63   | 0.01%             | 2055-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.5 MA5853 10-01-55                | CUSIP: 31418FQF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2888827 | PA      | $2937610.22   | 0.02%             | 2055-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 3.0 RA6012 10-01-51                | CUSIP: 3133KMVD4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    416798 | PA      | $377473.78    | 0.00%             | 2051-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 3.0 RA5550 07-01-51                | CUSIP: 3133KMEX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    275783 | PA      | $249764.10    | 0.00%             | 2051-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.5 DD7817 05-01-55                | CUSIP: 3140B8VK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2542651 | PA      | $2586344.41   | 0.02%             | 2055-05-01      | Fixed         | 5.50%                 | 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        |    168378 | PA      | $146129.62    | 0.00%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.5 FS5035 06-01-52                | CUSIP: 3140XLSZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    952375 | PA      | $826534.76    | 0.01%             | 2052-06-01      | 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        |   2223277 | PA      | $1929528.91   | 0.01%             | 2052-01-01      | Fixed         | 2.50%                 | 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        |    278979 | PA      | $243323.19    | 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        |    700034 | PA      | $609321.50    | 0.00%             | 2052-01-01      | Fixed         | 2.50%                 | 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        |     67587 | PA      | $58822.14     | 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        |  17167226 | PA      | $15199106.73  | 0.12%             | 2063-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.5 FS8934 08-01-54                | CUSIP: 3140XQ4U8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   9745194 | PA      | $10255267.44  | 0.08%             | 2054-08-01      | Fixed         | 6.50%                 | 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        |   3362903 | PA      | $3501774.48   | 0.03%             | 2054-10-01      | Fixed         | 6.50%                 | 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        |   2580016 | PA      | $2722218.40   | 0.02%             | 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        |   5779803 | PA      | $5907906.51   | 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        |   7091682 | PA      | $7320147.16   | 0.06%             | 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        |   8949458 | PA      | $9003647.12   | 0.07%             | 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        |  17643732 | PA      | $18239860.45  | 0.14%             | 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        |   4557135 | PA      | $4511714.40   | 0.03%             | 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        |  12246083 | PA      | $12324948.06  | 0.09%             | 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        |  20529430 | PA      | $20900479.25  | 0.16%             | 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        |   1266872 | PA      | $1302020.17   | 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        |    268935 | PA      | $273566.40    | 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        |    244137 | PA      | $250578.57    | 0.00%             | 2054-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 7.0 RQ0052 09-01-55                | CUSIP: 3142J6BW2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3647082 | PA      | $3835891.16   | 0.03%             | 2055-09-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.5 BR8501 04-01-51                | CUSIP: 3140L7NT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    372730 | PA      | $323955.38    | 0.00%             | 2051-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.5 ZM2569 01-01-47                | CUSIP: 3131XV2A2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     37255 | PA      | $33129.65     | 0.00%             | 2047-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.5 ZM1953 10-01-46                | CUSIP: 3131XVE27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     28218 | PA      | $25091.37     | 0.00%             | 2046-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.5 ZM1663 09-01-46                | CUSIP: 3131XUZ42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     10586 | PA      | $9413.03      | 0.00%             | 2046-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.5 ZA4953 07-01-47                | CUSIP: 31329NQE1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     10493 | PA      | $9322.74      | 0.00%             | 2047-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.5 ZS4616 05-01-45                | CUSIP: 3132A5DV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     99344 | PA      | $88990.13     | 0.00%             | 2045-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2MHD 3.25 AH5911 08-20-35                   | CUSIP: 36182NR88<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1307087 | PA      | $1268589.74   | 0.01%             | 2035-08-20      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2MHD 3.25 AH5912 08-20-40                   | CUSIP: 36182NR96<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    419152 | PA      | $392917.43    | 0.00%             | 2040-08-20      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2SF 4.5 TBA 03-01-56                        | CUSIP: 21H042638<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   9000000 | PA      | $8896644.00   | 0.07%             | 2056-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2SF 2.0 TBA 03-01-56                        | CUSIP: 21H020634<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  40294949 | PA      | $34149646.92  | 0.26%             | 2056-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2RF 4.903 AQ8290 02-20-66                   | CUSIP: 36190VF75<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      1197 | PA      | $1208.73      | 0.00%             | 2066-02-20      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2RF 5.197 AQ8292 02-20-66                   | CUSIP: 36190VF91<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |       675 | PA      | $678.27       | 0.00%             | 2066-02-20      | Fixed         | 5.20%                 | 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        |       516 | PA      | $519.16       | 0.00%             | 2062-04-20      | Fixed         | 5.20%                 | No            |                  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        |   2186551 | PA      | $1800552.39   | 0.01%             | 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        |    981495 | PA      | $907558.24    | 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        |   9347908 | PA      | $7716379.99   | 0.06%             | 2061-03-15      | Fixed         | 1.53%                 | Yes           |                  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      | $13241534.68  | 0.10%             | 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      | $393742.16    | 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      | $9548047.00   | 0.07%             | 2029-01-31      | Fixed         | 1.75%                 | 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      | $27140799.60  | 0.21%             | 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      | $11437587.70  | 0.09%             | 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      | $44887504.50  | 0.34%             | 2055-02-15      | Fixed         | 4.62%                 | 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        |   6525681 | PA      | $6249318.23   | 0.05%             | 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        |   2943863 | PA      | $2824218.31   | 0.02%             | 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        |     12909 | PA      | $12480.48     | 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        |      4236 | PA      | $4102.30      | 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        |       393 | PA      | $383.91       | 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        |  10311971 | PA      | $10171903.77  | 0.08%             | 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        |   3347621 | PA      | $3221595.99   | 0.02%             | 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        |   1381796 | PA      | $1327335.74   | 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        |     22594 | PA      | $23223.46     | 0.00%             | 2040-02-01      | Fixed         | 5.00%                 | 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        |    287050 | PA      | $277299.44    | 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        |     11870 | PA      | $11725.07     | 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        |     19904 | PA      | $20432.68     | 0.00%             | 2041-12-01      | Fixed         | 5.00%                 | 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        |   2051506 | PA      | $21549.02     | 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        |    841057 | PA      | $814910.86    | 0.01%             | 2046-06-20      | Fixed         | 4.00%                 | 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        |     75205 | PA      | $75986.13     | 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        |    222310 | PA      | $213019.88    | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | 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        |    646967 | PA      | $622334.95    | 0.00%             | 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        |    936855 | PA      | $900211.88    | 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        |     42507 | PA      | $43756.77     | 0.00%             | 2041-11-01      | Fixed         | 5.00%                 | 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        |    600671 | PA      | $593581.58    | 0.00%             | 2047-12-01      | 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        |   2659726 | PA      | $2611611.65   | 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        |    213759 | PA      | $214738.39    | 0.00%             | 2049-07-20      | Fixed         | 4.50%                 | 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        |    175876 | PA      | $169256.41    | 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        |     59899 | PA      | $59168.76     | 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        |     59339 | PA      | $61025.46     | 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        |     31423 | PA      | $30309.34     | 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        |    873761 | PA      | $865270.54    | 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        |     61610 | PA      | $59502.46     | 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        |   2652800 | PA      | $2548242.45   | 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        |   3546080 | PA      | $3413747.57   | 0.03%             | 2049-06-01      | Fixed         | 3.50%                 | 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        |     25782 | PA      | $24944.41     | 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        |     47916 | PA      | $46350.48     | 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        |    237002 | PA      | $224995.05    | 0.00%             | 2047-10-01      | 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        |  44791836 | PA      | $41965292.15  | 0.32%             | 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        |   3804502 | PA      | $3378314.43   | 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        |   9844117 | PA      | $8741320.27   | 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        |   5062523 | PA      | $4505761.52   | 0.03%             | 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        |   4601493 | PA      | $4102995.13   | 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        |    727633 | PA      | $681967.63    | 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        |    602599 | PA      | $565341.68    | 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        |  14619297 | PA      | $13399039.01  | 0.10%             | 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        |   6829148 | PA      | $6023267.94   | 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        |  14712563 | PA      | $13003698.69  | 0.10%             | 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        |   6120255 | PA      | $5413181.52   | 0.04%             | 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        |   7717856 | PA      | $6821403.92   | 0.05%             | 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        |   2095466 | PA      | $1850771.87   | 0.01%             | 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        |   2152596 | PA      | $1902574.13   | 0.01%             | 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        |   7616642 | PA      | $6750599.13   | 0.05%             | 2051-11-01      | Fixed         | 2.50%                 | 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        |  27376062 | PA      | $24500206.69  | 0.19%             | 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        |   6804073 | PA      | $6299312.84   | 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        |  22177395 | PA      | $21184158.56  | 0.16%             | 2052-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 3.0 SD7553 03-01-52                | CUSIP: 3132DVMA0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   5981055 | PA      | $5500877.59   | 0.04%             | 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        |  22341780 | PA      | $19733176.46  | 0.15%             | 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        |   1732030 | PA      | $1534095.59   | 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        |    120123 | PA      | $99659.27     | 0.00%             | 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        |   1995095 | PA      | $1659805.24   | 0.01%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.5 CB2639 01-01-52                | CUSIP: 3140QM4Z4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     20826 | PA      | $18110.33     | 0.00%             | 2052-01-01      | Fixed         | 2.50%                 | 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        |     39622 | PA      | $33105.83     | 0.00%             | 2051-04-01      | Fixed         | 2.00%                 | 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        |   1931057 | PA      | $1606000.62   | 0.01%             | 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        |   9699986 | PA      | $8047535.33   | 0.06%             | 2051-05-01      | 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        |   2697218 | PA      | $2246048.97   | 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        |    219807 | PA      | $190962.26    | 0.00%             | 2051-05-01      | Fixed         | 2.50%                 | 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        |  23035287 | PA      | $19382535.88  | 0.15%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.0 QD3173 11-01-51                | CUSIP: 3133B0Q22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    143228 | PA      | $118872.54    | 0.00%             | 2051-11-01      | 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        |  29466851 | PA      | $24537311.89  | 0.19%             | 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        |    774439 | PA      | $644654.27    | 0.00%             | 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        |    137005 | PA      | $114601.19    | 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        |    227953 | PA      | $190581.72    | 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        |  33583958 | PA      | $28113063.94  | 0.22%             | 2050-11-01      | 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        |   5602205 | PA      | $4682625.41   | 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        |    310556 | PA      | $295002.63    | 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        |   5083706 | PA      | $4505861.66   | 0.03%             | 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        |  31833164 | PA      | $27923192.11  | 0.21%             | 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        |   1837596 | PA      | $1628757.04   | 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        |   3506752 | PA      | $3474048.28   | 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        |   5007595 | PA      | $4423524.36   | 0.03%             | 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        |   3557859 | PA      | $3148740.48   | 0.02%             | 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        |    182046 | PA      | $151626.87    | 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        |     23448 | PA      | $19577.15     | 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        |      1308 | PA      | $1094.90      | 0.00%             | 2050-09-01      | Fixed         | 2.00%                 | 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        |    276526 | PA      | $274738.77    | 0.00%             | 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        |    805907 | PA      | $699430.41    | 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        |    554759 | PA      | $482570.19    | 0.00%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.5 BV8126 04-01-52                | CUSIP: 3140MNA48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    143414 | PA      | $125038.63    | 0.00%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.5 BV8015 08-01-52                | CUSIP: 3140MM3Z9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     23380 | PA      | $20373.99     | 0.00%             | 2052-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.5 SD8271 10-01-52                | CUSIP: 3132DWFL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    575867 | PA      | $500862.61    | 0.00%             | 2052-10-01      | 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        |   1079304 | PA      | $936710.62    | 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        |    242008 | PA      | $210035.14    | 0.00%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.5 RA5559 07-01-51                | CUSIP: 3133KME84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3034311 | PA      | $2633441.86   | 0.02%             | 2051-07-01      | Fixed         | 2.50%                 | 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        |     56458 | PA      | $49069.37     | 0.00%             | 2050-11-01      | Fixed         | 2.50%                 | 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        |    517568 | PA      | $522812.25    | 0.00%             | 2053-01-01      | 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        |  25526660 | PA      | $26364317.31  | 0.20%             | 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        |  36706437 | PA      | $37458147.63  | 0.29%             | 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        |  35024734 | PA      | $30826739.57  | 0.24%             | 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        |  28760574 | PA      | $25448477.56  | 0.19%             | 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        |   4006938 | PA      | $4197556.46   | 0.03%             | 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        |   1170060 | PA      | $1225021.17   | 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        |   1475905 | PA      | $1536881.85   | 0.01%             | 2053-06-01      | Fixed         | 6.50%                 | 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        |    452722 | PA      | $481166.69    | 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        |   4231029 | PA      | $4413776.09   | 0.03%             | 2053-06-01      | 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        |    666772 | PA      | $707667.75    | 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        |    680642 | PA      | $720962.81    | 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        |    389141 | PA      | $411962.17    | 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        |   2482208 | PA      | $2570152.74   | 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        |    235943 | PA      | $245650.19    | 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        |    705486 | PA      | $738625.97    | 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        |   3807084 | PA      | $3933604.93   | 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        |    787837 | PA      | $824138.35    | 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        |   2146419 | PA      | $2250781.71   | 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        |    219921 | PA      | $235450.48    | 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        | 115447774 | PA      | $117802677.59 | 0.90%             | 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        |  32992026 | PA      | $33660114.40  | 0.26%             | 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        |  33690560 | PA      | $34365078.23  | 0.26%             | 2053-07-01      | Fixed         | 5.50%                 | 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        |   6541296 | PA      | $6675254.97   | 0.05%             | 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        |  34515051 | PA      | $34261227.17  | 0.26%             | 2052-11-01      | Fixed         | 4.50%                 | 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        |  14760769 | PA      | $15064560.49  | 0.12%             | 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        |   8288599 | PA      | $8244403.95   | 0.06%             | 2052-08-01      | Fixed         | 4.50%                 | 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        |  12511016 | PA      | $12767192.02  | 0.10%             | 2052-11-01      | Fixed         | 5.50%                 | 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        |   2670076 | PA      | $2726652.39   | 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        |   3977688 | PA      | $4028984.16   | 0.03%             | 2053-05-01      | Fixed         | 5.00%                 | 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        |   1453580 | PA      | $1467655.17   | 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        |   6038434 | PA      | $6117857.05   | 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        |     73130 | PA      | $73836.91     | 0.00%             | 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        |   2898721 | PA      | $2959257.50   | 0.02%             | 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        |    716555 | PA      | $723483.94    | 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        |   3385367 | PA      | $3495770.45   | 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        |     44123 | PA      | $45418.32     | 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        |    142197 | PA      | $146806.30    | 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        |    303332 | PA      | $313255.47    | 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        |    192328 | PA      | $200278.54    | 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        |    192215 | PA      | $199706.96    | 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        |    391588 | PA      | $399277.53    | 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        |   3099157 | PA      | $3160653.76   | 0.02%             | 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        |    453424 | PA      | $462224.59    | 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        |    610233 | PA      | $622972.48    | 0.00%             | 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        |    424950 | PA      | $432321.32    | 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        |    744749 | PA      | $759202.36    | 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        |    806839 | PA      | $822951.11    | 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        |    699366 | PA      | $715184.11    | 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        |    579696 | PA      | $594203.29    | 0.00%             | 2053-05-01      | Fixed         | 5.50%                 | 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        |     20957 | PA      | $21394.18     | 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        |    640215 | PA      | $652700.07    | 0.00%             | 2053-02-01      | Fixed         | 5.50%                 | 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        |    380920 | PA      | $389544.24    | 0.00%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | 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        |    554761 | PA      | $566249.90    | 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        |    616484 | PA      | $628465.58    | 0.00%             | 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        |    564184 | PA      | $575082.65    | 0.00%             | 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        |    696623 | PA      | $709851.92    | 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        |    554908 | PA      | $568373.77    | 0.00%             | 2053-03-01      | Fixed         | 5.50%                 | 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        |     70114 | PA      | $72178.48     | 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        |   1537399 | PA      | $1587847.09   | 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        |   1048064 | PA      | $1081613.62   | 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        |  26064933 | PA      | $21947898.95  | 0.17%             | 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        |  12205479 | PA      | $10277635.75  | 0.08%             | 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        |   4447321 | PA      | $4526162.92   | 0.03%             | 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        |   8653164 | PA      | $8875316.69   | 0.07%             | 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        |   1218328 | PA      | $1239182.37   | 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        |  25750697 | PA      | $22587584.01  | 0.17%             | 2051-02-01      | Fixed         | 2.50%                 | 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        |   4357757 | PA      | $3990262.69   | 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        |  25212529 | PA      | $22919348.52  | 0.18%             | 2051-10-01      | Fixed         | 3.00%                 | 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        |  27334289 | PA      | $24912170.33  | 0.19%             | 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        |   6733045 | PA      | $6122755.00   | 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        |   6280872 | PA      | $5325783.74   | 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        |  43389731 | PA      | $36521440.43  | 0.28%             | 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        |  41571435 | PA      | $34913894.36  | 0.27%             | 2050-09-01      | Fixed         | 2.00%                 | 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        |  23497442 | PA      | $19674548.84  | 0.15%             | 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        |   7944744 | PA      | $6657123.18   | 0.05%             | 2050-08-01      | Fixed         | 2.00%                 | 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        |   1408364 | PA      | $1168688.63   | 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        |    824823 | PA      | $850577.26    | 0.01%             | 2053-09-01      | Fixed         | 6.00%                 | 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        |   5896083 | PA      | $4891697.19   | 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        |    385194 | PA      | $334303.54    | 0.00%             | 2051-08-01      | Fixed         | 2.50%                 | 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        |   6439518 | PA      | $6667657.22   | 0.05%             | 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        |   2882150 | PA      | $2861291.74   | 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        |   7087758 | PA      | $7329294.11   | 0.06%             | 2053-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.5 MA5192 11-01-53                | CUSIP: 31418EXW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    187265 | PA      | $194753.96    | 0.00%             | 2053-11-01      | Fixed         | 6.50%                 | 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        |   1629672 | PA      | $1696639.82   | 0.01%             | 2053-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.5 SD8374 11-01-53                | CUSIP: 3132DWJT1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1023583 | PA      | $1064518.70   | 0.01%             | 2053-11-01      | Fixed         | 6.50%                 | 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        |   6104444 | PA      | $6283762.56   | 0.05%             | 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        |  17056011 | PA      | $17562233.48  | 0.13%             | 2053-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.5 SD8385 12-01-53                | CUSIP: 3132DWJ61<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2958048 | PA      | $3075491.18   | 0.02%             | 2053-12-01      | Fixed         | 6.50%                 | 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        |  15726992 | PA      | $16034643.16  | 0.12%             | 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        |  22043032 | PA      | $22757512.84  | 0.17%             | 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        |  11664808 | PA      | $12069261.78  | 0.09%             | 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        |    108574 | PA      | $110752.24    | 0.00%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 SD8396 01-01-54                | CUSIP: 3132DWKH5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    612047 | PA      | $629475.30    | 0.00%             | 2054-01-01      | Fixed         | 6.00%                 | 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        |    221149 | PA      | $228139.02    | 0.00%             | 2053-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 MA5247 01-01-54                | CUSIP: 31418EZM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2089428 | PA      | $2149731.47   | 0.02%             | 2054-01-01      | 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        |   2847403 | PA      | $2925920.11   | 0.02%             | 2054-02-01      | Fixed         | 6.00%                 | 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        |   3788474 | PA      | $3906503.90   | 0.03%             | 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        |   3650289 | PA      | $3763254.74   | 0.03%             | 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        |   2727779 | PA      | $2810570.03   | 0.02%             | 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        |   3357640 | PA      | $3458415.93   | 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        |   6186112 | PA      | $6441549.35   | 0.05%             | 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        |  45907519 | PA      | $47317201.19  | 0.36%             | 2054-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 3.0 SD2269 01-01-52                | CUSIP: 3132DPQW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    276160 | PA      | $250383.06    | 0.00%             | 2052-01-01      | Fixed         | 3.00%                 | 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        |  19232754 | PA      | $20009583.94  | 0.15%             | 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        |  10682038 | PA      | $10937969.43  | 0.08%             | 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        |   8303165 | PA      | $8562290.13   | 0.07%             | 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        |   1749238 | PA      | $1803563.58   | 0.01%             | 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        |  14624488 | PA      | $15244595.96  | 0.12%             | 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        |   6772919 | PA      | $6894553.61   | 0.05%             | 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        |  16388227 | PA      | $16678790.69  | 0.13%             | 2054-03-01      | Fixed         | 5.50%                 | 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        |  11639920 | PA      | $12010221.23  | 0.09%             | 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        |    717264 | PA      | $729981.00    | 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        |   3052828 | PA      | $3186767.37   | 0.02%             | 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        |  22680498 | PA      | $23262910.42  | 0.18%             | 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        |  10373359 | PA      | $10614342.99  | 0.08%             | 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        |   7932014 | PA      | $8169998.53   | 0.06%             | 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        |   1485239 | PA      | $1523373.72   | 0.01%             | 2053-03-01      | Fixed         | 5.50%                 | 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        |   5387145 | PA      | $5483214.20   | 0.04%             | 2054-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 7.0 MA5274 02-01-54                | CUSIP: 31418E2G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    387961 | PA      | $407463.63    | 0.00%             | 2054-02-01      | Fixed         | 7.00%                 | 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        |    346416 | PA      | $352539.86    | 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        |  36925764 | PA      | $38627340.09  | 0.30%             | 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        |  15877814 | PA      | $16609495.39  | 0.13%             | 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        |  39782564 | PA      | $41628276.50  | 0.32%             | 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        |  13558202 | PA      | $13797897.84  | 0.11%             | 2054-06-01      | Fixed         | 5.50%                 | 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        | 106345624 | PA      | $98709263.67  | 0.75%             | 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        |   2517571 | PA      | $2280871.59   | 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        |   4030231 | PA      | $3348807.39   | 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        |   1755300 | PA      | $1458373.05   | 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        |    786633 | PA      | $654111.67    | 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        |   1023736 | PA      | $1053661.08   | 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        |   1226323 | PA      | $1262358.81   | 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        |   5070436 | PA      | $5289843.76   | 0.04%             | 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        |   7111065 | PA      | $7349307.52   | 0.06%             | 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        |   6042715 | PA      | $6241635.30   | 0.05%             | 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        |   1731052 | PA      | $1750413.41   | 0.01%             | 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        |  21893999 | PA      | $22684044.41  | 0.17%             | 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        |   5937682 | PA      | $6071096.29   | 0.05%             | 2054-06-01      | Fixed         | 5.50%                 | 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        |    453695 | PA      | $477550.21    | 0.00%             | 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        |    409555 | PA      | $431089.91    | 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        |    869089 | PA      | $915309.31    | 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        |   2328260 | PA      | $2444768.39   | 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        |   3338276 | PA      | $3506321.02   | 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        |    574512 | PA      | $585000.01    | 0.00%             | 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        |     99973 | PA      | $101951.25    | 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        |    285253 | PA      | $290759.64    | 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        |    451876 | PA      | $466457.05    | 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        |   1312204 | PA      | $1365211.66   | 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        |   1419667 | PA      | $1462404.92   | 0.01%             | 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        |    195899 | PA      | $204236.67    | 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        |     89673 | PA      | $93272.66     | 0.00%             | 2054-03-01      | Fixed         | 6.50%                 | 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        |     48944 | PA      | $50916.85     | 0.00%             | 2054-06-01      | Fixed         | 6.50%                 | 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        |  17361685 | PA      | $18285083.45  | 0.14%             | 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        |   7809843 | PA      | $8039460.62   | 0.06%             | 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        |   9356581 | PA      | $9824840.32   | 0.08%             | 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        |   5812405 | PA      | $6103292.53   | 0.05%             | 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        |  14057519 | PA      | $14625892.25  | 0.11%             | 2054-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.5 SD8448 07-01-54                | CUSIP: 3132DWL50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  34818004 | PA      | $36193245.37  | 0.28%             | 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        |    864220 | PA      | $901004.11    | 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        |   1384418 | PA      | $1462710.75   | 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        |   4411773 | PA      | $4595184.12   | 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        |   2783602 | PA      | $2859527.57   | 0.02%             | 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        |   2524830 | PA      | $2597415.94   | 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        |    512805 | PA      | $535305.74    | 0.00%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.5 MA5446 08-01-54                | CUSIP: 31418FBQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1141952 | PA      | $1186374.20   | 0.01%             | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.5 SD8455 08-01-54                | CUSIP: 3132DWMC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  32021530 | PA      | $33267167.05  | 0.25%             | 2054-08-01      | Fixed         | 6.50%                 | 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        |    663419 | PA      | $686023.36    | 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        |   1298235 | PA      | $1339734.72   | 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        |    570878 | PA      | $594926.63    | 0.00%             | 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        |    731052 | PA      | $762632.83    | 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        |   1004733 | PA      | $1048704.03   | 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        |   1532564 | PA      | $1586865.35   | 0.01%             | 2054-06-01      | 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        |   3372318 | PA      | $3392046.37   | 0.03%             | 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        |   3599942 | PA      | $3621465.78   | 0.03%             | 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        |   3161661 | PA      | $3180621.04   | 0.02%             | 2055-04-01      | Fixed         | 5.00%                 | 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        |   1290859 | PA      | $1324620.14   | 0.01%             | 2055-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.5 RQ0027 07-01-55                | CUSIP: 3142J6A52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  49395376 | PA      | $50241073.83  | 0.38%             | 2055-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.5 SL1315 05-01-55                | CUSIP: 31427NN96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   6711221 | PA      | $6976307.74   | 0.05%             | 2055-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| PEAC 2026-1A                                                | PEAC 2026-1A A2 144A 4.27% 10-20-28          | CUSIP: 704583AB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6442000 | PA      | $6468102.98   | 0.05%             | 2028-10-20      | Fixed         | 4.27%                 | Yes           |                  2 | On Loan: No      |
| CAPITAL GROUP CENTRAL CASH FUND                             | CAPITAL GROUP CENTRAL CASH FUND              | CUSIP: 14020B102<br>LEI: 549300YD0SRETB6WWP29 | Long             | STIV             | RF                | US        |   5117634 | NS      | $511763449.00 | 3.91%             |  |  |  | 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      | $7506291.50   | 0.06%             |  |  |  | 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      | $-614581.03   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CME CHICAGO MERCANTILE EXCHANGE                             | FED FUND 30DAY FUT FFG6 02-27-26             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |       228 | NC      | $-53298.89    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CME CHICAGO MERCANTILE EXCHANGE                             | UST 10YR FUT ULTRA UXYM6 06-18-26            | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |      3819 | NC      | $2371102.53   | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| CME CHICAGO MERCANTILE EXCHANGE                             | UST 30YR FUT ULTRA WNM6 06-18-26             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |      3040 | NC      | $4355453.44   | 0.03%             |  |  |  | No            |                  1 | 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        |    130546 | PA      | $133871.41    | 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        |    388854 | PA      | $387419.05    | 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        |    720345 | PA      | $747836.72    | 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        |    723437 | PA      | $766147.58    | 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        |    556596 | PA      | $571827.85    | 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        |    410673 | PA      | $412204.82    | 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        |     94473 | PA      | $94627.26     | 0.00%             | 2041-09-20      | Fixed         | 4.50%                 | 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        |    454510 | PA      | $466739.06    | 0.00%             | 2054-08-01      | Fixed         | 6.00%                 | 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        |   7545198 | PA      | $7952487.58   | 0.06%             | 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        |   4127592 | PA      | $4165272.99   | 0.03%             | 2048-10-01      | Fixed         | 4.50%                 | 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        |    142047 | PA      | $143175.02    | 0.00%             | 2050-12-01      | Fixed         | 4.50%                 | 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        |     38425 | PA      | $31878.81     | 0.00%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.0 QD9124 02-01-52                | CUSIP: 3133B7D54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     45823 | PA      | $38015.91     | 0.00%             | 2052-02-01      | 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        |    104653 | PA      | $86822.40     | 0.00%             | 2052-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.0 BQ7041 01-01-52                | CUSIP: 3140KSZF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   6738580 | PA      | $5590480.90   | 0.04%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.0 CB2850 02-01-52                | CUSIP: 3140QNEY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     34522 | PA      | $28640.26     | 0.00%             | 2052-02-01      | Fixed         | 2.00%                 | 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        |    185299 | PA      | $193270.96    | 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        |    910582 | PA      | $916073.18    | 0.01%             | 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        |  72788488 | PA      | $74709230.35  | 0.57%             | 2055-04-01      | Fixed         | 6.00%                 | 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        |   5614086 | PA      | $5822491.82   | 0.04%             | 2055-02-01      | Fixed         | 6.00%                 | 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        |  39526771 | PA      | $40207540.22  | 0.31%             | 2055-05-01      | Fixed         | 5.50%                 | 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        |     18451 | PA      | $18071.17     | 0.00%             | 2050-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.5 SD8524 04-01-55                | CUSIP: 3132DWPH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     95983 | PA      | $97633.40     | 0.00%             | 2055-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.5 MA5700 05-01-55                | CUSIP: 31418FKN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    194300 | PA      | $197646.75    | 0.00%             | 2055-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.5 MA5673 04-01-55                | CUSIP: 31418FJT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1145186 | PA      | $1164880.22   | 0.01%             | 2055-04-01      | Fixed         | 5.50%                 | 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        |     37778 | PA      | $38425.83     | 0.00%             | 2055-03-01      | Fixed         | 5.50%                 | 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        |   3197854 | PA      | $3216069.35   | 0.02%             | 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        |    855200 | PA      | $861734.71    | 0.01%             | 2054-11-01      | 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        |   2352228 | PA      | $2414888.94   | 0.02%             | 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        |   1310216 | PA      | $1344936.87   | 0.01%             | 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        |  67847136 | PA      | $69644203.36  | 0.53%             | 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        |   1291647 | PA      | $1325860.17   | 0.01%             | 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        |   3508799 | PA      | $3177754.65   | 0.02%             | 2051-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.5 MA5737 06-01-55                | CUSIP: 31418FLT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  14834504 | PA      | $15411581.32  | 0.12%             | 2055-06-01      | Fixed         | 6.50%                 | 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        |   8571435 | PA      | $7772842.93   | 0.06%             | 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        | 115421815 | PA      | $118467565.95 | 0.91%             | 2055-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.5 DB5039 06-01-54                | CUSIP: 3140AES59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      9942 | PA      | $10334.53     | 0.00%             | 2054-06-01      | Fixed         | 6.50%                 | 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        |   1803338 | PA      | $1895406.07   | 0.01%             | 2054-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.5 RQ0015 06-01-55                | CUSIP: 3142J6AR4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  90973139 | PA      | $94512085.36  | 0.72%             | 2055-06-01      | Fixed         | 6.50%                 | 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        |   8278213 | PA      | $6867745.92   | 0.05%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.0 FM8434 08-01-51                | CUSIP: 3140XCLQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     22078 | PA      | $18316.83     | 0.00%             | 2051-08-01      | 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        |    251323 | PA      | $208501.50    | 0.00%             | 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        |   1439867 | PA      | $1198008.41   | 0.01%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.0 QD3473 12-01-51                | CUSIP: 3133B02E2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    142866 | PA      | $118523.23    | 0.00%             | 2051-12-01      | 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        |   6728522 | PA      | $5582257.76   | 0.04%             | 2051-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.0 BT2052 03-01-52                | CUSIP: 3140LQH60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    158901 | PA      | $131827.31    | 0.00%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.0 QB5275 11-01-50                | CUSIP: 3133AB2G4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    952363 | PA      | $792002.39    | 0.01%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.0 BQ4077 12-01-50                | CUSIP: 3140KPQ71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    145355 | PA      | $120594.69    | 0.00%             | 2050-12-01      | 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        |   1925285 | PA      | $1601513.95   | 0.01%             | 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        |   1410345 | PA      | $1173443.93   | 0.01%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.0 BQ9291 12-01-50                | CUSIP: 3140KVKD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    782835 | PA      | $649967.30    | 0.00%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.0 FS5127 01-01-52                | CUSIP: 3140XLVV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    386783 | PA      | $350285.23    | 0.00%             | 2052-01-01      | Fixed         | 3.00%                 | 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        |   9404042 | PA      | $8521209.51   | 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        |    229306 | PA      | $190428.30    | 0.00%             | 2052-01-01      | Fixed         | 2.00%                 | 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        |   7434038 | PA      | $7645156.73   | 0.06%             | 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        |  11254713 | PA      | $9767605.17   | 0.07%             | 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        |  18995634 | PA      | $16485930.46  | 0.13%             | 2051-12-01      | 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        |  71315651 | PA      | $62268119.56  | 0.48%             | 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        |   1958158 | PA      | $1715804.98   | 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        |   8052129 | PA      | $7115263.99   | 0.05%             | 2052-03-20      | Fixed         | 2.50%                 | 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        |     47988 | PA      | $39933.25     | 0.00%             | 2051-01-01      | Fixed         | 2.00%                 | 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        |    526596 | PA      | $550499.64    | 0.00%             | 2055-03-01      | Fixed         | 6.50%                 | 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        |    710189 | PA      | $589190.17    | 0.00%             | 2052-01-01      | Fixed         | 2.00%                 | 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        |    153149 | PA      | $160434.55    | 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        |     77377 | PA      | $81616.34     | 0.00%             | 2053-08-01      | Fixed         | 6.50%                 | 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        |   8039314 | PA      | $7280700.49   | 0.06%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.0 CB2431 12-01-51                | CUSIP: 3140QMVZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    973730 | PA      | $881857.04    | 0.01%             | 2051-12-01      | 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        |  51915557 | PA      | $53285400.63  | 0.41%             | 2054-12-01      | Fixed         | 6.00%                 | 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        |   1982846 | PA      | $1672391.52   | 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        |   2004575 | PA      | $1664629.17   | 0.01%             | 2051-03-01      | Fixed         | 2.00%                 | 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        |    397576 | PA      | $408497.89    | 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        |  22043270 | PA      | $22624925.54  | 0.17%             | 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        |    684509 | PA      | $702847.25    | 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        |    496425 | PA      | $509631.27    | 0.00%             | 2055-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.5 SD0566 04-01-51                | CUSIP: 3132DMTX3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  10943698 | PA      | $9497936.75   | 0.07%             | 2051-04-01      | Fixed         | 2.50%                 | 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        |    607364 | PA      | $527114.47    | 0.00%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.0 FM4783 12-01-50                | CUSIP: 3140X8J57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    284465 | PA      | $236088.92    | 0.00%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 QX6717 02-01-55                | CUSIP: 31426CPB4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    119355 | PA      | $122780.40    | 0.00%             | 2055-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 MA5793 08-01-55                | CUSIP: 31418FNK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  11849911 | PA      | $12162606.36  | 0.09%             | 2055-08-01      | Fixed         | 6.00%                 | 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        |    279711 | PA      | $232253.85    | 0.00%             | 2050-11-01      | 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        |    846190 | PA      | $702037.78    | 0.01%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 