# EDGAR Filing Document

**Accession Number:** 0000809707
**File Stem:** 0001752724-23-067934
**Filing Date:** 2023-3
**Character Count:** 544163
**Document Hash:** 43a2b497d1e9b988e4a7cb78e985d358
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-067934.hdr.sgml**: 20230327

**ACCESSION NUMBER**: 0001752724-23-067934

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20230131

**FILED AS OF DATE**: 20230327

**DATE AS OF CHANGE**: 20230327

**PERIOD START**: 20231031

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** Franklin Investors Securities Trust
- **CENTRAL INDEX KEY:** 0000809707
- **IRS NUMBER:** 000000000
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 1031

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-04986
- **FILM NUMBER:** 23764128

**BUSINESS ADDRESS:**
- **STREET 1:** ONE FRANKLIN PARKWAY
- **CITY:** SAN MATEO
- **STATE:** CA
- **ZIP:** 94403-1906
- **BUSINESS PHONE:** 650-312-2200

**MAIL ADDRESS:**
- **STREET 1:** ONE FRANKLIN PARKWAY
- **CITY:** SAN MATEO
- **STATE:** CA
- **ZIP:** 94403-1906

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** FRANKLIN INVESTORS SECURITIES TRUST
- **DATE OF NAME CHANGE:** 19920703

## Series and Classes Contracts Data

### FRANKLIN LOW DURATION U.S. GOVERNMENT SECURITIES FUND (Series ID: S000006850)

| Class ID   | Class Name    | Ticker Symbol   |
|:---|:---|:---|
| C000018509 | Class A       | FISAX           |
| C000018510 | Class C       | FCSCX           |
| C000064441 | Advisor Class | FAUZX           |
| C000133492 | Class R6      | FAURX           |
| C000140480 | Class A1      | FAUGX           |

## Nport-Ex

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## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** Franklin Investors Securities Trust

- **b. Investment Company Act file number:** 811-04986

- **c. CIK number of Registrant:** 0000809707

- **d. LEI of Registrant:** 549300XUGIR9DEQFV548

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

  - **Street Address 1:** One Franklin Parkway

  - **City:** San Mateo

  - **State:** CA

  - **Foreign country:** US

  - **Zip / Postal Code:** 94403-1906

  - **Telephone number:** 650-312-2000

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

- **a. Name of Series:** Franklin Adjustable U.S. Government Securities Fund

- **b. EDGAR series identifier (if any):** S000006850

- **c. LEI of Series:** 549300OAF2KY89TO9M53

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

- **a. Date of fiscal year-end:** 2023-10-31

- **b. Date as of which information is reported:** 2023-01-31

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $511860494.69

**Total Liabilities:** $2318109.01

**Net Assets:** $509542385.68

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -0.13000000 | **1-Year:** -20.70000000 | **5-Year:** -220.55000000 | **10-Year:** -88097.88000000 | **30-Year:** -48400.49000000

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

- **3-Month:** 0.00000000 | **1-Year:** 0.00000000 | **5-Year:** 0.00000000 | **10-Year:** -2952.47000000 | **30-Year:** -12611.36000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000064441 | 0.35%                | 0.24%                | 0.75%                |
| Class ID C000140480 | 0.34%                | 0.23%                | 0.75%                |
| Class ID C000018509 | 0.46%                | 0.22%                | 0.60%                |
| Class ID C000133492 | 0.37%                | 0.27%                | 0.76%                |
| Class ID C000018510 | 0.28%                | 0.18%                | 0.70%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $0.00                    | $1425679.42                                |
| Month 2  | $-740053.50              | $1097621.59                                |
| Month 3  | $-1452770.10             | $4364997.15                                |

### Schedule of Portfolio Investments

| Name                                                   | Title                                                  | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| FNMA                                                   | FNMA                                                   | CUSIP: 31405BD32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5952 | PA      | $5836.81      | 0.00%             | 2034-12-01      | Variable      | 4.48%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31379MDU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8858 | PA      | $8783.88      | 0.00%             | 2038-05-01      | Variable      | 3.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31407BWE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    150268 | PA      | $148597.25    | 0.03%             | 2035-06-01      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31403DTE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     87796 | PA      | $89076.52     | 0.02%             | 2034-04-01      | Variable      | 3.43%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31407FL24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     79744 | PA      | $78767.47     | 0.02%             | 2035-10-01      | Variable      | 4.19%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31400QX32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2731 | PA      | $2684.49      | 0.00%             | 2033-04-01      | Variable      | 2.78%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31414F7E5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5261 | PA      | $5215.63      | 0.00%             | 2038-09-01      | Variable      | 3.71%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31418U7F5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     47818 | PA      | $47290.26     | 0.01%             | 2035-01-01      | Variable      | 3.55%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31408G4X2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     78341 | PA      | $77456.32     | 0.02%             | 2036-01-01      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31409AFG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     64524 | PA      | $63959.12     | 0.01%             | 2036-02-01      | Variable      | 3.87%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31389AZY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    121801 | PA      | $118237.06    | 0.02%             | 2035-03-01      | Variable      | 2.92%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31409ARH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22699 | PA      | $22412.31     | 0.00%             | 2036-02-01      | Variable      | 4.46%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31405DM79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8834 | PA      | $8711.92      | 0.00%             | 2034-07-01      | Variable      | 3.43%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31412CFG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9693 | PA      | $9847.97      | 0.00%             | 2037-01-01      | Variable      | 5.45%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31384VWW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2256 | PA      | $2232.59      | 0.00%             | 2026-05-01      | Variable      | 3.59%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31405RNC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9965 | PA      | $10092.95     | 0.00%             | 2034-08-01      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31404WPZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    144468 | PA      | $142411.03    | 0.03%             | 2034-06-01      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31389AZ30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18578 | PA      | $18158.69     | 0.00%             | 2037-12-01      | Variable      | 3.28%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31385XLL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17365 | PA      | $16960.50     | 0.00%             | 2033-04-01      | Variable      | 4.13%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31409AC80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13972 | PA      | $13885.91     | 0.00%             | 2035-10-01      | Variable      | 4.34%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31416B5M6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11849 | PA      | $11664.13     | 0.00%             | 2035-05-01      | Variable      | 3.29%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31416B5B0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1593570 | PA      | $1615536.69   | 0.32%             | 2036-02-01      | Variable      | 3.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31406PC56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     39532 | PA      | $39059.29     | 0.01%             | 2035-05-01      | Variable      | 3.26%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31391RTR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     51600 | PA      | $50447.97     | 0.01%             | 2032-08-01      | Variable      | 5.05%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31406DJV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33528 | PA      | $33406.08     | 0.01%             | 2034-11-01      | Variable      | 4.86%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31405BMC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13823 | PA      | $13688.97     | 0.00%             | 2034-05-01      | Variable      | 4.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31414HDB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6704 | PA      | $6750.73      | 0.00%             | 2037-12-01      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31402RD55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    121054 | PA      | $118641.49    | 0.02%             | 2035-02-01      | Variable      | 4.31%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31404VCH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6199 | PA      | $6126.88      | 0.00%             | 2034-06-01      | Variable      | 3.72%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31408BUF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     43591 | PA      | $42911.98     | 0.01%             | 2033-11-01      | Variable      | 4.90%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                  | CUSIP: 31300MMM2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    389025 | PA      | $385572.55    | 0.08%             | 2041-11-01      | Variable      | 3.79%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31407GYF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11732 | PA      | $11520.07     | 0.00%             | 2035-06-01      | Variable      | 6.71%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31385Y2D6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     76455 | PA      | $77495.66     | 0.02%             | 2040-06-01      | Variable      | 3.83%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31387EDR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2189 | PA      | $2165.97      | 0.00%             | 2031-06-01      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 3138EQTE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    420136 | PA      | $428837.26    | 0.08%             | 2040-03-01      | Variable      | 3.74%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31416CAU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    179660 | PA      | $182471.23    | 0.04%             | 2037-09-01      | Variable      | 3.22%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                  | CUSIP: 31288QGM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2682446 | PA      | $2689932.86   | 0.53%             | 2043-10-01      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31362RD87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       969 | PA      | $954.74       | 0.00%             | 2027-11-01      | Variable      | 4.35%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31407DNF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    251808 | PA      | $247612.96    | 0.05%             | 2035-01-01      | Variable      | 3.61%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31386XRR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19107 | PA      | $18869.92     | 0.00%             | 2028-12-01      | Variable      | 4.32%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31402TH24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13067 | PA      | $12875.14     | 0.00%             | 2033-08-01      | Variable      | 3.82%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31385HFW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27539 | PA      | $27510.50     | 0.01%             | 2030-02-01      | Variable      | 4.97%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31406VD86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    131754 | PA      | $130082.63    | 0.03%             | 2035-05-01      | Variable      | 3.26%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31410YR30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     48564 | PA      | $47999.61     | 0.01%             | 2036-11-01      | Variable      | 3.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31406GD55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    113652 | PA      | $111452.65    | 0.02%             | 2035-02-01      | Variable      | 3.69%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31368JA41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3850 | PA      | $3815.60      | 0.00%             | 2024-02-01      | Variable      | 2.73%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31403NG92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     50402 | PA      | $49273.25     | 0.01%             | 2033-11-01      | Variable      | 4.21%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 3138EG7K4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    819132 | PA      | $823964.88    | 0.16%             | 2035-06-01      | Variable      | 3.54%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31407BCV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25422 | PA      | $25211.21     | 0.00%             | 2035-07-01      | Variable      | 4.16%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31405MA23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19123 | PA      | $19414.05     | 0.00%             | 2034-07-01      | Variable      | 5.63%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31362S5F8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       180 | PA      | $176.22       | 0.00%             | 2029-01-01      | Variable      | 2.94%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31404YDK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       759 | PA      | $745.42       | 0.00%             | 2034-07-01      | Variable      | 4.17%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31369LMA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2963 | PA      | $2940.73      | 0.00%             | 2023-09-01      | Variable      | 4.34%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                  | CUSIP: 3128QPKE1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    272434 | PA      | $275825.77    | 0.05%             | 2036-09-01      | Variable      | 4.07%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31385XHB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1510 | PA      | $1482.35      | 0.00%             | 2033-05-01      | Variable      | 3.08%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31407KGP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8927 | PA      | $8830.30      | 0.00%             | 2035-09-01      | Variable      | 3.59%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31403TPB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     45596 | PA      | $44894.88     | 0.01%             | 2033-11-01      | Variable      | 3.29%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31374R2K8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7944 | PA      | $7845.53      | 0.00%             | 2025-04-01      | Variable      | 3.31%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31406P3R8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3685 | PA      | $3600.23      | 0.00%             | 2035-02-01      | Variable      | 3.52%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31373UKF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1442 | PA      | $1426.37      | 0.00%             | 2024-04-01      | Variable      | 2.85%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31411UKA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8306 | PA      | $8453.76      | 0.00%             | 2037-04-01      | Variable      | 2.88%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                  | CUSIP: 3128NHWJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    424020 | PA      | $424182.68    | 0.08%             | 2036-11-01      | Variable      | 4.03%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31414CZH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17926 | PA      | $17644.47     | 0.00%             | 2038-04-01      | Variable      | 2.98%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31402NGF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     60508 | PA      | $59828.50     | 0.01%             | 2033-08-01      | Variable      | 3.73%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31378FMK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3796 | PA      | $3758.84      | 0.00%             | 2027-04-01      | Variable      | 3.56%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                  | CUSIP: 31288QBT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2836278 | PA      | $2882891.35   | 0.57%             | 2043-07-01      | Variable      | 3.74%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31402HBN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    114584 | PA      | $114596.63    | 0.02%             | 2034-02-01      | Variable      | 4.08%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31400BWF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5434 | PA      | $5348.85      | 0.00%             | 2033-02-01      | Variable      | 3.31%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31406VJY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     61120 | PA      | $59997.81     | 0.01%             | 2035-05-01      | Variable      | 3.19%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31418MYA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    348338 | PA      | $344686.93    | 0.07%             | 2038-06-01      | Variable      | 3.66%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31381JU75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    719572 | PA      | $717725.59    | 0.14%             | 2037-09-01      | Variable      | 4.85%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31401Y6N0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15040 | PA      | $14794.98     | 0.00%             | 2033-09-01      | Variable      | 4.39%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31412BPZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19048 | PA      | $18733.85     | 0.00%             | 2036-02-01      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31402RKA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12108 | PA      | $12309.34     | 0.00%             | 2035-06-01      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31406UUZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    954998 | PA      | $968805.75    | 0.19%             | 2035-03-01      | Variable      | 4.43%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31411JGW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     43235 | PA      | $42862.49     | 0.01%             | 2036-12-01      | Variable      | 4.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31386TRN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5890 | PA      | $5706.20      | 0.00%             | 2041-02-01      | Variable      | 3.63%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                  | CUSIP: 3128QS3L8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     91527 | PA      | $92376.83     | 0.02%             | 2036-10-01      | Variable      | 3.59%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                  | CUSIP: 31349UH50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    652084 | PA      | $675804.98    | 0.13%             | 2034-08-01      | Variable      | 5.16%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31386MLW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3771 | PA      | $3674.24      | 0.00%             | 2040-12-01      | Variable      | 3.83%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31406X7G1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5391 | PA      | $5310.89      | 0.00%             | 2035-04-01      | Variable      | 4.19%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31410FXX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5565 | PA      | $5484.08      | 0.00%             | 2035-02-01      | Variable      | 3.73%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31402CSA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14415 | PA      | $14170.93     | 0.00%             | 2032-12-01      | Variable      | 4.49%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31384PDG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     72314 | PA      | $71344.89     | 0.01%             | 2027-12-01      | Variable      | 4.15%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31407VFN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15897 | PA      | $16270.47     | 0.00%             | 2035-09-01      | Variable      | 4.02%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31405WSY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6552 | PA      | $6486.25      | 0.00%             | 2034-07-01      | Variable      | 3.80%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31407B3T4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    667677 | PA      | $673384.02    | 0.13%             | 2035-07-01      | Variable      | 3.56%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31406H3E5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1995531 | PA      | $2005351.53   | 0.39%             | 2034-12-01      | Variable      | 5.11%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31411EME4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1870 | PA      | $1845.50      | 0.00%             | 2036-12-01      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31410SHK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42709 | PA      | $42555.27     | 0.01%             | 2036-04-01      | Variable      | 3.03%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II                                                | CUSIP: 36225C4D5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6153 | PA      | $6032.64      | 0.00%             | 2034-01-20      | Variable      | 2.63%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31402C6L1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    162047 | PA      | $158323.24    | 0.03%             | 2034-05-01      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 3138EGBF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    124914 | PA      | $126971.10    | 0.02%             | 2035-09-01      | Variable      | 3.41%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31405PZ86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17554 | PA      | $17444.30     | 0.00%             | 2034-09-01      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                  | CUSIP: 3128S5QX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    341407 | PA      | $347911.06    | 0.07%             | 2038-10-01      | Variable      | 3.45%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31403DSD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     57392 | PA      | $56588.11     | 0.01%             | 2035-12-01      | Variable      | 3.79%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31385XUT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1614 | PA      | $1610.22      | 0.00%             | 2033-11-01      | Variable      | 3.66%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31410WFR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     91241 | PA      | $89616.72     | 0.02%             | 2038-01-01      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31407PWM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     38601 | PA      | $37755.13     | 0.01%             | 2035-10-01      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31385WVC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4493 | PA      | $4482.32      | 0.00%             | 2027-09-01      | Variable      | 5.08%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31406L3E6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6054 | PA      | $5908.51      | 0.00%             | 2035-11-01      | Variable      | 4.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31385WWT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3306 | PA      | $3267.25      | 0.00%             | 2030-08-01      | Variable      | 4.34%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II                                                | CUSIP: 36225DNG5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     42173 | PA      | $40914.52     | 0.01%             | 2035-03-20      | Variable      | 2.63%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31407X4W8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     58534 | PA      | $56847.56     | 0.01%             | 2035-11-01      | Variable      | 4.09%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31402EM39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     43516 | PA      | $43469.03     | 0.01%             | 2033-05-01      | Variable      | 5.05%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31410GD34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     96801 | PA      | $95527.81     | 0.02%             | 2033-06-01      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31402CVF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     74983 | PA      | $75892.37     | 0.01%             | 2034-02-01      | Variable      | 4.