QY7786 07-01-55                | CUSIP: 31426SUL1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   6108099 | PA      | $6271575.88   | 0.05%             | 2055-07-01      | Fixed         | 6.00%                 | 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        |    918965 | PA      | $943693.01    | 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        |   6076436 | PA      | $6238530.99   | 0.05%             | 2054-12-01      | Fixed         | 6.00%                 | 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        |   7954765 | PA      | $8354555.26   | 0.06%             | 2053-02-01      | 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        |    134852 | PA      | $138410.58    | 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        |    788402 | PA      | $686901.92    | 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        |   2858057 | PA      | $2933475.34   | 0.02%             | 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        |    692809 | PA      | $605665.03    | 0.00%             | 2051-05-01      | Fixed         | 2.50%                 | 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        |  30281600 | PA      | $25128277.07  | 0.19%             | 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        |   9082404 | PA      | $7537205.29   | 0.06%             | 2052-02-01      | Fixed         | 2.00%                 | 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        |   9829157 | PA      | $8974728.41   | 0.07%             | 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        |  25539745 | PA      | $22450048.80  | 0.17%             | 2050-12-01      | Fixed         | 2.50%                 | 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        |     56670 | PA      | $49323.89     | 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        |    866277 | PA      | $757997.58    | 0.01%             | 2051-03-01      | 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        |  13668501 | PA      | $12476266.37  | 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        |   6502679 | PA      | $5937297.48   | 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        |  16903543 | PA      | $17425878.95  | 0.13%             | 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        |  25182327 | PA      | $26062449.50  | 0.20%             | 2053-05-01      | Fixed         | 6.00%                 | 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        |    409225 | PA      | $420189.36    | 0.00%             | 2055-07-01      | Fixed         | 6.00%                 | 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        |    120166 | PA      | $123376.15    | 0.00%             | 2054-11-01      | 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        |  16717677 | PA      | $17272988.35  | 0.13%             | 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        |  48961721 | PA      | $50521935.53  | 0.39%             | 2053-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.5 MA5792 08-01-55                | CUSIP: 31418FNJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  30196176 | PA      | $30713164.86  | 0.23%             | 2055-08-01      | Fixed         | 5.50%                 | 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        |    930225 | PA      | $843916.56    | 0.01%             | 2050-02-01      | Fixed         | 3.00%                 | 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        |     80085 | PA      | $80883.91     | 0.00%             | 2053-06-01      | Fixed         | 5.00%                 | 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        |    378750 | PA      | $329185.16    | 0.00%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.0 FA1404 09-01-52                | CUSIP: 3140W1R21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    538502 | PA      | $488705.10    | 0.00%             | 2052-09-01      | 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        |     17597 | PA      | $15964.30     | 0.00%             | 2050-05-01      | Fixed         | 3.00%                 | 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        |   6882518 | PA      | $7067720.19   | 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        |      4410 | PA      | $3833.19      | 0.00%             | 2050-09-01      | Fixed         | 2.50%                 | 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        |    757416 | PA      | $685944.71    | 0.01%             | 2052-03-01      | 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        |   3711084 | PA      | $3361677.58   | 0.03%             | 2053-07-01      | Fixed         | 3.00%                 | 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        | 102878369 | PA      | $89285564.07  | 0.68%             | 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        |   6115455 | PA      | $6281349.35   | 0.05%             | 2054-09-01      | Fixed         | 6.00%                 | 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        |   3432650 | PA      | $3114625.28   | 0.02%             | 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        |    984311 | PA      | $891417.67    | 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        |    120364 | PA      | $109071.75    | 0.00%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.0 FS6892 04-01-52                | CUSIP: 3140XNUS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     58768 | PA      | $48788.12     | 0.00%             | 2052-04-01      | Fixed         | 2.00%                 | 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        |    412720 | PA      | $359210.81    | 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        |     87581 | PA      | $75982.65     | 0.00%             | 2052-02-01      | Fixed         | 2.50%                 | 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        |   4805752 | PA      | $4374666.38   | 0.03%             | 2051-07-01      | 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        |   2163630 | PA      | $1959454.60   | 0.01%             | 2052-02-01      | Fixed         | 3.00%                 | 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        |     97639 | PA      | $84861.18     | 0.00%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.5 CA6168 06-01-50                | CUSIP: 3140QD2A1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     21747 | PA      | $18900.64     | 0.00%             | 2050-06-01      | 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        |    350861 | PA      | $304508.83    | 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        |    164742 | PA      | $143181.58    | 0.00%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.5 RA6136 10-01-51                | CUSIP: 3133KMY90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    934563 | PA      | $811088.58    | 0.01%             | 2051-10-01      | 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        |   3314163 | PA      | $2882562.70   | 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        |     93828 | PA      | $81429.06     | 0.00%             | 2052-07-01      | Fixed         | 2.50%                 | 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        |   6509181 | PA      | $6333029.32   | 0.05%             | 2054-02-01      | 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        |   3179076 | PA      | $3311290.74   | 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        |   8300360 | PA      | $8351772.58   | 0.06%             | 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        |  27826546 | PA      | $28161661.38  | 0.22%             | 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        |  44911312 | PA      | $47399623.35  | 0.36%             | 2054-10-01      | Fixed         | 6.50%                 | 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        |   3854053 | PA      | $3490376.97   | 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        |   1002187 | PA      | $907625.26    | 0.01%             | 2051-11-01      | Fixed         | 3.00%                 | 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        |   8142388 | PA      | $8376310.29   | 0.06%             | 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        |         0 | PA      | $0.01         | 0.00%             | 2054-12-01      | Fixed         | 5.00%                 | 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        |   2443396 | PA      | $2485600.33   | 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        |  21046488 | PA      | $21276505.00  | 0.16%             | 2054-12-01      | Fixed         | 5.00%                 | 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        |   1267203 | PA      | $1154578.71   | 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        |    447049 | PA      | $404858.35    | 0.00%             | 2052-04-01      | Fixed         | 3.00%                 | 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        |   6984155 | PA      | $7138064.82   | 0.05%             | 2054-12-01      | Fixed         | 5.50%                 | 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        |   4882384 | PA      | $4990099.52   | 0.04%             | 2054-12-01      | Fixed         | 5.50%                 | 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        |    772032 | PA      | $700138.39    | 0.01%             | 2053-07-01      | 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        |   1120469 | PA      | $929561.05    | 0.01%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.0 FM6824 04-01-51                | CUSIP: 3140XASN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    148580 | PA      | $123267.57    | 0.00%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.5 RQ0056 10-01-55                | CUSIP: 3142J6B28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    943466 | PA      | $959398.41    | 0.01%             | 2055-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.5 SL2621 07-01-52                | CUSIP: 31427P4F8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        | 106700199 | PA      | $92602648.19  | 0.71%             | 2052-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.5 FA2839 07-01-52                | CUSIP: 3140W3EM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        | 113798373 | PA      | $98802250.73  | 0.76%             | 2052-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.0 FS6633 06-01-52                | CUSIP: 3140XNLP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    594626 | PA      | $538906.09    | 0.00%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.0 FM6649 07-01-50                | CUSIP: 3140XAL75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    429690 | PA      | $389819.06    | 0.00%             | 2050-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.5 DF2564 12-01-55                | CUSIP: 3140BSZ67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2726677 | PA      | $2773160.97   | 0.02%             | 2055-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 3.0 RA2797 06-01-50                | CUSIP: 3133KJDA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    138340 | PA      | $125374.19    | 0.00%             | 2050-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.0 BC0884 05-01-46                | CUSIP: 3140EU6W4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    342636 | PA      | $316534.76    | 0.00%             | 2046-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.0 FS2008 01-01-51                | CUSIP: 3140XHGS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    249940 | PA      | $226746.11    | 0.00%             | 2051-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 3.0 QD0682 11-01-51                | CUSIP: 3133AWXK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    954612 | PA      | $866017.33    | 0.01%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 3.0 SD7235 08-01-52                | CUSIP: 3132DVBC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    693237 | PA      | $627819.90    | 0.00%             | 2052-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.0 QC4418 07-01-51                | CUSIP: 3133AN4B7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     81867 | PA      | $67920.15     | 0.00%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.0 QB5949 11-01-50                | CUSIP: 3133ACTE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     49211 | PA      | $40827.46     | 0.00%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.5 FP0128 06-01-54                | CUSIP: 3140XTEA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  12801019 | PA      | $13298965.72  | 0.10%             | 2054-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.5 FA2842 07-01-55                | CUSIP: 3140W3EQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  70141497 | PA      | $72911945.50  | 0.56%             | 2055-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.5 SL2781 09-01-55                | CUSIP: 31427QCT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  16822353 | PA      | $17705122.86  | 0.14%             | 2055-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.5 SL2647 09-01-55                | CUSIP: 31427P5H3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  10439937 | PA      | $10998358.33  | 0.08%             | 2055-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.5 ZS4711 02-01-47                | CUSIP: 3132A5GU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     46813 | PA      | $41764.84     | 0.00%             | 2047-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 7.0 RQ0030 07-01-55                | CUSIP: 3142J6A86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    532069 | PA      | $558818.14    | 0.00%             | 2055-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.5 SL2445 09-01-54                | CUSIP: 31427PWF7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   7463187 | PA      | $7790671.93   | 0.06%             | 2054-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.5 SL0673 03-01-55                | CUSIP: 31427MXB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  26238240 | PA      | $27634219.68  | 0.21%             | 2055-03-01      | Fixed         | 6.50%                 | 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        |      6076 | PA      | $6204.42      | 0.00%             | 2049-07-20      | Fixed         | 5.00%                 | 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        |    113763 | PA      | $117783.50    | 0.00%             | 2038-12-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.5 CB6766 07-01-53                | CUSIP: 3140QSQU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  23242028 | PA      | $24544883.17  | 0.19%             | 2053-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.5 FA2843 03-01-55                | CUSIP: 3140W3ER6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   8850678 | PA      | $9208192.00   | 0.07%             | 2055-03-01      | 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        |    367066 | PA      | $374352.23    | 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        |     40180 | PA      | $41034.85     | 0.00%             | 2041-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 7.0 SL2928 01-01-55                | CUSIP: 31427QHE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   5227295 | PA      | $5490217.65   | 0.04%             | 2055-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.5 BU9528 12-01-51                | CUSIP: 3140MBSS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     28466 | PA      | $27026.18     | 0.00%             | 2051-12-01      | Fixed         | 3.50%                 | 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        |    165073 | PA      | $164562.60    | 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        |    392597 | PA      | $376519.21    | 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        |    267527 | PA      | $263306.62    | 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        |    199043 | PA      | $198391.18    | 0.00%             | 2032-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.5 FM8203 07-01-51                | CUSIP: 3140XCDH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1442295 | PA      | $1251729.31   | 0.01%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 3.5 SD0740 10-01-51                | CUSIP: 3132DMZD0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2974934 | PA      | $2822801.81   | 0.02%             | 2051-10-01      | Fixed         | 3.50%                 | 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        |    180939 | PA      | $180259.23    | 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        |    411302 | PA      | $404812.87    | 0.00%             | 2042-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.5 BQ9471 03-01-51                | CUSIP: 3140KVQZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3280228 | PA      | $2854992.30   | 0.02%             | 2051-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.5 FA0643 02-01-55                | CUSIP: 3140W0WD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   6880675 | PA      | $7190511.80   | 0.05%             | 2055-02-01      | Fixed         | 6.50%                 | 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        |    223448 | PA      | $217864.55    | 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        |    137180 | PA      | $132036.86    | 0.00%             | 2042-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.5 SL2362 02-01-54                | CUSIP: 31427PTU8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   6906715 | PA      | $7282737.62   | 0.06%             | 2054-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNJMCK 7.0 MA5846 08-01-55                   | CUSIP: 31418FP84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2695878 | PA      | $2752210.72   | 0.02%             | 2055-08-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                           | GNSF 3.5 799343 07-15-42                     | CUSIP: 36177ULZ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    283893 | PA      | $273842.75    | 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        |   7058521 | PA      | $5986981.04   | 0.05%             | 2050-11-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.5 FP0130 12-01-54                | CUSIP: 3140XTEC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  15656815 | PA      | $16265833.37  | 0.12%             | 2054-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.0 FM9930 12-01-51                | CUSIP: 3140XEA87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     76069 | PA      | $63108.68     | 