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31407PP28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3031 | PA      | $2968.75      | 0.00%             | 2035-10-01      | Variable      | 4.28%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31409BAN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28825 | PA      | $28485.62     | 0.01%             | 2036-03-01      | Variable      | 4.49%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31409EL90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        82 | PA      | $81.18        | 0.00%             | 2036-05-01      | Variable      | 3.10%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31407DUE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    777005 | PA      | $786366.91    | 0.15%             | 2035-05-01      | Variable      | 4.63%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31406N6M1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2523 | PA      | $2465.84      | 0.00%             | 2035-04-01      | Variable      | 1.69%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31360FC45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        94 | PA      | $92.96        | 0.00%             | 2024-04-01      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31384VYA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       481 | PA      | $474.86       | 0.00%             | 2028-10-01      | Variable      | 3.89%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31402NY36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    163455 | PA      | $164138.51    | 0.03%             | 2033-06-01      | Variable      | 5.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31414CPN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     56910 | PA      | $55554.07     | 0.01%             | 2035-06-01      | Variable      | 2.53%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31407T2T6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10067 | PA      | $10274.47     | 0.00%             | 2035-09-01      | Variable      | 3.98%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31410GML4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8279 | PA      | $8271.52      | 0.00%             | 2037-10-01      | Variable      | 3.22%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31407WTA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     45423 | PA      | $45844.74     | 0.01%             | 2035-09-01      | Variable      | 3.76%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                  | CUSIP: 3128JQBR8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    327139 | PA      | $322221.82    | 0.06%             | 2040-04-01      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31403Y2E2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22135 | PA      | $21812.00     | 0.00%             | 2034-01-01      | Variable      | 3.36%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                  | CUSIP: 31288QF70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5012186 | PA      | $5057011.59   | 0.99%             | 2046-10-01      | Variable      | 3.53%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31403K4Q3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14480 | PA      | $14337.91     | 0.00%             | 2034-05-01      | Variable      | 3.34%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                  | CUSIP: 3128JNDN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    323949 | PA      | $327884.28    | 0.06%             | 2035-06-01      | Variable      | 3.52%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31404XJY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    116021 | PA      | $117064.63    | 0.02%             | 2034-12-01      | Variable      | 3.79%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31391FFE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    118375 | PA      | $118279.44    | 0.02%             | 2027-08-01      | Variable      | 5.34%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31414UQH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    257013 | PA      | $253744.66    | 0.05%             | 2037-04-01      | Variable      | 3.03%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31403DW96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8574 | PA      | $8818.11      | 0.00%             | 2036-11-01      | Variable      | 4.01%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31413GK90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28687 | PA      | $28849.64     | 0.01%             | 2037-08-01      | Variable      | 3.82%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31407PJH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     77696 | PA      | $76530.34     | 0.02%             | 2035-10-01      | Variable      | 4.46%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31403DVS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32623 | PA      | $33029.56     | 0.01%             | 2036-09-01      | Variable      | 3.97%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31411UW80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7149 | PA      | $7026.19      | 0.00%             | 2037-04-01      | Variable      | 2.60%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31371MDF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    100072 | PA      | $98485.41     | 0.02%             | 2035-06-01      | Variable      | 3.16%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31402DQT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6294 | PA      | $6441.60      | 0.00%             | 2034-11-01      | Variable      | 3.98%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31411HGV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10026 | PA      | $9858.76      | 0.00%             | 2037-04-01      | Variable      | 2.53%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31412CBE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    156120 | PA      | $153501.74    | 0.03%             | 2034-12-01      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31410MHH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29618 | PA      | $30124.66     | 0.01%             | 2036-04-01      | Variable      | 4.61%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31406TLM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7457 | PA      | $7366.58      | 0.00%             | 2035-03-01      | Variable      | 2.47%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31402HAQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17968 | PA      | $17807.53     | 0.00%             | 2033-09-01      | Variable      | 4.21%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31414HVC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       744 | PA      | $746.82       | 0.00%             | 2037-12-01      | Variable      | 4.04%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31410B3M4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5609 | PA      | $5612.27      | 0.00%             | 2036-06-01      | Variable      | 3.22%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31405JMH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21220 | PA      | $20998.40     | 0.00%             | 2034-09-01      | Variable      | 3.83%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31402DBW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2014 | PA      | $1985.49      | 0.00%             | 2033-09-01      | Variable      | 3.52%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31403DVG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     56718 | PA      | $56174.31     | 0.01%             | 2033-04-01      | Variable      | 4.23%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31413EES0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35020 | PA      | $34380.71     | 0.01%             | 2038-02-01      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31404XJG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15210 | PA      | $14931.59     | 0.00%             | 2034-11-01      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31406LDC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33394 | PA      | $31730.86     | 0.01%             | 2044-11-01      | Variable      | 3.63%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31410QPW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    231726 | PA      | $238872.58    | 0.05%             | 2036-10-01      | Variable      | 5.56%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 3136056A0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       203 | PA      | $201.15       | 0.00%             | 2025-12-01      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31406DJR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9715 | PA      | $9651.87      | 0.00%             | 2034-11-01      | Variable      | 4.80%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31409CCW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    548399 | PA      | $537609.25    | 0.11%             | 2036-01-01      | Variable      | 3.91%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31412EPK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23780 | PA      | $23747.21     | 0.00%             | 2037-01-01      | Variable      | 3.78%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31410WFS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     40168 | PA      | $39323.49     | 0.01%             | 2037-05-01      | Variable      | 3.31%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31402C5W8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5427 | PA      | $5377.00      | 0.00%             | 2033-08-01      | Variable      | 3.54%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31371WZW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1570 | PA      | $1555.62      | 0.00%             | 2024-01-01      | Variable      | 4.21%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31401D6G1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4173 | PA      | $4130.30      | 0.00%             | 2033-05-01      | Variable      | 3.15%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31411E4K0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       705 | PA      | $704.16       | 0.00%             | 2037-01-01      | Variable      | 4.11%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | FHLMC Pool, 15 Year                                    | CUSIP: 3132D6AL4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         0 | PA      | $0.02         | 0.00%             | 2036-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31384VQ70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       648 | PA      | $642.48       | 0.00%             | 2024-12-01      | Variable      | 3.89%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31402DHR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3277 | PA      | $3229.15      | 0.00%             | 2038-03-01      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                  | CUSIP: 31288QEM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2565816 | PA      | $2598730.88   | 0.51%             | 2043-07-01      | Variable      | 3.43%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 3138ELR88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1276123 | PA      | $1295274.03   | 0.25%             | 2037-03-01      | Variable      | 3.70%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31402RTY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2455 | PA      | $2412.79      | 0.00%             | 2038-03-01      | Variable      | 4.19%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II                                                | CUSIP: 36225CZW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3234 | PA      | $3162.24      | 0.00%             | 2033-09-20      | Variable      | 2.63%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31385XMD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8244 | PA      | $8338.02      | 0.00%             | 2033-08-01      | Variable      | 3.89%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31402RHU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17545 | PA      | $16705.50     | 0.00%             | 2042-08-01      | Variable      | 3.63%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31407MSU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3858 | PA      | $3937.97      | 0.00%             | 2035-07-01      | Variable      | 5.46%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31390WQV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     86831 | PA      | $85145.07     | 0.02%             | 2033-09-01      | Variable      | 2.81%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31403VQQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27140 | PA      | $26683.32     | 0.01%             | 2034-01-01      | Variable      | 4.06%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31391MDC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     99057 | PA      | $97382.76     | 0.02%             | 2032-11-01      | Variable      | 3.13%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31410YNX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     89202 | PA      | $88328.28     | 0.02%             | 2036-09-01      | Variable      | 4.05%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31410EKC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19612 | PA      | $19609.44     | 0.00%             | 2036-09-01      | Variable      | 4.64%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31404U2U3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    221285 | PA      | $218074.81    | 0.04%             | 2034-06-01      | Variable      | 3.95%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31418MVS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1082898 | PA      | $1104144.83   | 0.22%             | 2038-08-01      | Variable      | 3.73%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31376RFH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15235 | PA      | $15032.10     | 0.00%             | 2026-01-01      | Variable      | 3.60%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31405N7D1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21203 | PA      | $21390.28     | 0.00%             | 2034-10-01      | Variable      | 3.70%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31402GT52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14533 | PA      | $14368.55     | 0.00%             | 2033-07-01      | Variable      | 3.93%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31411BAT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        32 | PA      | $31.52        | 0.00%             | 2036-11-01      | Variable      | 4.20%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31413YWH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     55866 | PA      | $55111.66     | 0.01%             | 2037-11-01      | Variable      | 3.89%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 3138EKTS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     91947 | PA      | $94221.15     | 0.02%             | 2038-07-01      | Variable      | 3.91%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31410GS61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       351 | PA      | $347.14       | 0.00%             | 2037-10-01      | Variable      | 4.03%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31402Q4W8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     59681 | PA      | $58640.17     | 0.01%             | 2034-05-01      | Variable      | 3.45%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31388X3J1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10685 | PA      | $10432.97     | 0.00%             | 2029-04-01      | Variable      | 3.63%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31385Y6D2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     61431 | PA      | $60023.29     | 0.01%             | 2030-11-01      | Variable      | 4.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31405RNA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2093 | PA      | $2108.06      | 0.00%             | 2034-08-01      | Variable      | 5.01%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31391A7F0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2169 | PA      | $2137.61      | 0.00%             | 2032-09-01      | Variable      | 3.94%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31385JFR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20197 | PA      | $19794.62     | 0.00%             | 2032-02-01      | Variable      | 3.89%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31402CWE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     49265 | PA      | $48354.75     | 0.01%             | 2034-02-01      | Variable      | 4.28%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2019-38, Class CF                         | CUSIP: 3136B5EY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1538167 | PA      | $1501247.25   | 0.29%             | 2049-07-25      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31412DZV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14775 | PA      | $15096.37     | 0.00%             | 2037-01-01      | Variable      | 4.15%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31402CXQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       957 | PA      | $945.10       | 0.00%             | 2036-08-01      | Variable      | 4.26%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31407DNH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       624 | PA      | $626.76       | 0.00%             | 2035-01-01      | Variable      | 3.98%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31404QS42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1833 | PA      | $1818.48      | 0.00%             | 2034-05-01      | Variable      | 3.39%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31411SVN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    146675 | PA      | $144459.23    | 0.03%             | 2047-03-01      | Variable      | 2.57%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31385HKE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    505311 | PA      | $494089.44    | 0.10%             | 2034-04-01      | Variable      | 3.17%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31404V2S6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2070 | PA      | $2072.17      | 0.00%             | 2034-08-01      | Variable      | 4.30%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                  | CUSIP: 31288QQJ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6671851 | PA      | $6807096.21   | 1.34%             | 2047-08-01      | Variable      | 3.55%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31402RSX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14410 | PA      | $14665.66     | 0.00%             | 2034-10-01      | Variable      | 3.42%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31400SJL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     63186 | PA      | $62230.82     | 0.01%             | 2033-04-01      | Variable      | 3.03%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31406NBG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     97308 | PA      | $95657.45     | 0.02%             | 2035-04-01      | Variable      | 2.33%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31406UNY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18878 | PA      | $18624.09     | 0.00%             | 2035-04-01      | Variable      | 3.17%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31385HUG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13334 | PA      | $13167.53     | 0.00%             | 2029-02-01      | Variable      | 3.74%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31381JNU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26083 | PA      | $25990.55     | 0.01%             | 2033-06-01      | Variable      | 4.05%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31402DKW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     56457 | PA      | $56428.91     | 0.01%             | 2034-08-01      | Variable      | 3.46%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31404QLK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13838 | PA      | $13659.70     | 0.00%             | 2034-05-01      | Variable      | 2.88%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31402NY44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8511 | PA      | $8454.22      | 0.00%             | 2033-07-01      | Variable      | 5.43%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                  | CUSIP: 31300MHK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1895745 | PA      | $1933792.28   | 0.38%             | 2040-11-01      | Variable      | 3.82%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31406GW47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    164472 | PA      | $161946.10    | 0.03%             | 2035-03-01      | Variable      | 2.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31407CCN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36815 | PA      | $36691.12     | 0.01%             | 2035-07-01      | Variable      | 3.68%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31410RM30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    148457 | PA      | $150544.85    | 0.03%             | 2036-08-01      | Variable      | 4.02%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 3138EJJ66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6992 | PA      | $7016.75      | 0.00%             | 2035-09-01      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31412A2U7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     55712 | PA      | $55254.45     | 0.01%             | 2037-09-01      | Variable      | 4.33%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31404FPY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34773 | PA      | $34435.74     | 0.01%             | 2034-08-01      | Variable      | 4.22%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31408C2W5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     53280 | PA      | $54028.55     | 0.01%             | 2035-10-01      | Variable      | 3.68%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31403AHD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14210 | PA      | $14069.10     | 0.00%             | 2033-10-01      | Variable      | 3.84%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31391TU30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     39811 | PA      | $39117.63     | 0.01%             | 2032-12-01      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31405MA80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4237 | PA      | $4233.77      | 0.00%             | 2034-07-01      | Variable      | 5.48%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31411EWY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       341 | PA      | $339.08       | 0.00%             | 2037-01-01      | Variable      | 4.13%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31402M4P2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    223757 | PA      | $221305.58    | 0.04%             | 2033-08-01      | Variable      | 3.86%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31407GYA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6220 | PA      | $6263.91      | 0.00%             | 2035-06-01      | Variable      | 5.11%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31407DUF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1210 | PA      | $1216.22      | 0.00%             | 2035-05-01      | Variable      | 5.05%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31416CG75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    649626 | PA      | $653602.57    | 0.13%             | 2036-08-01      | Variable      | 3.58%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31402A4W3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3087 | PA      | $3061.40      | 0.00%             | 2033-06-01      | Variable      | 3.69%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31406KAA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21841 | PA      | $21571.85     | 0.00%             | 2035-05-01      | Variable      | 3.