0.00%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.5 FS7057 07-01-52                | CUSIP: 3140XNZX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     24700 | PA      | $21474.98     | 0.00%             | 2052-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.0 QB7817 01-01-51                | CUSIP: 3133AEVJ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    992107 | PA      | $823106.24    | 0.01%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.5 SL2625 07-01-55                | CUSIP: 31427P4K7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  45307326 | PA      | $47069781.28  | 0.36%             | 2055-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                           | GNSF 2.75 793043 01-15-42                    | CUSIP: 36177MLZ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    186988 | PA      | $172419.63    | 0.00%             | 2042-01-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                           | GNSF 2.75 799829 02-15-42                    | CUSIP: 36177U4P6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    150278 | PA      | $137583.02    | 0.00%             | 2042-02-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                           | GNSF 2.75 AB1330 08-15-42                    | CUSIP: 36178LPP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    203334 | PA      | $186188.83    | 0.00%             | 2042-08-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER SCRT_17-1                     | SCRT 2017-1 HA 3.0% 01-25-56                 | CUSIP: 35563PAP4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   1965652 | PA      | $1883224.19   | 0.01%             | 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        |   2261798 | PA      | $2164739.83   | 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        |   2355009 | PA      | $2241568.68   | 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        |   7435716 | PA      | $7176083.27   | 0.05%             | 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        |   3387929 | PA      | $3340098.27   | 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        |    413179 | PA      | $407125.22    | 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        |    590715 | PA      | $548384.71    | 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% 08-25-58                 | CUSIP: 35563PKF5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    969048 | PA      | $894409.25    | 0.01%             | 2058-08-25      | 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        |   1155101 | PA      | $1067672.50   | 0.01%             | 2058-07-25      | Fixed         | 3.50%                 | 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      | $15125144.09  | 0.12%             | 2038-11-15      | Variable      | 4.50%                 | Yes           |                  2 | On Loan: No      |
| STORAGEMART COMMERCIAL MORTGAGE TRUST SMRT_22-MINI          | SMRT 2022-MINI A 144A FRN 01-15-39           | CUSIP: 78457JAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  21530000 | PA      | $21534564.36  | 0.16%             | 2039-01-15      | Variable      | 4.66%                 | 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        |  20955038 | PA      | $20564247.01  | 0.16%             | 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        |  24641521 | PA      | $22747745.95  | 0.17%             | 2030-11-25      | Fixed         | 2.00%                 | 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        |  24829392 | PA      | $23310305.29  | 0.18%             | 2031-05-26      | Fixed         | 2.25%                 | 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        |  26078564 | PA      | $24255646.47  | 0.19%             | 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        |  21275678 | PA      | $19574985.38  | 0.15%             | 2031-07-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                                 | FNCL 3.5 UMBS TBA 03-01-56                   | CUSIP: 01F032633<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  46099483 | PA      | $43449454.22  | 0.33%             | 2056-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                                 | FNCL 2.0 UMBS TBA 03-01-56                   | CUSIP: 01F020638<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   8761535 | PA      | $7260710.34   | 0.06%             | 2056-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                                 | FNCL 7.0 UMBS TBA 03-01-56                   | CUSIP: 01F070633<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  57735171 | PA      | $60651143.55  | 0.46%             | 2056-03-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                                 | FNCL 5.0 UMBS TBA 03-01-56                   | CUSIP: 01F050635<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  50000000 | PA      | $50236000.00  | 0.38%             | 2056-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                                 | FNCL 2.5 UMBS TBA 03-01-56                   | CUSIP: 01F022634<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        | 122603742 | PA      | $106249015.84 | 0.81%             | 2056-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                                 | FNCL 5.5 UMBS TBA 03-01-56                   | CUSIP: 01F052631<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  33442247 | PA      | $33983643.54  | 0.26%             | 2056-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                                 | FNCL 3.0 UMBS TBA 03-01-56                   | CUSIP: 01F030637<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  21779027 | PA      | $19699151.70  | 0.15%             | 2056-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                                 | FNCL 6.0 UMBS TBA 03-01-56                   | CUSIP: 01F060634<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        | 376393448 | PA      | $386121336.66 | 2.95%             | 2056-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                                 | FNCI 2.5 UMBS TBA 03-01-41                   | CUSIP: 01F022436<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   7837301 | PA      | $7474951.23   | 0.06%             | 2041-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                                 | FNCI 4.0 UMBS TBA 03-01-41                   | CUSIP: 01F040438<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  11000000 | PA      | $10907578.00  | 0.08%             | 2041-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                                 | FNCL 2.0 UMBS TBA 04-01-56                   | CUSIP: 01F020646<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        | 147724011 | PA      | $122419331.09 | 0.94%             | 2056-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                                 | FNCL 4.0 UMBS TBA 04-01-56                   | CUSIP: 01F040644<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  25746225 | PA      | $24951130.08  | 0.19%             | 2056-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                                 | FNCL 3.0 UMBS TBA 04-01-56                   | CUSIP: 01F030645<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  42346616 | PA      | $38284347.47  | 0.29%             | 2056-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                                 | FNCL 4.0 UMBS TBA 05-01-56                   | CUSIP: 01F040651<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  34520775 | PA      | $33427743.70  | 0.26%             | 2056-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                                 | FNCI 2.5 UMBS TBA 04-01-41                   | CUSIP: 01F022444<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   4312600 | PA      | $4114561.10   | 0.03%             | 2041-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| AFFIRM MASTER TRUST AFRMT_26-1                              | AFRMT 2026-1A A 144A 4.37% 02-15-34          | CUSIP: 00833BAU2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  12612000 | PA      | $12713652.72  | 0.10%             | 2034-02-15      | Fixed         | 4.37%                 | Yes           |                  2 | On Loan: No      |
| BALLYROCK LTD BALLY_22-20A                                  | BALLY 2022-20A A1A3 CLO 144A FRN 10-15-36    | CUSIP: 05876CBJ1<br>LEI: 254900WX8CA21F2QI356 | Long             | ABS-O            | CORP              | KY        |  15000000 | PA      | $15007800.00  | 0.11%             | 2036-10-15      | Variable      | 4.72%                 | Yes           |                  2 | On Loan: No      |
| BLAST 2026-1                                                | BLAST 2026-1 A3 4.04% 12-17-29               | CUSIP: 107927AC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3194000 | PA      | $3199822.66   | 0.02%             | 2029-12-17      | Fixed         | 4.04%                 | No            |                  2 | On Loan: No      |
| BLAST 2026-1                                                | BLAST 2026-1 A2 4.1% 07-17-28                | CUSIP: 107927AB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4684000 | PA      | $4685836.13   | 0.04%             | 2028-07-17      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| DRVPNK 2026-1A                                              | DRVPNK 2026-1A A2 144A 3.95% 01-11-29        | CUSIP: 05330WAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9862000 | PA      | $9875106.60   | 0.08%             | 2029-01-11      | Fixed         | 3.95%                 | Yes           |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                      | FGJMT6 4.0 T65448 09-01-47                   | CUSIP: 31323ABR2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    583327 | PA      | $565894.91    | 0.00%             | 2047-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNJMCK 4.5 MA3002 04-01-47                   | CUSIP: 31418CKQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    574549 | PA      | $560002.19    | 0.00%             | 2047-04-01      | Fixed         | 4.50%                 | 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        |    317349 | PA      | $307111.48    | 0.00%             | 2043-06-01      | 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        |     36471 | PA      | $36154.58     | 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        |   2440742 | PA      | $2262699.45   | 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        |   9686987 | PA      | $8955174.30   | 0.07%             | 2050-02-01      | Fixed         | 3.00%                 | 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        |     83357 | PA      | $72625.77     | 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        |  11335640 | PA      | $9837998.31   | 0.08%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.5 RA6231 11-01-51                | CUSIP: 3133KM4Q5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    864702 | PA      | $750456.98    | 0.01%             | 2051-11-01      | Fixed         | 2.50%                 | 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        |  43062463 | PA      | $44263431.63  | 0.34%             | 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        |  12122433 | PA      | $12529965.20  | 0.10%             | 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        |   2922777 | PA      | $3005675.93   | 0.02%             | 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        |  24668058 | PA      | $25150639.15  | 0.19%             | 2053-10-01      | Fixed         | 5.50%                 | 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        |   3406540 | PA      | $3090406.47   | 0.02%             | 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        |    286065 | PA      | $259517.43    | 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        |   1613283 | PA      | $1338633.09   | 0.01%             | 2052-03-01      | Fixed         | 2.00%                 | 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        |   4114056 | PA      | $4252362.12   | 0.03%             | 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        |   5083194 | PA      | $5213725.39   | 0.04%             | 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        |    959090 | PA      | $977377.07    | 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        |  16283069 | PA      | $15975970.70  | 0.12%             | 2053-10-01      | Variable      | 4.68%                 | 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        |  32333085 | PA      | $33420090.95  | 0.26%             | 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        |    148213 | PA      | $151146.44    | 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        |   5299288 | PA      | $5400525.09   | 0.04%             | 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        |   2372968 | PA      | $2447023.33   | 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        |  12271645 | PA      | $12705202.00  | 0.10%             | 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        |  22424888 | PA      | $23000714.05  | 0.18%             | 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        |  26607647 | PA      | $27136341.12  | 0.21%             | 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        |   1567774 | PA      | $1621197.22   | 0.01%             | 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        |   1133804 | PA      | $1186976.73   | 0.01%             | 2054-04-01      | Fixed         | 6.50%                 | 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        |     30886 | PA      | $25657.97     | 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        |   3167643 | PA      | $2633578.72   | 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        |     55872 | PA      | $46351.13     | 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        |    319793 | PA      | $265429.09    | 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        |     30486 | PA      | $25292.21     | 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        |    179464 | PA      | $149303.53    | 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        |   2005213 | PA      | $1664661.83   | 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        |   3460993 | PA      | $3595632.15   | 0.03%             | 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        |    720561 | PA      | $597805.60    | 0.00%             | 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        |   3915757 | PA      | $3248754.93   | 0.02%             | 2051-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.0 BR7124 04-01-51                | CUSIP: 3140L54J2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    974455 | PA      | $808449.18    | 0.01%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.0 CB0153 04-01-51                | CUSIP: 3140QKE38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    285087 | PA      | $236523.45    | 0.00%             | 2051-04-01      | Fixed         | 2.00%                 | 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        |    501335 | PA      | $415935.96    | 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        |   8523234 | PA      | $7737485.36   | 0.06%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.5 SD8517 03-01-55                | CUSIP: 3132DWPA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  35754332 | PA      | $37145211.51  | 0.28%             | 2055-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.0 QD0086 10-01-51                | CUSIP: 3133AWCX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    892360 | PA      | $740350.84    | 0.01%             | 2051-10-01      | Fixed         | 2.00%                 | 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        |   3834510 | PA      | $3181281.82   | 0.02%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.0 BU2630 02-01-52                | CUSIP: 3140M34Q0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    584055 | PA      | $484540.53    | 0.00%             | 2052-02-01      | 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        |  11598072 | PA      | $9621957.63   | 0.07%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.0 QB6579 12-01-50                | CUSIP: 3133ADJY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    111202 | PA      | $92257.70     | 0.00%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.0 SD0537 03-01-51                | CUSIP: 3132DMS22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    203006 | PA      | $168580.10    | 0.00%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.0 RA5204 05-01-51                | CUSIP: 3133KLX93<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    935827 | PA      | $776395.86    | 0.01%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.0 FM4870 11-01-50                | CUSIP: 3140X8MU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     32234 | PA      | $26793.86     | 0.00%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.0 QD4465 01-01-52                | CUSIP: 3133B16A4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    498878 | PA      | $413871.26    | 0.00%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.0 FS6031 06-01-52                | CUSIP: 3140XMVZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1002924 | PA      | $832058.18    | 0.01%             | 2052-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.0 QC2062 05-01-51                | CUSIP: 3133ALJF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     40708 | PA      | $33772.92     | 0.00%             | 2051-05-01      | Fixed         | 2.00%                 | 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        |  30103085 | PA      | $30908162.32  | 0.24%             | 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        |     88769 | PA      | $90333.47     | 0.00%             | 2054-07-01      | Fixed         | 5.50%                 | 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        |    487010 | PA      | $406480.66    | 0.00%             | 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        |     36453 | PA      | $30318.64     | 0.00%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.5 MA5422 07-01-54                | CUSIP: 31418FAY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   8626274 | PA      | $8961835.78   | 0.07%             | 2054-07-01      | Fixed         | 6.50%                 | 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        |  11347953 | PA      | $11731422.71  | 0.09%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 BU4791 07-01-54                | CUSIP: 3140M6KD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1623981 | PA      | $1668452.18   | 0.01%             | 2054-07-01      | Fixed         | 6.00%                 | 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        |    332608 | PA      | $341430.05    | 0.00%             | 2054-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 QJ9527 11-01-54                | CUSIP: 3133D1SQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    119051 | PA      | $122224.99    | 0.00%             | 2054-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 SL1416 04-01-55                | CUSIP: 31427NSE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1244748 | PA      | $1277655.40   | 0.01%             | 2055-04-01      | 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        |   4020280 | PA      | $4115323.33   | 0.03%             | 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        |  10142574 | PA      | $10478242.25  | 0.08%             | 2054-07-01      | Fixed         | 6.00%                 | 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        |   6836879 | PA      | $5933577.14   | 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        |  45701079 | PA      | $46920748.95  | 0.36%             | 2055-01-01      | 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        |   2090531 | PA      | $2139846.21   | 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        |   4355927 | PA      | $4498553.44   | 0.03%             | 2054-07-01      | Fixed         | 6.00%                 | 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        |    189962 | PA      | $195260.73    | 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        |    180019 | PA      | $184821.29    | 0.00%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | 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        |  34350998 | PA      | $35933960.39  | 0.27%             | 2054-07-01      | Fixed         | 6.50%                 | 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        |   1933822 | PA      | $1995441.76   | 0.02%             | 2054-12-01      | 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        |    354130 | PA      | $363473.81    | 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        |   8168911 | PA      | $7408883.87   | 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        |   4628266 | PA      | $4758422.09   | 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        |   1310601 | PA      | $1368108.96   | 0.01%             | 2055-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.0 FS7060 05-01-52                | CUSIP: 3140XNZ23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    881225 | PA      | $798149.47    | 0.01%             | 2052-05-01      | Fixed         | 3.00%                 | 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        |     23972 | PA      | $21782.35     | 0.00%             | 2051-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 3.0 RA5841 09-01-51                | CUSIP: 3133KMP25<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    217523 | PA      | $197000.67    | 0.00%             | 2051-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.0 CB2667 01-01-52                | CUSIP: 3140QM6D1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2644473 | PA      | $2394938.20   | 0.02%             | 2052-01-01      | 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        |    915534 | PA      | $830574.19    | 0.01%             | 2051-04-01      | 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        |    932386 | PA      | $844420.87    | 0.01%             | 2051-09-01      | 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        |     31029 | PA      | $28101.92     | 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        |     10304 | PA      | $9332.79      | 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        |     30852 | PA      | $27985.93     | 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        |    961286 | PA      | $871654.98    | 0.01%             | 2052-04-01      | Fixed         | 3.00%                 | 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        |    102134 | PA      | $99843.56     | 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        |     72899 | PA      | $72890.18     | 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        |    310021 | PA      | $310414.38    | 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        |    390805 | PA      | $392108.02    | 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        |  84941496 | PA      | $72087044.44  | 0.55%             | 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        |    246469 | PA      | $232615.06    | 0.00%             | 2043-09-20      | 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        |    341149 | PA      | $332215.55    | 0.00%             | 2043-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                           | GNSF 2.75 AB1591 09-15-42                    | CUSIP: 36178LXU2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    172845 | PA      | $159254.38    | 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        |    613006 | PA      | $578169.93    | 0.00%             | 2043-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2SF 2.0 MA7533 08-20-51                     | CUSIP: 36179WLN6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  68622384 | PA      | $58194389.54  | 0.45%             | 2051-08-20      | Fixed         | 2.00%                 | 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        |   2523910 | PA      | $2230257.72   | 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        |     43022 | PA      | $38016.76     | 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        |   4534928 | PA      | $4164733.07   | 0.03%             | 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        |  12400290 | PA      | $10957516.54  | 0.08%             | 2052-02-20      | Fixed         | 2.50%                 | 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        |   3679498 | PA      | $3251384.48   | 0.02%             | 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        |   3443474 | PA      | $3162868.75   | 0.02%             | 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        |   7568820 | PA      | $7365362.17   | 0.06%             | 2052-10-20      | Fixed         | 4.00%                 | 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        |   7628766 | PA      | $5785084.09   | 0.04%             | 2063-06-16      | Fixed         | 1.50%                 | 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        |   4926143 | PA      | $5011730.01   | 0.04%             | 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        |   2888840 | PA      | $2938444.08   | 0.02%             | 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        |    224631 | PA      | $219269.53    | 0.00%             | 2052-05-01      | 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        |    177068 | PA      | $172817.73    | 0.00%             | 2052-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.5 MA5472 09-01-54                | CUSIP: 31418FCJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3561266 | PA      | $3699799.31   | 0.03%             | 2054-09-01      | Fixed         | 6.50%                 | 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        |   2400105 | PA      | $2461226.48   | 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        |   3836711 | PA      | $3902395.73   | 0.03%             | 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        |  14218475 | PA      | $14464070.85  | 0.11%             | 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        |   1663932 | PA      | $1701953.08   | 0.01%             | 2054-10-01      | Fixed         | 5.50%                 | 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        |   3763145 | PA      | $3863428.67   | 0.03%             | 2054-12-01      | Fixed         | 6.00%                 | 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        |   7313073 | PA      | $6471352.57   | 0.05%             | 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        |   4869711 | PA      | $4291081.88   | 0.03%             | 2050-11-20      | 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        |   5519035 | PA      | $4815556.53   | 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        |   4708055 | PA      | $4160649.42   | 0.03%             | 2052-03-20      | Fixed         | 2.50%                 | No            |                  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        |  12461292 | PA      | $12698392.74  | 0.10%             | 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        |   7760617 | PA      | $7931668.79   | 0.06%             | 2059-10-25      | Variable      | 6.00%                 | Yes           |                  2 | On Loan: No      |
| CME CHICAGO MERCANTILE EXCHANGE                             | UST 10YR FUT TYM6 06-18-26                   | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |       382 | NC      | $-271705.29   | -0.00%            |  |  |  | No            |                  1 | 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        |  53132233 | PA      | $46441396.83  | 0.36%             | 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        |   5845809 | PA      | $5122284.49   | 0.04%             | 2051-10-20      | Fixed         | 2.50%                 | 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        |    672307 | PA      | $558603.58    | 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        |   1129913 | PA      | $937419.92    | 0.01%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.0 FM7210 04-01-51                | CUSIP: 3140XBAL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1426386 | PA      | $1183411.49   | 0.01%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.0 QB6228 12-01-50                | CUSIP: 3133AC4M7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    970810 | PA      | $805423.69    | 0.01%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.0 FM5218 12-01-50                | CUSIP: 3140X8YQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    756869 | PA      | $629575.79    | 0.00%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| DLLMT 2026-1 LLC                                            | DLLMT 2026-1A A2 144A 4.03% 07-20-28         | CUSIP: 23347JAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9958000 | PA      | $9976472.09   | 0.08%             | 2028-07-20      | Fixed         | 4.03%                 | Yes           |                  2 | On Loan: No      |
| EART 2026-1A                                                | EART 2026-1A A2 4.08% 09-15-28               | CUSIP: 30168HAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7367000 | PA      | $7369585.82   | 0.06%             | 2028-09-15      | Fixed         | 4.08%                 | No            |                  2 | On Loan: No      |
| 522 FUNDING CLO LTD MORGN_19-5A                             | MORGN 2019-5A AR2 CLO 144A FRN 04-15-35      | CUSIP: 33829WAL3<br>LEI: 549300HKB0UTKU91DG08 | Long             | ABS-O            | CORP              | US        |   2399000 | PA      | $2400103.54   | 0.02%             | 2035-04-15      | Variable      | 4.68%                 | Yes           |                  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        |   5544045 | PA      | $5382525.07   | 0.04%             | 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        |  19767574 | PA      | $18808214.52  | 0.14%             | 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        |  16272923 | PA      | $16178621.33  | 0.12%             | 2053-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2MHD 4.25 AD0867 04-20-34                   | CUSIP: 36180B6C0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    427972 | PA      | $429037.21    | 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        |   3536390 | PA      | $3434185.00   | 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        |    403898 | PA      | $397516.17    | 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        |    765977 | PA      | $731429.23    | 0.01%             | 2044-05-20      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2MHD 3.75 AH5896 07-20-34                   | CUSIP: 36182NRR6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    410954 | PA      | $405661.14    | 0.00%             | 2034-07-20      | Fixed         | 3.75%                 | 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      | $28482633.83  | 0.22%             | 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      | $30570129.00  | 0.23%             | 2032-06-30      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                      | UNITED STATES TREASURY NOTE 4.75% 08-15-55   | CUSIP: 912810UM8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  63000000 | PA      | $64170836.10  | 0.49%             | 2055-08-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                      | UNITED STATES TREASURY NOTE 3.5% 10-31-27    | CUSIP: 91282CPE5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 110000000 | PA      | $110134508.00 | 0.84%             | 2027-10-31      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                      | UNITED STATES TREASURY NOTE 4.0% 11-15-35    | CUSIP: 91282CPJ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   9233200 | PA      | $9268545.61   | 0.07%             | 2035-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                      | UNITED STATES TREASURY NOTE 4.625% 11-15-55  | CUSIP: 912810UP1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  79000000 | PA      | $78888910.20  | 0.60%             | 2055-11-15      | Fixed         | 4.62%                 | 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      | $3626328.22   | 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      | $18101252.50  | 0.14%             | 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      | $6582656.30   | 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      | $5570210.73   | 0.04%             | 2032-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                      | UNITED STATES TREASURY NOTE 3.625% 12-31-30  | CUSIP: 91282CPR6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  15046700 | PA      | $15118994.88  | 0.12%             | 2030-12-31      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                      | UNITED STATES TREASURY NOTE 3.875% 12-31-32  | CUSIP: 91282CPQ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 122000000 | PA      | $123205701.60 | 0.94%             | 2032-12-31      | Fixed         | 3.88%                 | 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        |     28186 | PA      | $27717.96     | 0.00%             | 2049-01-25      | Variable      | 3.81%                 | 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        |    703293 | PA      | $654017.03    | 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        |  12620938 | PA      | $12216083.55  | 0.09%             | 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      | $32779192.03  | 0.25%             | 2040-10-12      | Variable      | 6.01%                 | Yes           |                  2 | On Loan: No      |
| EXTENDED STAY AMERICA TRUST 2026-ESH2                       | ESA 2026-ESH2 A 144A FRN 02-15-43            | CUSIP: 30227WAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  15000000 | PA      | $15024270.00  | 0.11%             | 2043-02-15      | Variable      | 4.86%                 | Yes           |                  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        |    737409 | PA      | $755485.27    | 0.01%             | 2041-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2MHD 3.25 AH5905 01-20-40                   | CUSIP: 36182NR21<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    472120 | PA      | $442581.86    | 0.00%             | 2040-01-20      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2MHD 3.25 AH5904 02-20-35                   | CUSIP: 36182NRZ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    639300 | PA      | $621696.41    | 0.00%             | 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        |   1669375 | PA      | $1614295.41   | 0.01%             | 2054-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2MHD 3.25 AH5907 04-20-35                   | CUSIP: 36182NR47<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    634323 | PA      | $616045.31    | 0.00%             | 2035-04-20      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2MHD 3.25 AH5909 05-20-40                   | CUSIP: 36182NR62<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    278923 | PA      | $261742.89    | 0.00%             | 2040-05-20      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.0 SD3445 02-01-52                | CUSIP: 3132DQZJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     47910 | PA      | $39748.14     | 0.00%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.0 QC0619 04-01-51                | CUSIP: 3133AJVL4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     99739 | PA      | $82747.04     | 0.00%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2MHD 3.25 AH5908 05-20-35                   | CUSIP: 36182NR54<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    944635 | PA      | $917207.37    | 0.01%             | 2035-05-20      | Fixed         | 3.25%                 | 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        |   8341296 | PA      | $8458232.88   | 0.06%             | 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        |   2457460 | PA      | $2496892.48   | 0.02%             | 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        |   1585085 | PA      | $1607677.02   | 0.01%             | 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        |   9586135 | PA      | $9720522.71   | 0.07%             | 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        |   2920823 | PA      | $2932065.01   | 0.02%             | 2061-04-25      | Variable      | 5.75%                 | Yes           |                  2 | On Loan: No      |