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31402RPT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     39377 | PA      | $38609.89     | 0.01%             | 2034-10-01      | Variable      | 2.72%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31402DSC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13436 | PA      | $13165.97     | 0.00%             | 2033-07-01      | Variable      | 4.37%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31410G3Q4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     89110 | PA      | $88162.58     | 0.02%             | 2037-04-01      | Variable      | 3.47%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31403CWU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     59956 | PA      | $60758.64     | 0.01%             | 2035-09-01      | Variable      | 3.59%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31385XK63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16979 | PA      | $16949.04     | 0.00%             | 2033-08-01      | Variable      | 3.44%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31402XXU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     91300 | PA      | $89839.44     | 0.02%             | 2033-11-01      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31405JWZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8910 | PA      | $8822.78      | 0.00%             | 2034-09-01      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                  | CUSIP: 3128S4EN3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    116448 | PA      | $114213.14    | 0.02%             | 2036-04-01      | Variable      | 2.79%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31388JK53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11965 | PA      | $11775.53     | 0.00%             | 2031-09-01      | Variable      | 4.11%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31408EQJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24517 | PA      | $24035.00     | 0.00%             | 2036-01-01      | Variable      | 3.74%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31405KMQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3067 | PA      | $3023.30      | 0.00%             | 2034-09-01      | Variable      | 4.32%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31386CLJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7342 | PA      | $7182.14      | 0.00%             | 2030-03-01      | Variable      | 4.23%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31379PNZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2559 | PA      | $2533.66      | 0.00%             | 2027-05-01      | Variable      | 2.72%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31406VLK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     39624 | PA      | $38844.26     | 0.01%             | 2035-05-01      | Variable      | 3.19%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31378QJU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1693 | PA      | $1659.31      | 0.00%             | 2038-04-01      | Variable      | 2.70%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31403CWP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3364 | PA      | $3445.24      | 0.00%             | 2035-09-01      | Variable      | 4.22%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31401JCY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     43516 | PA      | $43312.56     | 0.01%             | 2025-01-01      | Variable      | 3.91%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31403DET2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5814 | PA      | $5888.57      | 0.00%             | 2033-04-01      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31404AY65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10865 | PA      | $10633.37     | 0.00%             | 2033-12-01      | Variable      | 4.17%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31391RTQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    165872 | PA      | $163484.37    | 0.03%             | 2032-09-01      | Variable      | 5.16%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31403JRR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31687 | PA      | $31152.62     | 0.01%             | 2033-10-01      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31385XUU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1867 | PA      | $1832.18      | 0.00%             | 2033-11-01      | Variable      | 2.85%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 313612HK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1363 | PA      | $1346.49      | 0.00%             | 2027-04-01      | Variable      | 3.99%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31407AZX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36155 | PA      | $35654.46     | 0.01%             | 2035-05-01      | Variable      | 3.21%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31407AZQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37014 | PA      | $36485.62     | 0.01%             | 2035-05-01      | Variable      | 2.96%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31373TSF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12875 | PA      | $12748.32     | 0.00%             | 2024-10-01      | Variable      | 3.51%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31410QKA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22372 | PA      | $22099.38     | 0.00%             | 2036-10-01      | Variable      | 3.61%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31404JQS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17815 | PA      | $17552.09     | 0.00%             | 2034-03-01      | Variable      | 2.68%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31380TF30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2569 | PA      | $2541.40      | 0.00%             | 2027-11-01      | Variable      | 3.49%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2010-12, Class FD                         | CUSIP: 38376TAF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    627511 | PA      | $628018.99    | 0.12%             | 2040-01-16      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31411E3J4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     56500 | PA      | $55717.21     | 0.01%             | 2037-01-01      | Variable      | 3.94%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                  | CUSIP: 31342AZT9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    259554 | PA      | $258494.70    | 0.05%             | 2033-08-01      | Variable      | 4.08%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31385JPQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     82079 | PA      | $80902.72     | 0.02%             | 2028-08-01      | Variable      | 3.93%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31374WF98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       191 | PA      | $189.01       | 0.00%             | 2025-07-01      | Variable      | 4.35%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31401G5B6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    100940 | PA      | $100401.59    | 0.02%             | 2033-04-01      | Variable      | 4.79%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 5198, Class FB                           | CUSIP: 3137H5KG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7615755 | PA      | $7414467.99   | 1.46%             | 2049-06-15      | Floating      | 2.81%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31402RD89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    668542 | PA      | $672920.82    | 0.13%             | 2035-04-01      | Variable      | 3.41%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31405QDY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     53133 | PA      | $52877.75     | 0.01%             | 2034-07-01      | Variable      | 5.10%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31402RTR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     40120 | PA      | $39754.23     | 0.01%             | 2035-09-01      | Variable      | 4.36%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31407DNZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     61012 | PA      | $59544.85     | 0.01%             | 2034-07-01      | Variable      | 3.94%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31408FN88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26323 | PA      | $25986.61     | 0.01%             | 2035-09-01      | Variable      | 3.58%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31407DUK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9873 | PA      | $9986.50      | 0.00%             | 2035-05-01      | Variable      | 4.70%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 3138EGR63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1124920 | PA      | $1146648.17   | 0.23%             | 2035-08-01      | Variable      | 3.47%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31412V7C6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25089 | PA      | $25154.40     | 0.00%             | 2037-04-01      | Variable      | 3.84%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31404GPK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     84994 | PA      | $83751.05     | 0.02%             | 2034-05-01      | Variable      | 3.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31406YCH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     74193 | PA      | $72595.67     | 0.01%             | 2035-07-01      | Variable      | 3.96%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31391SHX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2980 | PA      | $2909.12      | 0.00%             | 2032-12-01      | Variable      | 4.42%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31401CV83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6158 | PA      | $6108.07      | 0.00%             | 2033-05-01      | Variable      | 3.43%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31408FPJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    144559 | PA      | $142907.07    | 0.03%             | 2035-09-01      | Variable      | 3.34%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 3140JBHL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9464147 | PA      | $9719877.19   | 1.91%             | 2038-09-01      | Variable      | 3.36%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31409WCN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7597 | PA      | $7577.52      | 0.00%             | 2036-01-01      | Variable      | 3.68%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31404HVC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    166495 | PA      | $163073.07    | 0.03%             | 2034-02-01      | Variable      | 4.19%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31389TGC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    101044 | PA      | $98966.34     | 0.02%             | 2032-03-01      | Variable      | 2.70%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31407WSB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2435 | PA      | $2377.17      | 0.00%             | 2035-03-01      | Variable      | 3.44%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31402MM72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     46332 | PA      | $46078.72     | 0.01%             | 2033-08-01      | Variable      | 4.21%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31375VE25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3183 | PA      | $3146.52      | 0.00%             | 2036-07-01      | Variable      | 4.20%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31403DQ36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    342892 | PA      | $349794.92    | 0.07%             | 2035-08-01      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31403DK81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9466 | PA      | $9391.42      | 0.00%             | 2036-05-01      | Variable      | 2.51%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31404TAR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12489 | PA      | $12331.00     | 0.00%             | 2034-04-01      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31402RNB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8956 | PA      | $8839.32      | 0.00%             | 2033-11-01      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31412BTN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12599 | PA      | $12495.17     | 0.00%             | 2036-08-01      | Variable      | 4.54%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31406DAD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     54186 | PA      | $51609.92     | 0.01%             | 2034-10-01      | Variable      | 3.63%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31390XAF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       803 | PA      | $784.66       | 0.00%             | 2033-01-01      | Variable      | 4.34%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2021-8, Class YF                          | CUSIP: 3136BFFR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13461288 | PA      | $13505515.97  | 2.65%             | 2061-03-25      | Floating      | 3.52%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II                                                | CUSIP: 36225C2Y1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    110403 | PA      | $107285.55    | 0.02%             | 2033-12-20      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31401D3F6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6070 | PA      | $5973.53      | 0.00%             | 2033-05-01      | Variable      | 3.39%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31391SGL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18007 | PA      | $17574.10     | 0.00%             | 2033-01-01      | Variable      | 4.34%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31407MSQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     84122 | PA      | $85097.34     | 0.02%             | 2035-07-01      | Variable      | 5.52%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31402RKW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    119624 | PA      | $119427.93    | 0.02%             | 2035-06-01      | Variable      | 2.59%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                  | CUSIP: 3128LUK88<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1246513 | PA      | $1263524.16   | 0.25%             | 2037-03-01      | Variable      | 2.28%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31391XNY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1621 | PA      | $1584.32      | 0.00%             | 2032-12-01      | Variable      | 4.34%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                  | CUSIP: 31300MGN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    494018 | PA      | $502371.61    | 0.10%             | 2036-11-01      | Variable      | 3.35%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2020-54, Class WF                         | CUSIP: 3136BBGN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4734930 | PA      | $4461137.31   | 0.88%             | 2050-08-25      | Floating      | 3.15%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2021-36, Class YF                         | CUSIP: 3136BHPA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6598949 | PA      | $6582137.12   | 1.29%             | 2061-06-25      | Floating      | 3.45%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31373XC90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       686 | PA      | $675.50       | 0.00%             | 2024-12-01      | Variable      | 2.79%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31406CT32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25565 | PA      | $25203.16     | 0.00%             | 2035-01-01      | Variable      | 4.78%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31362JUN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       353 | PA      | $351.07       | 0.00%             | 2028-06-01      | Variable      | 4.19%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31400PAT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    137150 | PA      | $134278.65    | 0.03%             | 2033-02-01      | Variable      | 3.89%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31401CR21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3124 | PA      | $3093.11      | 0.00%             | 2033-05-01      | Variable      | 3.29%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31405D4L8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15845 | PA      | $15530.32     | 0.00%             | 2034-08-01      | Variable      | 3.45%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31416CDW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     45541 | PA      | $45853.66     | 0.01%             | 2038-04-01      | Variable      | 3.49%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31405ARB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    196860 | PA      | $193817.55    | 0.04%             | 2035-01-01      | Variable      | 4.26%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31406PKY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14386 | PA      | $14066.98     | 0.00%             | 2035-02-01      | Variable      | 4.29%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31402CRK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2555 | PA      | $2509.43      | 0.00%             | 2033-11-01      | Variable      | 3.27%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31407XWX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13849 | PA      | $13585.27     | 0.00%             | 2035-11-01      | Variable      | 4.27%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31404AUY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27078 | PA      | $26529.97     | 0.01%             | 2033-09-01      | Variable      | 3.65%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31411YBW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    121563 | PA      | $120088.44    | 0.02%             | 2037-05-01      | Variable      | 2.97%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31402DHF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26388 | PA      | $26100.84     | 0.01%             | 2034-04-01      | Variable      | 3.77%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31405WHT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     59044 | PA      | $58429.62     | 0.01%             | 2034-09-01      | Variable      | 3.85%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31402DNA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       976 | PA      | $967.86       | 0.00%             | 2034-09-01      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31410KXH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27739 | PA      | $27476.21     | 0.01%             | 2038-10-01      | Variable      | 3.88%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31409UUT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    481972 | PA      | $490945.30    | 0.10%             | 2036-05-01      | Variable      | 3.04%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31413DTG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2242 | PA      | $2217.96      | 0.00%             | 2037-08-01      | Variable      | 3.77%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                  | CUSIP: 3128S5QL1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    506262 | PA      | $515409.70    | 0.10%             | 2037-04-01      | Variable      | 3.79%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31405PLR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    228665 | PA      | $230253.36    | 0.05%             | 2034-10-01      | Variable      | 3.63%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31380ADC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24781 | PA      | $24367.01     | 0.00%             | 2027-12-01      | Variable      | 3.22%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31405MCX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21100 | PA      | $20919.56     | 0.00%             | 2034-08-01      | Variable      | 4.31%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31406L3Q9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34205 | PA      | $33662.20     | 0.01%             | 2036-09-01      | Variable      | 4.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31406X2J0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28422 | PA      | $28439.91     | 0.01%             | 2035-02-01      | Variable      | 3.70%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31418M6F4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     78142 | PA      | $76484.33     | 0.02%             | 2036-12-01      | Variable      | 3.21%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31405PDD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     57793 | PA      | $58259.12     | 0.01%             | 2034-10-01      | Variable      | 3.68%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31402Q4F5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1942 | PA      | $1908.91      | 0.00%             | 2034-07-01      | Variable      | 4.10%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31402C3F7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     74136 | PA      | $72474.01     | 0.01%             | 2030-09-01      | Variable      | 3.60%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31405KMH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36170 | PA      | $35551.97     | 0.01%             | 2034-10-01      | Variable      | 4.27%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 3138EQBQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    138295 | PA      | $141482.50    | 0.03%             | 2036-08-01      | Variable      | 3.98%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31405PKE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25282 | PA      | $24999.54     | 0.00%             | 2034-10-01      | Variable      | 3.65%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31402DLW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19901 | PA      | $19509.55     | 0.00%             | 2037-02-01      | Variable      | 3.73%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31410KD27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    320530 | PA      | $317039.78    | 0.06%             | 2034-05-01      | Variable      | 3.86%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31406UDS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     53415 | PA      | $54479.61     | 0.01%             | 2034-11-01      | Variable      | 3.94%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31402RHA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2917 | PA      | $2845.75      | 0.00%             | 2034-01-01      | Variable      | 4.29%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                  | CUSIP: 3128QGFA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    178848 | PA      | $175100.06    | 0.03%             | 2036-04-01      | Variable      | 3.08%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31410EM88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6126 | PA      | $6048.67      | 0.00%             | 2036-06-01      | Variable      | 3.80%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31403DHM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2742729 | PA      | $2778320.96   | 0.55%             | 2035-03-01      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31376PMT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       729 | PA      | $719.03       | 0.00%             | 2026-07-01      | Variable      | 2.99%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31400U3Z5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     41508 | PA      | $40769.86     | 0.01%             | 2033-03-01      | Variable      | 3.16%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 3138EJPA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    453567 | PA      | $460216.28    | 0.09%             | 2039-09-01      | Variable      | 3.76%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31406MA71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10271 | PA      | $10114.27     | 0.00%             | 2035-01-01      | Variable      | 3.73%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31403LLM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11142 | PA      | $11001.19     | 0.00%             | 2033-10-01      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31406X2K7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27516 | PA      | $27842.94     | 0.01%             | 2035-01-01      | Variable      | 5.19%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31410MHD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    741583 | PA      | $761962.97    | 0.15%             | 2036-04-01      | Variable      | 4.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31381JFR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     50428 | PA      | $51361.37     | 0.01%             | 2034-11-01      | Variable      | 4.47%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31403AVC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20672 | PA      | $20436.66     | 0.00%             | 2033-10-01      | Variable      | 3.85%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31404WC38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24883 | PA      | $24610.14     | 0.00%             | 2034-07-01      | Variable      | 4.15%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31407WSP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     50785 | PA      | $51970.87     | 0.01%             | 2035-09-01      | Variable      | 3.94%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31414KPM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8110 | PA      | $7977.95      | 0.00%             | 2038-01-01      | Variable      | 4.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31402G7L1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5047 | PA      | $4981.90      | 0.00%             | 2033-08-01      | Variable      | 4.21%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31402Q4R9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12484 | PA      | $12473.60     | 0.00%             | 2034-08-01      | Variable      | 3.85%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31401L5Z2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    113506 | PA      | $115335.72    | 0.02%             | 2033-06-01      | Variable      | 3.24%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31391SJK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1891 | PA      | $1848.85      | 0.00%             | 2033-02-01      | Variable      | 2.54%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31409JU99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14870 | PA      | $14682.87     | 0.00%             | 2036-06-01      | Variable      | 3.52%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31405UMM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7687 | PA      | $7612.06      | 0.00%             | 2034-10-01      | Variable      | 3.83%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31402BTK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20038 | PA      | $19935.80     | 0.00%             | 2033-08-01      | Variable      | 4.13%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31404VKH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31772 | PA      | $31359.24     | 0.01%             | 2034-06-01      | Variable      | 4.03%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31407WSA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11268 | PA      | $11027.51     | 0.00%             | 2034-12-01      | Variable      | 3.26%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31401EWC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     50214 | PA      | $49388.69     | 0.01%             | 2031-01-01      | Variable      | 4.14%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31416B5H7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    282020 | PA      | $287142.58    | 0.06%             | 2035-09-01      | Variable      | 3.67%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31407BVH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     43198 | PA      | $43227.79     | 0.01%             | 2035-07-01      | Variable      | 3.88%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31413RBC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8768 | PA      | $8898.71      | 0.00%             | 2037-09-01      | Variable      | 4.35%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                  | CUSIP: 3128S6AS1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    498289 | PA      | $504839.17    | 0.10%             | 2038-05-01      | Variable      | 3.24%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                  | CUSIP: 3128JMV38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1261651 | PA      | $1277157.35   | 0.25%             | 2036-02-01      | Variable      | 3.36%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 3138ELXF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    512954 | PA      | $504345.16    | 0.10%             | 2037-01-01      | Variable      | 2.35%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31408BT65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    188723 | PA      | $188991.86    | 0.04%             | 2035-12-01      | Variable      | 4.72%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31416CGR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    103250 | PA      | $104428.70    | 0.02%             | 2037-01-01      | Variable      | 4.13%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31387TZK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     67492 | PA      | $66680.80     | 0.01%             | 2028-06-01      | Variable      | 4.37%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31411JU79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    741023 | PA      | $742984.80    | 0.15%             | 2037-02-01      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31379LCM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36436 | PA      | $35962.12     | 0.01%             | 2027-12-01      | Variable      | 4.33%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31361HL57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2231 | PA      | $2204.42      | 0.00%             | 2026-08-01      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31409JLH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4288 | PA      | $4222.68      | 0.00%             | 2036-06-01      | Variable      | 3.71%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31402QWK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       205 | PA      | $202.77       | 0.00%             | 2033-07-01      | Variable      | 4.26%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31400JMH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9238 | PA      | $9364.62      | 0.00%             | 2033-04-01      | Variable      | 2.74%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31402DHG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24438 | PA      | $24378.37     | 0.00%             | 2034-08-01      | Variable      | 3.29%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31403QMV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     62241 | PA      | $63191.58     | 0.01%             | 2033-10-01      | Variable      | 4.24%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31404GV40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1746 | PA      | $1770.93      | 0.00%             | 2034-01-01      | Variable      | 4.15%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31417SC24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    114022 | PA      | $114701.65    | 0.02%             | 2039-12-01      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31410F6X8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3201 | PA      | $3149.66      | 0.00%             | 2038-03-01      | Variable      | 3.74%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 3138EGJB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    206322 | PA      | $209206.31    | 0.04%             | 2035-07-01      | Variable      | 3.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31402RRV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1090 | PA      | $1071.19      | 0.00%             | 2034-08-01      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31403VQK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17287 | PA      | $17062.47     | 0.00%             | 2034-01-01      | Variable      | 3.93%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31405N7J8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4350 | PA      | $4371.01      | 0.00%             | 2034-10-01      | Variable      | 3.54%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 3138EHG55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24470 | PA      | $24050.82     | 0.00%             | 2041-11-01      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31403C4Q1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2363 | PA      | $2356.93      | 0.00%             | 2035-10-01      | Variable      | 4.36%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31407JL26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    112476 | PA      | $111276.40    | 0.02%             | 2035-07-01      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31385XPZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       194 | PA      | $192.40       | 0.00%             | 2027-08-01      | Variable      | 3.91%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31383Q3G7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       232 | PA      | $228.82       | 0.00%             | 2029-08-01      | Variable      | 4.37%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 4215, Class KF                           | CUSIP: 3137B34M7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2258885 | PA      | $2229256.53   | 0.44%             | 2040-02-15      | Floating      | 3.83%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 3138EH7E6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    201151 | PA      | $197631.40    | 0.04%             | 2034-08-01      | Variable      | 3.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31416BNZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10298 | PA      | $10461.11     | 0.00%             | 2037-11-01      | Variable      | 4.03%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31362GM40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1924 | PA      | $1907.59      | 0.00%             | 2028-01-01      | Variable      | 4.48%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31405BD57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8218 | PA      | $8042.74      | 0.00%             | 2034-12-01      | Variable      | 4.33%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31386C3H3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     78467 | PA      | $76506.23     | 0.02%             | 2040-09-01      | Variable      | 3.83%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31416B4U9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5705 | PA      | $5671.15      | 0.00%             | 2037-11-01      | Variable      | 3.08%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31410B5X8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13869 | PA      | $13731.10     | 0.00%             | 2036-08-01      | Variable      | 3.88%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31402RCM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       805 | PA      | $812.93       | 0.00%             | 2038-05-01      | Variable      | 3.67%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31410QQR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8288 | PA      | $8180.14      | 0.00%             | 2036-10-01      | Variable      | 4.04%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31408BQB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    117457 | PA      | $115497.46    | 0.02%             | 2035-12-01      | Variable      | 3.99%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31402GTK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19533 | PA      | $19260.22     | 0.00%             | 2033-07-01      | Variable      | 3.86%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31402CR61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2022 | PA      | $2050.62      | 0.00%             | 2034-01-01      | Variable      | 4.18%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31406PDR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    129326 | PA      | $129683.34    | 0.03%             | 2035-05-01      | Variable      | 3.21%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31408DCA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6842 | PA      | $6776.93      | 0.00%             | 2035-11-01      | Variable      | 4.03%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31405HB80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24015 | PA      | $24149.63     | 0.00%             | 2034-06-01      | Variable      | 5.21%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31414UQ27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    118514 | PA      | $117922.12    | 0.02%             | 2037-06-01      | Variable      | 4.24%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                  | CUSIP: 3128S5W75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    974149 | PA      | $991723.36    | 0.19%             | 2037-11-01      | Variable      | 3.73%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31391NM40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1839 | PA      | $1807.34      | 0.00%             | 2032-11-01      | Variable      | 3.91%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31385WZK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17701 | PA      | $17319.58     | 0.00%             | 2033-01-01      | Variable      | 4.28%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31402DFN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    447658 | PA      | $451571.09    | 0.09%             | 2034-07-01      | Variable      | 3.27%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 3138EHVL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     83492 | PA      | $84298.28     | 0.02%             | 2037-07-01      | Variable      | 4.93%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                  | CUSIP: 31300LN50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1458756 | PA      | $1484783.77   | 0.29%             | 2035-03-01      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31384VSV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     56283 | PA      | $55115.08     | 0.01%             | 2036-05-01      | Variable      | 3.22%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31405XYA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    207934 | PA      | $206524.61    | 0.04%             | 2034-08-01      | Variable      | 4.47%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31406TTN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1061 | PA      | $1043.16      | 0.00%             | 2035-03-01      | Variable      | 2.24%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31401CU76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5644 | PA      | $5560.98      | 0.00%             | 2033-05-01      | Variable      | 2.88%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31407AZR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29957 | PA      | $29576.98     | 0.01%             | 2035-05-01      | Variable      | 2.95%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31407MGQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    217114 | PA      | $215381.59    | 0.04%             | 2035-07-01      | Variable      | 3.68%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31409ASN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6122 | PA      | $6001.09      | 0.00%             | 2036-02-01      | Variable      | 2.42%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31401CXK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6520 | PA      | $6448.23      | 0.00%             | 2033-05-01      | Variable      | 3.73%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31410GJK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1583 | PA      | $1577.61      | 0.00%             | 2032-01-01      | Variable      | 3.77%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31405QYJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11142 | PA      | $10990.07     | 0.00%             | 2034-11-01      | Variable      | 4.42%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31404DTS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35031 | PA      | $34241.59     | 0.01%             | 2034-02-01      | Variable      | 4.02%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31385XEK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31704 | PA      | $30979.85     | 0.01%             | 2033-05-01      | Variable      | 3.04%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                  | CUSIP: 3128S4A49<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    297696 | PA      | $301727.66    | 0.06%             | 2036-02-01      | Variable      | 3.46%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31401KL29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42050 | PA      | $43051.40     | 0.01%             | 2033-06-01      | Variable      | 3.85%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31368HA29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       496 | PA      | $492.64       | 0.00%             | 2023-09-01      | Variable      | 3.27%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                  | CUSIP: 3128S4GM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    314314 | PA      | $308854.78    | 0.06%             | 2036-02-01      | Variable      | 2.71%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31406V3E4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1297 | PA      | $1283.03      | 0.00%             | 2035-06-01      | Variable      | 3.53%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31402RBC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5271 | PA      | $5182.80      | 0.00%             | 2035-02-01      | Variable      | 3.49%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31406AKA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     64021 | PA      | $65540.92     | 0.01%             | 2034-10-01      | Variable      | 4.72%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31375DHB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18374 | PA      | $18085.08     | 0.00%             | 2036-05-01      | Variable      | 3.20%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31403NBV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3012 | PA      | $2962.91      | 0.00%             | 2033-11-01      | Variable      | 4.21%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31402EM70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33654 | PA      | $33378.91     | 0.01%             | 2033-01-01      | Variable      | 3.97%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31405KMW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12029 | PA      | $11915.44     | 0.00%             | 2034-08-01      | Variable      | 4.17%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31411EZA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       915 | PA      | $917.30       | 0.00%             | 2037-01-01      | Variable      | 4.03%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31373CSC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6620534 | PA      | $6406887.00   | 1.26%             | 2034-04-01      | Variable      | 3.57%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                  | CUSIP: 3128S5EK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    130503 | PA      | $129047.05    | 0.03%             | 2037-10-01      | Variable      | 3.68%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31405VG76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13851 | PA      | $13551.87     | 0.00%             | 2034-08-01      | Variable      | 3.35%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31412DPT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15111 | PA      | $14901.97     | 0.00%             | 2037-04-01      | Variable      | 2.83%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31400WR77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30704 | PA      | $30276.90     | 0.01%             | 2033-04-01      | Variable      | 2.78%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31400ARQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       180 | PA      | $175.63       | 0.00%             | 2033-04-01      | Variable      | 2.46%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31408DRK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     40743 | PA      | $39724.26     | 0.01%             | 2035-12-01      | Variable      | 4.13%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31375PW51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8826 | PA      | $8723.34      | 0.00%             | 2026-03-01      | Variable      | 4.16%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31404ULA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25963 | PA      | $25834.70     | 0.01%             | 2034-05-01      | Variable      | 3.