| CME CHICAGO MERCANTILE EXCHANGE                             | UST 20YR FUT USM6 06-18-26                   | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |      1448 | NC      | $1314800.12   | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| CME CHICAGO MERCANTILE EXCHANGE                             | UST 2YR FUT TUM6 06-30-26                    | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |     28304 | NC      | $9149868.55   | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| CME CHICAGO MERCANTILE EXCHANGE                             | UST 5YR FUT FVM6 06-30-26                    | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |     20056 | NC      | $10461654.34  | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.0 QC0203 03-01-51                | CUSIP: 3133AJGL1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     31410 | PA      | $26079.25     | 0.00%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.0 QB8972 02-01-51                | CUSIP: 3133AF6H9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    137847 | PA      | $114450.27    | 0.00%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.0 FA1591 10-01-51                | CUSIP: 3140W1XV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     96536 | PA      | $80104.61     | 0.00%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.0 QD0195 11-01-51                | CUSIP: 3133AWGC2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1193792 | PA      | $990402.07    | 0.01%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.0 QD1457 11-01-51                | CUSIP: 3133AXTN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1594745 | PA      | $1323053.14   | 0.01%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.0 QC8499 10-01-51                | CUSIP: 3133ATNQ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     89191 | PA      | $73996.91     | 0.00%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 7.0 SD8426 04-01-54                | CUSIP: 3132DWLF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1475046 | PA      | $1551881.30   | 0.01%             | 2054-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 7.0 QJ5645 08-01-54                | CUSIP: 3133CWHW5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    662522 | PA      | $696061.95    | 0.01%             | 2054-08-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 7.0 MA5763 07-01-55                | CUSIP: 31418FMM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2999701 | PA      | $3150504.95   | 0.02%             | 2055-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 7.0 RQ0059 10-01-55                | CUSIP: 3142J6B51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2525257 | PA      | $2655600.33   | 0.02%             | 2055-10-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.0 QC4911 07-01-51                | CUSIP: 3133APN47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1486189 | PA      | $1232973.28   | 0.01%             | 2051-07-01      | Fixed         | 2.00%                 | 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        |    971662 | PA      | $964925.75    | 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        |    183877 | PA      | $183670.69    | 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        |    230191 | PA      | $230104.87    | 0.00%             | 2036-05-01      | Fixed         | 4.00%                 | 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        |    334351 | PA      | $331536.86    | 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        |    859334 | PA      | $857722.32    | 0.01%             | 2036-08-01      | Fixed         | 4.00%                 | 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        |    411540 | PA      | $395532.74    | 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        |   3213664 | PA      | $3092675.92   | 0.02%             | 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        |    130197 | PA      | $125313.58    | 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        |     93898 | PA      | $90369.35     | 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        |     65101 | PA      | $62825.75     | 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        |    491910 | PA      | $485914.37    | 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        |     55074 | PA      | $56703.46     | 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        |     67386 | PA      | $65040.88     | 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        |    208170 | PA      | $199966.01    | 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        |   1227467 | PA      | $1186827.63   | 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        |    124227 | PA      | $122694.03    | 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        |    109038 | PA      | $105785.02    | 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        |    214528 | PA      | $206007.65    | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | 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        |    119259 | PA      | $114669.38    | 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        |    101353 | PA      | $104396.56    | 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        |     70998 | PA      | $68449.44     | 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        |   4726711 | PA      | $4548759.59   | 0.03%             | 2049-09-01      | Fixed         | 3.50%                 | 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        |      7414 | PA      | $7366.70      | 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        |    575202 | PA      | $555182.08    | 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        |    290048 | PA      | $291920.78    | 0.00%             | 2048-09-01      | Fixed         | 4.50%                 | 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        |    235580 | PA      | $223839.04    | 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        |     22011 | PA      | $21350.13     | 0.00%             | 2043-04-01      | Fixed         | 3.50%                 | 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        |    511973 | PA      | $506286.51    | 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        |    314522 | PA      | $305671.17    | 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        |    240220 | PA      | $230765.26    | 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        |     99316 | PA      | $95272.63     | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | 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        |     82548 | PA      | $83032.67     | 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        |    916724 | PA      | $924484.07    | 0.01%             | 2048-09-01      | Fixed         | 4.50%                 | 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        |     59403 | PA      | $58670.26     | 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        |    120050 | PA      | $116635.24    | 0.00%             | 2043-04-01      | Fixed         | 3.50%                 | 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        |     45274 | PA      | $45207.65     | 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        |     54200 | PA      | $51867.97     | 0.00%             | 2048-04-01      | Fixed         | 3.50%                 | 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        |     60021 | PA      | $57729.46     | 0.00%             | 2048-03-01      | 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        |    952010 | PA      | $924544.73    | 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        |    430711 | PA      | $434615.53    | 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        |    551707 | PA      | $508210.32    | 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        |   3655048 | PA      | $3301502.22   | 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        |   3409516 | PA      | $3037684.08   | 0.02%             | 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        |    958719 | PA      | $922519.19    | 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        |     23616 | PA      | $23417.93     | 0.00%             | 2030-01-01      | Fixed         | 3.50%                 | 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        |   3147304 | PA      | $3003840.20   | 0.02%             | 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        |   1168830 | PA      | $1169263.97   | 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        |    739033 | PA      | $618489.06    | 0.00%             | 2051-01-01      | 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        |  18814978 | PA      | $17354014.23  | 0.13%             | 2051-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.5 SD1852 06-01-51                | CUSIP: 3132DPBV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   8959890 | PA      | $7792918.15   | 0.06%             | 2051-06-01      | Fixed         | 2.50%                 | 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        |   8753365 | PA      | $7940133.24   | 0.06%             | 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        |  32656669 | PA      | $32887029.09  | 0.25%             | 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        |    910266 | PA      | $824987.81    | 0.01%             | 2052-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.5 CB2555 01-01-52                | CUSIP: 3140QMZV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    991411 | PA      | $860423.90    | 0.01%             | 2052-01-01      | Fixed         | 2.50%                 | 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        |    410751 | PA      | $358635.45    | 0.00%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.5 QD3226 12-01-51                | CUSIP: 3133B0SP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    329322 | PA      | $285810.63    | 0.00%             | 2051-12-01      | Fixed         | 2.50%                 | 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        |       510 | PA      | $528.76       | 0.00%             | 2028-02-01      | 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        |     23228 | PA      | $21051.68     | 0.00%             | 2052-07-01      | Fixed         | 3.00%                 | 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        |   4279089 | PA      | $3713710.43   | 0.03%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.5 RA6493 12-01-51                | CUSIP: 3133KNGA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    220530 | PA      | $191388.24    | 0.00%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.5 BT7826 05-01-52                | CUSIP: 3140LWVU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    654221 | PA      | $567780.47    | 0.00%             | 2052-05-01      | 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        |    119725 | PA      | $116867.65    | 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        |  53343336 | PA      | $48380325.16  | 0.37%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.5 FS1630 09-01-51                | CUSIP: 3140XGY45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2839847 | PA      | $2464638.13   | 0.02%             | 2051-09-01      | Fixed         | 2.50%                 | 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        |   9809092 | PA      | $8895179.19   | 0.07%             | 2052-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.0 BU1320 02-01-52                | CUSIP: 3140M2PE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    732136 | PA      | $664180.71    | 0.01%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 3.0 RA6428 12-01-51                | CUSIP: 3133KND91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    667056 | PA      | $604118.90    | 0.00%             | 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        |    148979 | PA      | $155591.04    | 0.00%             | 2052-08-01      | Fixed         | 5.50%                 | 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        |  53631758 | PA      | $48635048.05  | 0.37%             | 2052-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCZ AS0745 08-01-53                         | CUSIP: 3138W9ZK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    339137 | PA      | $320815.42    | 0.00%             | 2053-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.0 FA2841 08-01-52                | CUSIP: 3140W3EP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  27158498 | PA      | $24603996.95  | 0.19%             | 2052-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 3.0 SL2623 10-01-53                | CUSIP: 31427P4H4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     92023 | PA      | $83339.21     | 0.00%             | 2053-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.0 FM8682 08-01-51                | CUSIP: 3140XCUG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    343099 | PA      | $311810.18    | 0.00%             | 2051-08-01      | Fixed         | 3.00%                 | 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        | 108971760 | PA      | $94458683.36  | 0.72%             | 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        |  21630685 | PA      | $19890561.04  | 0.15%             | 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        |   4302335 | PA      | $3781816.77   | 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        |   4200942 | PA      | $3692678.46   | 0.03%             | 2051-05-01      | Fixed         | 2.50%                 | 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        |     35479 | PA      | $36215.92     | 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        |   7819435 | PA      | $7981954.34   | 0.06%             | 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        |   3987748 | PA      | $3896651.87   | 0.03%             | 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        |    572182 | PA      | $558074.65    | 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        |    460274 | PA      | $449574.50    | 0.00%             | 2052-09-01      | 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        |    337289 | PA      | $348628.16    | 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        |    266572 | PA      | $259934.39    | 0.00%             | 2052-09-01      | 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        |   2882085 | PA      | $2501327.06   | 0.02%             | 2051-10-01      | Fixed         | 2.50%                 | 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        |    748041 | PA      | $729149.46    | 0.01%             | 2052-09-01      | 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        |     95155 | PA      | $82885.43     | 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        |   4411582 | PA      | $4672919.61   | 0.04%             | 2053-04-01      | Fixed         | 6.50%                 | 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        |  14073850 | PA      | $14899140.34  | 0.11%             | 2053-04-01      | Fixed         | 6.50%                 | 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        |  16192494 | PA      | $16520392.31  | 0.13%             | 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        |   1331316 | PA      | $1344667.74   | 0.01%             | 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        |   3436384 | PA      | $3462724.00   | 0.03%             | 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        |   5019188 | PA      | $5121976.12   | 0.04%             | 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      | $24521160.00  | 0.19%             | 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        |  16853691 | PA      | $14628818.48  | 0.11%             | 2041-04-01      | Fixed         | 1.50%                 | 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        |   5559631 | PA      | $5111785.91   | 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        |  11802781 | PA      | $10849246.30  | 0.08%             | 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        |  13285165 | PA      | $12233723.93  | 0.09%             | 2041-12-01      | Fixed         | 2.50%                 | 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        |  22528485 | PA      | $19548461.74  | 0.15%             | 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        |   6720288 | PA      | $6194008.73   | 0.05%             | 2041-10-01      | Fixed         | 2.50%                 | 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        |   3743951 | PA      | $3869815.00   | 0.03%             | 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        |   9750733 | PA      | $10188502.39  | 0.08%             | 2053-09-01      | Fixed         | 6.00%                 | 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        |  22519061 | PA      | $23556762.32  | 0.18%             | 2054-06-01      | Fixed         | 6.50%                 | No            |                  2 | 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        |  15690721 | PA      | $16419272.72  | 0.13%             | 2054-07-01      | 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        |   9907942 | PA      | $10334865.43  | 0.08%             | 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        |   1014284 | PA      | $1038365.39   | 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        |    271488 | PA      | $277842.63    | 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        |   5228091 | PA      | $5457473.36   | 0.04%             | 2054-07-01      | 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        |   1339041 | PA      | $1400650.17   | 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        |   1241843 | PA      | $1279376.78   | 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        |   1776915 | PA      | $1829156.50   | 0.01%             | 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        |   3488834 | PA      | $3532374.85   | 0.03%             | 2054-08-01      | Fixed         | 5.00%                 | 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        |   3399137 | PA      | $3466681.07   | 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        |  20749528 | PA      | $21349189.59  | 0.16%             | 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        |   7621441 | PA      | $7958941.62   | 0.06%             | 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        |   2424642 | PA      | $2453813.30   | 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        |   2282249 | PA      | $2299228.94   | 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        |   5632113 | PA      | $5740012.96   | 0.04%             | 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        |   3267557 | PA      | $3340642.89   | 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        |    587236 | PA      | $600879.04    | 0.00%             | 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        |  11263006 | PA      | $11594149.12  | 0.09%             | 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        |   4026170 | PA      | $4197544.40   | 0.03%             | 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        |  20170265 | PA      | $21099770.97  | 