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31404MPD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17584 | PA      | $17288.63     | 0.00%             | 2034-03-01      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31407YRJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     96905 | PA      | $95398.29     | 0.02%             | 2035-11-01      | Variable      | 4.36%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 4794, Class WF                           | CUSIP: 3137F5MJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4709224 | PA      | $4667586.06   | 0.92%             | 2043-03-15      | Floating      | 3.31%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31410QEE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6813 | PA      | $6778.16      | 0.00%             | 2036-10-01      | Variable      | 4.47%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31407FUV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3372 | PA      | $3449.30      | 0.00%             | 2035-07-01      | Variable      | 4.31%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31419BA21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    168730 | PA      | $171243.39    | 0.03%             | 2038-07-01      | Variable      | 3.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31405YPX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    106998 | PA      | $101931.69    | 0.02%             | 2044-09-01      | Variable      | 3.63%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31409UWF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8349 | PA      | $8382.92      | 0.00%             | 2036-01-01      | Variable      | 5.44%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31402AFW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1013 | PA      | $1000.29      | 0.00%             | 2033-07-01      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31406MAP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7179 | PA      | $7189.23      | 0.00%             | 2035-01-01      | Variable      | 4.07%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31401D3Z2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       622 | PA      | $619.70       | 0.00%             | 2033-08-01      | Variable      | 4.28%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31410FZH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     99511 | PA      | $100189.94    | 0.02%             | 2035-06-01      | Variable      | 7.04%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31407T2S8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27845 | PA      | $28124.36     | 0.01%             | 2035-09-01      | Variable      | 3.98%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31375JDP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4446 | PA      | $4392.78      | 0.00%             | 2025-11-01      | Variable      | 4.16%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31402QZV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     45042 | PA      | $46006.19     | 0.01%             | 2034-11-01      | Variable      | 4.02%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31412SKY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2344 | PA      | $2304.92      | 0.00%             | 2038-03-01      | Variable      | 2.13%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31386M2G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7454 | PA      | $7185.46      | 0.00%             | 2030-09-01      | Variable      | 3.60%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31400BWB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7891 | PA      | $7758.86      | 0.00%             | 2033-02-01      | Variable      | 2.33%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31414R5F8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19642 | PA      | $19284.69     | 0.00%             | 2038-03-01      | Variable      | 2.24%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31404JUL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14410 | PA      | $14157.76     | 0.00%             | 2034-03-01      | Variable      | 1.80%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31414DPA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11587 | PA      | $11461.06     | 0.00%             | 2038-05-01      | Variable      | 3.20%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31403DTT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8264 | PA      | $8212.65      | 0.00%             | 2035-04-01      | Variable      | 3.52%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31407EM67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    189516 | PA      | $191925.87    | 0.04%             | 2035-06-01      | Variable      | 3.98%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31378VKP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3948 | PA      | $3866.05      | 0.00%             | 2027-06-01      | Variable      | 2.49%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31411DUK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    140404 | PA      | $142142.14    | 0.03%             | 2036-11-01      | Variable      | 4.18%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31374T2E8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     88018 | PA      | $86318.26     | 0.02%             | 2036-05-01      | Variable      | 3.57%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31402DM98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2936 | PA      | $2896.28      | 0.00%             | 2038-03-01      | Variable      | 4.19%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 3138ERS68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    219386 | PA      | $215957.99    | 0.04%             | 2038-07-01      | Variable      | 3.96%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31411GTW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     95629 | PA      | $98176.11     | 0.02%             | 2037-03-01      | Variable      | 4.05%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 4988, Class AF                           | CUSIP: 3137FUN26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5365225 | PA      | $5236104.69   | 1.03%             | 2037-10-15      | Floating      | 4.02%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                  | CUSIP: 3128JRJB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    228834 | PA      | $231340.02    | 0.05%             | 2035-11-01      | Variable      | 4.05%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                  | CUSIP: 3128S5VZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    377124 | PA      | $372245.59    | 0.07%             | 2038-03-01      | Variable      | 3.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31404P6G1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     49523 | PA      | $48941.06     | 0.01%             | 2034-04-01      | Variable      | 3.06%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                  | CUSIP: 31347AVZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2234621 | PA      | $2248533.78   | 0.44%             | 2045-05-01      | Variable      | 3.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31413YLY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4960 | PA      | $4851.15      | 0.00%             | 2037-11-01      | Variable      | 3.66%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31406XXN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32543 | PA      | $32231.95     | 0.01%             | 2035-06-01      | Variable      | 3.76%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | FHLMC Pool, 15 Year                                    | CUSIP: 3133G8AX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  13551639 | PA      | $12752042.34  | 2.50%             | 2035-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31402RKL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    465844 | PA      | $461386.26    | 0.09%             | 2034-12-01      | Variable      | 3.81%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31402CWB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    391030 | PA      | $385105.37    | 0.08%             | 2034-02-01      | Variable      | 3.76%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31373YXD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2932 | PA      | $2892.39      | 0.00%             | 2025-01-01      | Variable      | 3.42%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31414EKD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9567 | PA      | $9479.69      | 0.00%             | 2038-06-01      | Variable      | 4.01%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31375VEU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9259 | PA      | $9158.05      | 0.00%             | 2036-07-01      | Variable      | 3.66%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31403DMZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    333285 | PA      | $337798.93    | 0.07%             | 2036-05-01      | Variable      | 4.45%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31403DQN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     58500 | PA      | $58279.66     | 0.01%             | 2036-08-01      | Variable      | 4.13%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31401HJF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36926 | PA      | $37602.18     | 0.01%             | 2033-06-01      | Variable      | 3.23%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31403DPE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21209 | PA      | $21174.22     | 0.00%             | 2034-03-01      | Variable      | 4.97%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                  | CUSIP: 3128QGMT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    127502 | PA      | $128188.34    | 0.03%             | 2037-01-01      | Variable      | 3.98%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31407YMC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4853 | PA      | $4793.17      | 0.00%             | 2035-12-01      | Variable      | 4.59%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 3138EJZS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1384903 | PA      | $1411954.27   | 0.28%             | 2036-06-01      | Variable      | 3.82%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31406DG67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16760 | PA      | $17019.38     | 0.00%             | 2034-11-01      | Variable      | 3.92%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31386CXW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5001 | PA      | $4933.79      | 0.00%             | 2028-06-01      | Variable      | 3.91%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31402G7D9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18315 | PA      | $18171.81     | 0.00%             | 2033-08-01      | Variable      | 4.21%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31402CXP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1114 | PA      | $1104.23      | 0.00%             | 2032-06-01      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31409XZY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    169437 | PA      | $166841.79    | 0.03%             | 2036-02-01      | Variable      | 3.96%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31387MAU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    119439 | PA      | $116623.97    | 0.02%             | 2031-04-01      | Variable      | 4.39%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31407SKU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    234222 | PA      | $229796.93    | 0.05%             | 2035-12-01      | Variable      | 4.05%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31405XQU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2290 | PA      | $2265.74      | 0.00%             | 2034-11-01      | Variable      | 3.99%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31413RTG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23928 | PA      | $23800.37     | 0.00%             | 2037-10-01      | Variable      | 4.03%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31406MER3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     71934 | PA      | $72794.55     | 0.01%             | 2035-01-01      | Variable      | 5.46%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31371L4X4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5712 | PA      | $5639.76      | 0.00%             | 2035-01-01      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31416BT40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1440908 | PA      | $1467238.28   | 0.29%             | 2036-02-01      | Variable      | 3.91%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31404A3G7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24303 | PA      | $24197.70     | 0.00%             | 2033-10-01      | Variable      | 2.91%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31407UMR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     89402 | PA      | $91797.35     | 0.02%             | 2034-11-01      | Variable      | 4.39%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31385H4F6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14410 | PA      | $14176.58     | 0.00%             | 2040-07-01      | Variable      | 4.32%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31407JNN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    198443 | PA      | $203911.08    | 0.04%             | 2035-07-01      | Variable      | 4.04%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31410GGV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17249 | PA      | $17496.35     | 0.00%             | 2037-08-01      | Variable      | 3.94%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31410ABX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13491 | PA      | $13366.55     | 0.00%             | 2036-07-01      | Variable      | 3.87%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31402RUB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     62033 | PA      | $62738.78     | 0.01%             | 2035-09-01      | Variable      | 3.86%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31373XBT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9137 | PA      | $9080.66      | 0.00%             | 2024-07-01      | Variable      | 3.23%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31412EJ23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2380 | PA      | $2405.50      | 0.00%             | 2037-02-01      | Variable      | 4.52%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31401DMN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8741 | PA      | $8602.64      | 0.00%             | 2033-05-01      | Variable      | 3.11%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31419ACA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1005576 | PA      | $1027558.80   | 0.20%             | 2040-05-01      | Variable      | 3.14%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31412CFL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3414 | PA      | $3450.15      | 0.00%             | 2037-01-01      | Variable      | 5.33%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                  | CUSIP: 3128S5AJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    325604 | PA      | $327117.96    | 0.06%             | 2037-01-01      | Variable      | 3.65%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31391KQN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       731 | PA      | $724.40       | 0.00%             | 2032-10-01      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31404XR71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    109533 | PA      | $108258.03    | 0.02%             | 2034-11-01      | Variable      | 3.88%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31407XT92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    582924 | PA      | $582597.42    | 0.11%             | 2035-11-01      | Variable      | 3.70%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31404FPT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     93554 | PA      | $93328.53     | 0.02%             | 2034-06-01      | Variable      | 3.35%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31375GPY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        41 | PA      | $40.92        | 0.00%             | 2024-04-01      | Variable      | 2.18%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31402VZW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10381 | PA      | $10570.16     | 0.00%             | 2033-08-01      | Variable      | 5.33%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31402Q4J7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1411 | PA      | $1383.84      | 0.00%             | 2033-11-01      | Variable      | 3.44%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31403UYK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17564 | PA      | $17737.40     | 0.00%             | 2033-11-01      | Variable      | 4.72%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31406NBL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23777 | PA      | $23603.08     | 0.00%             | 2035-04-01      | Variable      | 2.89%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31416CBD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20952 | PA      | $21136.86     | 0.00%             | 2035-12-01      | Variable      | 4.26%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31402LGC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    134995 | PA      | $132274.42    | 0.03%             | 2033-09-01      | Variable      | 2.91%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31409ENJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36027 | PA      | $36421.15     | 0.01%             | 2036-05-01      | Variable      | 4.94%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31410KF41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    253807 | PA      | $257467.32    | 0.05%             | 2035-08-01      | Variable      | 4.11%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31410UXH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42426 | PA      | $43584.65     | 0.01%             | 2036-09-01      | Variable      | 3.87%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31403QMT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     47159 | PA      | $47922.48     | 0.01%             | 2033-10-01      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31409VAS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    655335 | PA      | $656246.40    | 0.13%             | 2036-02-01      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31410Q3N9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    264662 | PA      | $261897.88    | 0.05%             | 2036-03-01      | Variable      | 4.13%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31363XDF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32689 | PA      | $32511.66     | 0.01%             | 2028-11-01      | Variable      | 4.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 3138EGEG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     67467 | PA      | $68445.05     | 0.01%             | 2036-09-01      | Variable      | 3.64%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31404EZ90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     71478 | PA      | $70587.52     | 0.01%             | 2034-03-01      | Variable      | 2.54%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31412SVV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        72 | PA      | $71.67        | 0.00%             | 2038-07-01      | Variable      | 3.88%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31410PYG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     58970 | PA      | $59882.46     | 0.01%             | 2036-09-01      | Variable      | 4.18%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31402C2J0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1863 | PA      | $1826.19      | 0.00%             | 2038-05-01      | Variable      | 4.02%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31404JSQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     57543 | PA      | $56300.66     | 0.01%             | 2034-03-01      | Variable      | 2.45%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31403CWW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4051 | PA      | $3990.33      | 0.00%             | 2035-03-01      | Variable      | 3.93%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31403CMP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       378 | PA      | $372.67       | 0.00%             | 2033-10-01      | Variable      | 3.16%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 343, Class F4                            | CUSIP: 31351DEC1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4967163 | PA      | $4913285.23   | 0.96%             | 2037-10-15      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31384V7K2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15862 | PA      | $15462.32     | 0.00%             | 2040-10-01      | Variable      | 3.83%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31404CVT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    140225 | PA      | $137074.41    | 0.03%             | 2034-01-01      | Variable      | 4.37%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31404FPR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     65477 | PA      | $64923.36     | 0.01%             | 2034-05-01      | Variable      | 3.35%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31402KU28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1942 | PA      | $1916.74      | 0.00%             | 2033-08-01      | Variable      | 4.16%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 4891, Class AF                           | CUSIP: 3137FM2A9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8351144 | PA      | $8272219.48   | 1.62%             | 2042-07-15      | Floating      | 3.57%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31407FU40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5480 | PA      | $5432.49      | 0.00%             | 2035-08-01      | Variable      | 4.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31413K2Z3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21112 | PA      | $20981.96     | 0.00%             | 2037-06-01      | Variable      | 4.06%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31408AMN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    117707 | PA      | $116085.43    | 0.02%             | 2036-01-01      | Variable      | 4.03%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31402T6W0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     66431 | PA      | $65774.81     | 0.01%             | 2033-08-01      | Variable      | 3.87%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31404X3H5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     47782 | PA      | $47374.41     | 0.01%             | 2034-05-01      | Variable      | 3.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31401H6Q0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2329 | PA      | $2296.53      | 0.00%             | 2033-06-01      | Variable      | 3.80%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31410XDA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29542 | PA      | $29992.40     | 0.01%             | 2036-10-01      | Variable      | 4.33%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31400SXU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26053 | PA      | $25734.53     | 0.01%             | 2033-05-01      | Variable      | 3.22%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31384V7B2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       142 | PA      | $137.38       | 0.00%             | 2030-03-01      | Variable      | 3.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31391EUJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11531 | PA      | $11279.80     | 0.00%             | 2032-10-01      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31402G6M0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12397 | PA      | $12280.94     | 0.00%             | 2033-08-01      | Variable      | 4.21%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31407MWS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6467 | PA      | $6368.58      | 0.00%             | 2035-05-01      | Variable      | 4.46%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31412V6Z6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10449 | PA      | $10633.90     | 0.00%             | 2037-04-01      | Variable      | 3.89%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31388NR99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     39834 | PA      | $39142.98     | 0.01%             | 2030-03-01      | Variable      | 3.67%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31390CLB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       904 | PA      | $871.62       | 0.00%             | 2032-03-01      | Variable      | 3.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31412CE30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13328 | PA      | $13345.92     | 0.00%             | 2037-01-01      | Variable      | 5.34%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31406L2Y3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     75529 | PA      | $74541.08     | 0.01%             | 2035-07-01      | Variable      | 3.65%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31402DHP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30163 | PA      | $29463.11     | 0.01%             | 2032-10-01      | Variable      | 3.11%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31406VQ74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7276 | PA      | $7107.76      | 0.00%             | 2035-05-01      | Variable      | 3.04%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31404ERU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5877 | PA      | $5800.68      | 0.00%             | 2034-03-01      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31402J4L8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    119833 | PA      | $118853.68    | 0.02%             | 2033-08-01      | Variable      | 3.94%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                  | CUSIP: 31349SRM7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    143960 | PA      | $144945.00    | 0.03%             | 2034-04-01      | Variable      | 2.56%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31403DTQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3561 | PA      | $3530.22      | 0.00%             | 2035-11-01      | Variable      | 3.91%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31410EPE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    175521 | PA      | $173971.79    | 0.03%             | 2036-06-01      | Variable      | 3.98%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31402XWP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     56583 | PA      | $55841.85     | 0.01%             | 2033-10-01      | Variable      | 3.73%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31410MGS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    146140 | PA      | $144518.29    | 0.03%             | 2037-01-01      | Variable      | 4.13%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31402D4C1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12549 | PA      | $12432.27     | 0.00%             | 2033-07-01      | Variable      | 3.59%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31373KHT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    403280 | PA      | $388014.57    | 0.08%             | 2034-09-01      | Variable      | 2.84%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31406RA70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3970 | PA      | $3876.94      | 0.00%             | 2035-07-01      | Variable      | 3.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31402RBH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12233 | PA      | $12108.69     | 0.00%             | 2034-11-01      | Variable      | 4.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31406GLR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    134237 | PA      | $131447.40    | 0.03%             | 2035-02-01      | Variable      | 3.59%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 3136056B8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        54 | PA      | $54.06        | 0.00%             | 2026-01-01      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31391MQR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    196826 | PA      | $192865.72    | 0.04%             | 2033-01-01      | Variable      | 3.66%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31407JNQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5025 | PA      | $5117.98      | 0.00%             | 2035-07-01      | Variable      | 3.72%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 3138EHJB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     65411 | PA      | $66915.59     | 0.01%             | 2037-08-01      | Variable      | 3.58%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31419APP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    503424 | PA      | $498998.36    | 0.10%             | 2038-11-01      | Variable      | 3.74%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31410GG31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5251 | PA      | $5171.50      | 0.00%             | 2038-03-01      | Variable      | 3.53%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31409AK81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2494 | PA      | $2459.25      | 0.00%             | 2036-02-01      | Variable      | 3.18%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31402RN62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8755 | PA      | $8644.61      | 0.00%             | 2035-07-01      | Variable      | 3.95%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31408GX28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9961 | PA      | $9928.56      | 0.00%             | 2035-09-01      | Variable      | 4.73%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31403CZ95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17675 | PA      | $18065.06     | 0.00%             | 2035-09-01      | Variable      | 3.86%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31374TG29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21273 | PA      | $21279.80     | 0.00%             | 2026-03-01      | Variable      | 4.57%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31406WEE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    235888 | PA      | $233130.08    | 0.05%             | 2035-06-01      | Variable      | 3.79%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31402RPM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4568 | PA      | $4562.37      | 0.00%             | 2035-06-01      | Variable      | 3.82%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31400SM71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6315 | PA      | $6186.84      | 0.00%             | 2033-04-01      | Variable      | 2.65%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31411AP58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19403 | PA      | $19174.64     | 0.00%             | 2036-11-01      | Variable      | 3.81%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31410GJN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    268827 | PA      | $270096.92    | 0.05%             | 2037-08-01      | Variable      | 3.81%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31409X3V9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     44688 | PA      | $43828.36     | 0.01%             | 2036-04-01      | Variable      | 3.29%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31410RM48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    122370 | PA      | $123784.37    | 0.02%             | 2036-08-01      | Variable      | 4.05%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31385HUF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6644 | PA      | $6586.45      | 0.00%             | 2038-03-01      | Variable      | 3.49%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31410FW50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24978 | PA      | $24654.91     | 0.00%             | 2037-01-01      | Variable      | 3.44%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                  | CUSIP: 3128S4GC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     38363 | PA      | $37897.01     | 0.01%             | 2037-01-01      | Variable      | 3.99%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31410F3M5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       744 | PA      | $731.25       | 0.00%             | 2037-04-01      | Variable      | 1.81%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                  | CUSIP: 3128JRG26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    284541 | PA      | $285140.03    | 0.06%             | 2035-06-01      | Variable      | 3.19%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                  | CUSIP: 3128S5DY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    592725 | PA      | $594699.43    | 0.12%             | 2037-04-01      | Variable      | 3.35%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31403DVD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4690 | PA      | $4780.42      | 0.00%             | 2038-05-01      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                  | CUSIP: 31347ASU9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    603580 | PA      | $613603.66    | 0.12%             | 2036-01-01      | Variable      | 3.13%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31400AMQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2235 | PA      | $2187.09      | 0.00%             | 2033-01-01      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31405RXF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10101 | PA      | $9957.76      | 0.00%             | 2034-10-01      | Variable      | 4.22%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31391QW34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1525 | PA      | $1491.20      | 0.00%             | 2032-12-01      | Variable      | 4.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31404ECQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23192 | PA      | $22801.54     | 0.00%             | 2034-02-01      | Variable      | 2.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31401CXL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10094 | PA      | $10008.69     | 0.00%             | 2033-05-01      | Variable      | 3.44%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31391SSW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2643 | PA      | $2593.89      | 0.00%             | 2032-12-01      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31409HGL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     50255 | PA      | $49582.30     | 0.01%             | 2036-05-01      | Variable      | 3.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31401PEH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    472746 | PA      | $472946.72    | 0.09%             | 2033-04-01      | Variable      | 4.37%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 3138ETM29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6189683 | PA      | $6328275.48   | 1.24%             | 2036-05-01      | Variable      | 3.77%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31410AH33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2916 | PA      | $2855.22      | 0.00%             | 2036-07-01      | Variable      | 2.76%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31400FEQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     62520 | PA      | $61890.62     | 0.01%             | 2033-07-01      | Variable      | 4.14%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31400VP89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1034 | PA      | $1029.72      | 0.00%             | 2028-03-01      | Variable      | 4.88%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31413KMQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    285239 | PA      | $282458.01    | 0.06%             | 2037-10-01      | Variable      | 3.57%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31406QGG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     73602 | PA      | $73421.59     | 0.01%             | 2035-02-01      | Variable      | 3.98%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31405DVE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30183 | PA      | $30007.37     | 0.01%             | 2034-07-01      | Variable      | 3.81%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31360FC86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         4 | PA      | $3.90         | 0.00%             | 2024-06-01      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31406NEA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    194724 | PA      | $192214.40    | 0.04%             | 2035-04-01      | Variable      | 2.52%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31406WNX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25881 | PA      | $25913.71     | 0.01%             | 2035-02-01      | Variable      | 5.59%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31400Q2Z5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7554 | PA      | $7384.78      | 0.00%             | 2033-03-01      | Variable      | 2.67%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                  | CUSIP: 3128JMVS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    259969 | PA      | $260763.42    | 0.05%             | 2036-01-01      | Variable      | 3.05%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31390W7E6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21575 | PA      | $21882.66     | 0.00%             | 2032-11-01      | Variable      | 4.34%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                  | CUSIP: 3128S4HF7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    278921 | PA      | $281410.33    | 0.06%             | 2037-03-01      | Variable      | 3.67%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31410GMA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    618642 | PA      | $619156.88    | 0.12%             | 2037-09-01      | Variable      | 3.21%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31375BVV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1037 | PA      | $1027.31      | 0.00%             | 2025-09-01      | Variable      | 4.29%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31410GDQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8209 | PA      | $8237.08      | 0.00%             | 2033-12-01      | Variable      | 3.93%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31403NPV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     78109 | PA      | $76838.16     | 0.02%             | 2033-12-01      | Variable      | 3.95%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31410GQ89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       234 | PA      | $232.78       | 0.00%             | 2023-09-01      | Variable      | 2.76%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31418MM90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    100423 | PA      | $101961.24    | 0.02%             | 2037-11-01      | Variable      | 3.34%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31402QX48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1848 | PA      | $1854.95      | 0.00%             | 2035-01-01      | Variable      | 3.87%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31402HAL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28418 | PA      | $28132.08     | 0.01%             | 2033-09-01      | Variable      | 4.34%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31402TLH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20045 | PA      | $19821.68     | 0.00%             | 2033-08-01      | Variable      | 3.49%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31404GTS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    136713 | PA      | $136007.02    | 0.03%             | 2033-11-01      | Variable      | 4.01%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31374FXM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        84 | PA      | $83.41        | 0.00%             | 2026-08-01      | Variable      | 4.22%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31410EPC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    292894 | PA      | $296276.94    | 0.06%             | 2036-06-01      | Variable      | 3.85%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31385HJT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5243 | PA      | $5157.36      | 0.00%             | 2036-07-01      | Variable      | 4.18%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31410F4H5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1868 | PA      | $1840.63      | 0.00%             | 2037-03-01      | Variable      | 3.95%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                  | CUSIP: 31300LF34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1132007 | PA      | $1142380.44   | 0.22%             | 2035-12-01      | Variable      | 2.51%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31409EJW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    198147 | PA      | $197198.73    | 0.04%             | 2036-04-01      | Variable      | 4.56%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31409VJ20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     86757 | PA      | $85992.24     | 0.02%             | 2036-07-01      | Variable      | 3.13%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31406DA63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6747 | PA      | $6602.76      | 0.00%             | 2035-02-01      | Variable      | 4.43%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31405PLQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14611 | PA      | $14563.62     | 0.00%             | 2034-10-01      | Variable      | 3.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31400XZG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4147 | PA      | $4089.35      | 0.00%             | 2033-04-01      | Variable      | 3.01%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31416CAQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9199 | PA      | $9075.66      | 0.00%             | 2037-10-01      | Variable      | 3.85%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31402Q5R8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    201176 | PA      | $201735.93    | 0.04%             | 2035-01-01      | Variable      | 3.66%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                  | CUSIP: 3128S5ZW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5667794 | PA      | $5753027.46   | 1.13%             | 2037-09-01      | Variable      | 3.34%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31374GEW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3769 | PA      | $3706.13      | 0.00%             | 2027-04-01      | Variable      | 3.07%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31403DQ69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    171606 | PA      | $174576.88    | 0.03%             | 2036-07-01      | Variable      | 3.64%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 3138EMA43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    739758 | PA      | $755478.71    | 0.15%             | 2040-12-01      | Variable      | 3.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31407XWM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     51995 | PA      | $50758.85     | 0.01%             | 2035-11-01      | Variable      | 4.22%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31416CL61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       929 | PA      | $932.01       | 0.00%             | 2036-09-01      | Variable      | 4.76%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31410AKW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     60727 | PA      | $60754.20     | 0.01%             | 2036-07-01      | Variable      | 4.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31414KQP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11653 | PA      | $11368.27     | 0.00%             | 2038-02-01      | Variable      | 4.