0.16%             | 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        |  12900186 | PA      | $13483209.81  | 0.10%             | 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        |   4190196 | PA      | $4374045.53   | 0.03%             | 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        |    241189 | PA      | $243812.68    | 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        |   3835076 | PA      | $3995363.29   | 0.03%             | 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        |   3560315 | PA      | $3716524.01   | 0.03%             | 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        |   2102718 | PA      | $2161611.15   | 0.02%             | 2054-07-01      | Fixed         | 6.00%                 | 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        |    853010 | PA      | $876375.27    | 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        |   8262727 | PA      | $8643489.82   | 0.07%             | 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        |   3036164 | PA      | $3201115.45   | 0.02%             | 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        |    520503 | PA      | $534236.51    | 0.00%             | 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        |    898293 | PA      | $923081.71    | 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        |   1987667 | PA      | $2087137.89   | 0.02%             | 2054-08-01      | Fixed         | 6.50%                 | 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        |   4097754 | PA      | $4315696.83   | 0.03%             | 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        |  10205072 | PA      | $10535634.36  | 0.08%             | 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        |   1271942 | PA      | $1326369.53   | 0.01%             | 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        |   3182735 | PA      | $3332256.94   | 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        |   3081884 | PA      | $3172494.48   | 0.02%             | 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        |   5050732 | PA      | $5275383.65   | 0.04%             | 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        |   5105394 | PA      | $5329398.62   | 0.04%             | 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        |   5319969 | PA      | $5495639.87   | 0.04%             | 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        |   3855369 | PA      | $4069986.27   | 0.03%             | 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        |   2719961 | PA      | $2871373.30   | 0.02%             | 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        |   7749032 | PA      | $8189579.73   | 0.06%             | 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        |  26511043 | PA      | $27732672.09  | 0.21%             | 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        |   9271233 | PA      | $9771972.54   | 0.07%             | 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        |   3313639 | PA      | $3453099.71   | 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        |   1970933 | PA      | $2036015.22   | 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        |   2960276 | PA      | $3058026.84   | 0.02%             | 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        |   2124871 | PA      | $2187341.95   | 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        |   4758470 | PA      | $4904136.37   | 0.04%             | 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        |   4798863 | PA      | $4997842.75   | 0.04%             | 2054-08-01      | 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        |   7729770 | PA      | $7893177.72   | 0.06%             | 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        |  15067327 | PA      | $13114028.64  | 0.10%             | 2050-10-01      | Fixed         | 2.50%                 | 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        |    755549 | PA      | $655731.23    | 0.01%             | 2051-06-01      | Fixed         | 2.50%                 | 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        |   6515790 | PA      | $6692543.41   | 0.05%             | 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        |   9672238 | PA      | $9777703.77   | 0.07%             | 2055-01-01      | Fixed         | 5.00%                 | 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        |   5588838 | PA      | $5649918.17   | 0.04%             | 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        |   4858226 | PA      | $4911695.34   | 0.04%             | 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        |   1610371 | PA      | $1627930.40   | 0.01%             | 2054-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.0 FM8197 08-01-51                | CUSIP: 3140XCDB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    456562 | PA      | $378779.42    | 0.00%             | 2051-08-01      | Fixed         | 2.00%                 | 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        |   1070864 | PA      | $888430.32    | 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        |    555363 | PA      | $460836.24    | 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        |    873275 | PA      | $724514.89    | 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        |    340429 | PA      | $282756.77    | 0.00%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.0 CB1373 08-01-51                | CUSIP: 3140QLQ33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    912106 | PA      | $756730.84    | 0.01%             | 2051-08-01      | 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        |    327114 | PA      | $271382.60    | 0.00%             | 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        |    292517 | PA      | $242677.01    | 0.00%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.0 FS0354 12-01-51                | CUSIP: 3140XFMC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    925434 | PA      | $770069.11    | 0.01%             | 2051-12-01      | 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        |   2619731 | PA      | $2173373.47   | 0.02%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.0 FM8827 10-01-51                | CUSIP: 3140XCYZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     62659 | PA      | $51983.77     | 0.00%             | 2051-10-01      | 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        |   1426919 | PA      | $1184149.03   | 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        |   2705069 | PA      | $2255197.13   | 0.02%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.0 BT7309 09-01-51                | CUSIP: 3140LWDP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1412261 | PA      | $1171642.42   | 0.01%             | 2051-09-01      | 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        |    712499 | PA      | $591093.78    | 0.00%             | 2052-02-01      | 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        |   2187494 | PA      | $1815333.67   | 0.01%             | 2052-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.0 QC1665 05-01-51                | CUSIP: 3133AKZ60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     33708 | PA      | $27965.74     | 0.00%             | 2051-05-01      | 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        |    687971 | PA      | $570763.10    | 0.00%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.0 QB7230 01-01-51                | CUSIP: 3133AEA79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    227476 | PA      | $188724.88    | 0.00%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.0 BR3319 03-01-51                | CUSIP: 3140L1VM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     30456 | PA      | $25267.51     | 0.00%             | 2051-03-01      | Fixed         | 2.00%                 | 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        |     30192 | PA      | $25048.19     | 0.00%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.0 BU7272 02-01-52                | CUSIP: 3140M9CJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    106787 | PA      | $88591.82     | 0.00%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.0 BV0465 01-01-52                | CUSIP: 3140MDQT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    834417 | PA      | $692238.18    | 0.01%             | 2052-01-01      | 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        |   2798485 | PA      | $2327301.24   | 0.02%             | 2052-03-01      | Fixed         | 2.00%                 | 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        |     56696 | PA      | $47036.09     | 0.00%             | 2052-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.0 RA6237 11-01-51                | CUSIP: 3133KM4W2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1162160 | PA      | $964180.38    | 0.01%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.0 QB9090 02-01-51                | CUSIP: 3133AGC31<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    147449 | PA      | $122329.50    | 0.00%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.0 BT1897 02-01-52                | CUSIP: 3140LQDB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    886870 | PA      | $735765.69    | 0.01%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.0 FS1069 12-01-51                | CUSIP: 3140XGFK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1981516 | PA      | $1643911.48   | 0.01%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.0 FS0490 01-01-52                | CUSIP: 3140XFRL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     29637 | PA      | $24587.32     | 0.00%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.0 FS6605 06-01-52                | CUSIP: 3140XNKT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2954381 | PA      | $2452073.81   | 0.02%             | 2052-06-01      | 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        |    367789 | PA      | $305132.81    | 0.00%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.0 QB7858 01-01-51                | CUSIP: 3133AEWT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    727971 | PA      | $603957.75    | 0.00%             | 2051-01-01      | 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        |   1427156 | PA      | $1183985.68   | 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        |   1985694 | PA      | $1652465.08   | 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        |  21282542 | PA      | $21844124.60  | 0.17%             | 2055-01-01      | Fixed         | 6.00%                 | 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        |   3635657 | PA      | $3607844.64   | 0.03%             | 2055-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.5 MA5631 02-01-55                | CUSIP: 31418FHH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    139659 | PA      | $145092.10    | 0.00%             | 2055-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.5 SD8508 02-01-55                | CUSIP: 3132DWNZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1467655 | PA      | $1524782.48   | 0.01%             | 2055-02-01      | Fixed         | 6.50%                 | 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        |  87185419 | PA      | $89485980.76  | 0.68%             | 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        |   3834027 | PA      | $3474315.07   | 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        |   7863357 | PA      | $8070847.65   | 0.06%             | 2055-03-01      | Fixed         | 6.00%                 | 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        |     36267 | PA      | $35420.84     | 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        | 101458428 | PA      | $104135611.34 | 0.80%             | 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        |  79090912 | PA      | $81201768.95  | 0.62%             | 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        |  18376341 | PA      | $18867246.34  | 0.14%             | 2055-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.5 SD8526 04-01-55                | CUSIP: 3132DWPK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  10363643 | PA      | $10766798.61  | 0.08%             | 2055-04-01      | Fixed         | 6.50%                 | 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        |     52312 | PA      | $52683.53     | 0.00%             | 2054-10-01      | 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        |  37149916 | PA      | $38133459.80  | 0.29%             | 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        |   1327706 | PA      | $1363123.93   | 0.01%             | 2054-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 7.0 MA5676 04-01-55                | CUSIP: 31418FJW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    128456 | PA      | $134914.00    | 0.00%             | 2055-04-01      | Fixed         | 7.00%                 | 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        |     15136 | PA      | $15897.60     | 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        |   3959343 | PA      | $4158347.98   | 0.03%             | 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        |     22321 | PA      | $21296.67     | 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        |    150646 | PA      | $143770.67    | 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        |   2796475 | PA      | $2668175.33   | 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        |    174637 | PA      | $166621.77    | 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        |    631238 | PA      | $602266.46    | 0.00%             | 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        |   1985848 | PA      | $1894703.52   | 0.01%             | 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        |   9251664 | PA      | $9027319.92   | 0.07%             | 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        |   4475404 | PA      | $4375060.59   | 0.03%             | 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        |  66481677 | PA      | $67630014.73  | 0.52%             | 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        |   2466885 | PA      | $2551037.50   | 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        |   6627402 | PA      | $6666006.92   | 0.05%             | 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        |   6099634 | PA      | $6135164.52   | 0.05%             | 2055-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.5 MA5735 06-01-55                | CUSIP: 31418FLR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  72294938 | PA      | $73532699.15  | 0.56%             | 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        | 144695554 | PA      | $148513780.21 | 1.14%             | 2055-05-01      | 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        |   1199053 | PA      | $1231145.74   | 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        |   1155051 | PA      | $1185617.26   | 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        | 363710853 | PA      | $373308454.50 | 2.86%             | 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        |   9659229 | PA      | $8055535.91   | 0.06%             | 2051-07-01      | Fixed         | 2.00%                 | 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        |   2630451 | PA      | $2699863.10   | 0.02%             | 2055-07-01      | Fixed         | 6.00%                 | 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        |    258384 | PA      | $265405.44    | 0.00%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.5 QD0162 11-01-51                | CUSIP: 3133AWFB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    158561 | PA      | $137612.07    | 0.00%             | 2051-11-01      | Fixed         | 2.50%                 | 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        |    966382 | PA      | $838710.68    | 0.01%             | 2051-04-01      | Fixed         | 2.50%                 | 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        |    893140 | PA      | $842587.68    | 0.01%             | 2053-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 3.5 QY8196 06-01-55                | CUSIP: 31426TDA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    735091 | PA      | $693620.62    | 0.01%             | 2055-06-01      | 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        |     27463 | PA      | $25952.54     | 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        |    179783 | PA      | $169607.28    | 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        |   1399956 | PA      | $1437900.01   | 0.01%             | 2055-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 3.5 RQ0017 06-01-55                | CUSIP: 3142J6AT0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    120960 | PA      | $114135.90    | 0.00%             | 2055-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 3.5 SD8520 03-01-55                | CUSIP: 3132DWPD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    893968 | PA      | $843539.63    | 0.01%             | 2055-03-01      | Fixed         | 3.50%                 | 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        |    335098 | PA      | $344108.80    | 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        |    266786 | PA      | $273826.45    | 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        |    267405 | PA      | $274535.29    | 0.00%             | 2055-04-01      | Fixed         | 6.00%                 | 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        |    357428 | PA      | $337384.10    | 0.00%             | 2052-06-01      | 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        |    437241 | PA      | $448999.31    | 0.00%             | 2055-05-01      | Fixed         | 6.00%                 | 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        |  55272254 | PA      | $50381378.42  | 0.39%             | 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        |   2187733 | PA      | $2168559.91   | 0.02%             | 2055-08-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| UNIFORM MBS                                                 | FNCL 6.5 UMBS TBA 03-01-56                   | CUSIP: 01F062630<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  38644451 | PA      | $40142503.14  | 0.31%             | 2056-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2026-04-27

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

**Signature:** Scott Lewis

**Name of Signer:** Scott Lewis

**Title:** Compliance Specialist Senior