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31373TR77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       621 | PA      | $613.20       | 0.00%             | 2024-09-01      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                  | CUSIP: 31288QLJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10898144 | PA      | $10963121.16  | 2.15%             | 2046-07-01      | Variable      | 2.86%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31391TZ50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18282 | PA      | $17979.93     | 0.00%             | 2032-12-01      | Variable      | 3.99%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31403AL78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8536 | PA      | $8434.69      | 0.00%             | 2033-09-01      | Variable      | 3.89%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31374GRC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9094 | PA      | $8804.38      | 0.00%             | 2036-05-01      | Variable      | 3.58%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31405FTR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1647 | PA      | $1630.27      | 0.00%             | 2034-07-01      | Variable      | 4.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31400RT76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11433 | PA      | $11223.97     | 0.00%             | 2033-04-01      | Variable      | 3.46%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31385XSJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6755 | PA      | $6641.37      | 0.00%             | 2035-09-01      | Variable      | 3.28%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31403FGK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8390 | PA      | $8329.12      | 0.00%             | 2034-07-01      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31404XE26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    381659 | PA      | $380468.28    | 0.07%             | 2034-08-01      | Variable      | 4.09%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31402DNC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       412 | PA      | $404.40       | 0.00%             | 2033-05-01      | Variable      | 3.92%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31400AMD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     43604 | PA      | $42761.94     | 0.01%             | 2033-01-01      | Variable      | 4.23%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                  | CUSIP: 3128NHK36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2122258 | PA      | $2134717.28   | 0.42%             | 2035-09-01      | Variable      | 3.59%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31402RHT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20906 | PA      | $19980.80     | 0.00%             | 2042-08-01      | Variable      | 3.63%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31402QZY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3548 | PA      | $3494.83      | 0.00%             | 2038-05-01      | Variable      | 3.72%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31403DUU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13795 | PA      | $13974.30     | 0.00%             | 2036-10-01      | Variable      | 4.03%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31405NLX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1469 | PA      | $1446.35      | 0.00%             | 2034-09-01      | Variable      | 3.81%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31409GFF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34279 | PA      | $33515.44     | 0.01%             | 2036-04-01      | Variable      | 2.65%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31402DMF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6532 | PA      | $6450.06      | 0.00%             | 2034-08-01      | Variable      | 3.84%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31412EJ72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4213 | PA      | $4144.47      | 0.00%             | 2037-02-01      | Variable      | 3.84%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 4915, Class FE                           | CUSIP: 3137FNJT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9434901 | PA      | $9519479.23   | 1.87%             | 2038-02-15      | Floating      | 3.67%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31410DXD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27352 | PA      | $27471.29     | 0.01%             | 2036-08-01      | Variable      | 4.71%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31404XJX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10346 | PA      | $10340.26     | 0.00%             | 2034-12-01      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31409UWM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     73724 | PA      | $74028.41     | 0.01%             | 2035-11-01      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31404XH31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6754 | PA      | $6792.40      | 0.00%             | 2034-10-01      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31419GJS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    173173 | PA      | $171392.17    | 0.03%             | 2040-09-01      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31405JE75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3240 | PA      | $3208.90      | 0.00%             | 2034-09-01      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31407MJR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29930 | PA      | $29577.04     | 0.01%             | 2035-07-01      | Variable      | 3.84%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II                                                | CUSIP: 36225DBX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6731 | PA      | $6633.23      | 0.00%             | 2034-06-20      | Variable      | 2.87%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31409CD44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     79125 | PA      | $77907.65     | 0.02%             | 2036-02-01      | Variable      | 4.39%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31371MB89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    109233 | PA      | $109511.58    | 0.02%             | 2035-05-01      | Variable      | 2.87%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 3138EGEH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2066997 | PA      | $2093540.07   | 0.41%             | 2039-01-01      | Variable      | 3.22%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31407CU88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    123134 | PA      | $121850.15    | 0.02%             | 2035-08-01      | Variable      | 3.91%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31409XQG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35545 | PA      | $36217.44     | 0.01%             | 2036-03-01      | Variable      | 4.54%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31402Q5D9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18914 | PA      | $18607.01     | 0.00%             | 2034-07-01      | Variable      | 3.94%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31403VLC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8770 | PA      | $8625.89      | 0.00%             | 2034-01-01      | Variable      | 3.92%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31401Y3J2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     99161 | PA      | $98092.07     | 0.02%             | 2033-09-01      | Variable      | 4.27%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31409X5Q8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    122440 | PA      | $120570.72    | 0.02%             | 2036-06-01      | Variable      | 3.63%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31413ECE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19299 | PA      | $19110.34     | 0.00%             | 2037-08-01      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31402RH69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9070 | PA      | $8643.24      | 0.00%             | 2044-10-01      | Variable      | 3.63%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31390AHA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9303 | PA      | $8964.47      | 0.00%             | 2032-04-01      | Variable      | 3.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31409DVM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    301266 | PA      | $301029.81    | 0.06%             | 2036-04-01      | Variable      | 2.96%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31385HU59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8783 | PA      | $8616.76      | 0.00%             | 2036-05-01      | Variable      | 3.84%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                  | CUSIP: 31300LEF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    532664 | PA      | $534904.93    | 0.10%             | 2034-08-01      | Variable      | 3.74%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31403AQP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    132593 | PA      | $130930.72    | 0.03%             | 2033-10-01      | Variable      | 3.91%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31403NSL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     47120 | PA      | $47606.31     | 0.01%             | 2033-11-01      | Variable      | 3.99%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31407RKJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17754 | PA      | $17584.16     | 0.00%             | 2035-08-01      | Variable      | 4.23%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31384VJ60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1445 | PA      | $1424.46      | 0.00%             | 2028-07-01      | Variable      | 4.51%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31402A5N2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     60450 | PA      | $59929.18     | 0.01%             | 2033-07-01      | Variable      | 3.72%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31405AET6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3383 | PA      | $3224.51      | 0.00%             | 2044-04-01      | Variable      | 3.63%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31411JKZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2556 | PA      | $2504.04      | 0.00%             | 2037-02-01      | Variable      | 4.01%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31413ADY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13768 | PA      | $13578.94     | 0.00%             | 2037-05-01      | Variable      | 2.64%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31410SCZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    957421 | PA      | $970666.68    | 0.19%             | 2036-05-01      | Variable      | 4.66%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31402C6N7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7068 | PA      | $6921.32      | 0.00%             | 2034-04-01      | Variable      | 2.98%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31412XPK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       830 | PA      | $821.60       | 0.00%             | 2037-06-01      | Variable      | 3.83%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31403YHN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27432 | PA      | $26843.72     | 0.01%             | 2033-12-01      | Variable      | 4.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31402DMC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3381 | PA      | $3334.27      | 0.00%             | 2034-09-01      | Variable      | 3.93%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31410SCY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    235113 | PA      | $241755.60    | 0.05%             | 2036-05-01      | Variable      | 5.09%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31385XJS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15268 | PA      | $15097.76     | 0.00%             | 2040-01-01      | Variable      | 3.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31402KR48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3506 | PA      | $3460.24      | 0.00%             | 2033-09-01      | Variable      | 4.28%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31406NSE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    105935 | PA      | $104286.83    | 0.02%             | 2035-05-01      | Variable      | 2.49%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31389VAQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23753 | PA      | $23415.39     | 0.00%             | 2032-04-01      | Variable      | 2.66%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31416B5V6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22321 | PA      | $22751.39     | 0.00%             | 2038-07-01      | Variable      | 4.29%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31404XFS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17577 | PA      | $17341.95     | 0.00%             | 2034-09-01      | Variable      | 4.08%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31406VZ33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    146445 | PA      | $148824.75    | 0.03%             | 2035-06-01      | Variable      | 3.52%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31406LMT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34424 | PA      | $34303.71     | 0.01%             | 2035-01-01      | Variable      | 4.02%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31391LSJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    315117 | PA      | $308318.79    | 0.06%             | 2033-03-01      | Variable      | 2.70%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31401BX83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10728 | PA      | $10578.05     | 0.00%             | 2033-01-01      | Variable      | 4.08%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31407MSF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2860 | PA      | $2908.74      | 0.00%             | 2035-07-01      | Variable      | 5.56%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31407CAP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1152631 | PA      | $1169178.76   | 0.23%             | 2035-07-01      | Variable      | 3.64%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31412CBL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24677 | PA      | $25396.45     | 0.00%             | 2036-03-01      | Variable      | 4.32%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31416CAG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8062 | PA      | $8223.48      | 0.00%             | 2037-03-01      | Variable      | 3.49%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31411E2N6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     83298 | PA      | $82569.17     | 0.02%             | 2037-01-01      | Variable      | 4.09%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31401G4N1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19549 | PA      | $19179.56     | 0.00%             | 2033-07-01      | Variable      | 3.89%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                  | CUSIP: 3128JRV37<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    214454 | PA      | $213098.83    | 0.04%             | 2037-12-01      | Variable      | 3.53%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31402CQG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     68060 | PA      | $67127.35     | 0.01%             | 2039-09-01      | Variable      | 2.98%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31409WCG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     40488 | PA      | $41208.77     | 0.01%             | 2036-02-01      | Variable      | 4.02%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31404XEC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13322 | PA      | $13114.32     | 0.00%             | 2034-09-01      | Variable      | 4.13%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 3138EPR63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    616618 | PA      | $617011.86    | 0.12%             | 2040-04-01      | Variable      | 3.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 3138EHVA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     50098 | PA      | $50785.24     | 0.01%             | 2037-07-01      | Variable      | 3.68%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31416BWK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36191 | PA      | $35813.75     | 0.01%             | 2038-09-01      | Variable      | 3.68%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31409ACY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    198577 | PA      | $196475.01    | 0.04%             | 2035-09-01      | Variable      | 4.77%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31410B6S8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11025 | PA      | $10903.80     | 0.00%             | 2036-10-01      | Variable      | 3.87%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31406BV64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    134720 | PA      | $132457.18    | 0.03%             | 2035-01-01      | Variable      | 3.82%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31385WZW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3218 | PA      | $3161.39      | 0.00%             | 2032-12-01      | Variable      | 3.87%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31407AAJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    205649 | PA      | $207944.45    | 0.04%             | 2035-06-01      | Variable      | 3.49%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31405RM94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     55669 | PA      | $55071.67     | 0.01%             | 2034-08-01      | Variable      | 3.78%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31385XSY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8118 | PA      | $7927.44      | 0.00%             | 2033-09-01      | Variable      | 3.28%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31406LZ68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       653 | PA      | $664.85       | 0.00%             | 2034-12-01      | Variable      | 4.10%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31391USA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13400 | PA      | $13196.93     | 0.00%             | 2033-01-01      | Variable      | 4.01%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31407WS87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     87000 | PA      | $86212.43     | 0.02%             | 2035-08-01      | Variable      | 3.43%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31400SJK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9370 | PA      | $9180.53      | 0.00%             | 2033-04-01      | Variable      | 2.64%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31410KVD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2856 | PA      | $2825.73      | 0.00%             | 2028-02-01      | Variable      | 2.96%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31412G2Z3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14857 | PA      | $14488.71     | 0.00%             | 2034-07-01      | Variable      | 3.14%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31411JMS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11004 | PA      | $11102.23     | 0.00%             | 2037-02-01      | Variable      | 4.16%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31406L5A2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     45311 | PA      | $44748.70     | 0.01%             | 2036-05-01      | Variable      | 3.08%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31402XWG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     82269 | PA      | $81567.06     | 0.02%             | 2033-10-01      | Variable      | 3.66%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31402RMG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10214 | PA      | $10115.04     | 0.00%             | 2035-08-01      | Variable      | 3.76%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31402W5X2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23413 | PA      | $23413.63     | 0.00%             | 2028-08-01      | Variable      | 5.22%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31416BK49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2014305 | PA      | $2029510.99   | 0.40%             | 2036-02-01      | Variable      | 3.33%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31410GDS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4576 | PA      | $4669.97      | 0.00%             | 2034-02-01      | Variable      | 4.06%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31367JC24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29691 | PA      | $29684.28     | 0.01%             | 2032-06-01      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31389CYT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    182598 | PA      | $179255.47    | 0.04%             | 2032-01-01      | Variable      | 3.67%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31401MUQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     77129 | PA      | $75554.16     | 0.01%             | 2033-04-01      | Variable      | 2.61%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31390NJT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2474 | PA      | $2388.17      | 0.00%             | 2032-06-01      | Variable      | 3.55%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31374TYQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15556 | PA      | $15414.68     | 0.00%             | 2029-08-01      | Variable      | 4.04%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31408EQ21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    657020 | PA      | $650134.03    | 0.13%             | 2036-01-01      | Variable      | 3.59%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31404RUM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8196 | PA      | $8315.49      | 0.00%             | 2034-03-01      | Variable      | 4.39%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31391FPC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       295 | PA      | $291.43       | 0.00%             | 2029-08-01      | Variable      | 3.96%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31385WZZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    131933 | PA      | $129041.81    | 0.03%             | 2032-09-01      | Variable      | 3.15%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31400YA22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35493 | PA      | $34995.13     | 0.01%             | 2033-04-01      | Variable      | 2.91%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31388L4U1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       345 | PA      | $341.52       | 0.00%             | 2030-06-01      | Variable      | 4.37%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31406DAE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     67360 | PA      | $64037.91     | 0.01%             | 2044-10-01      | Variable      | 3.63%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 4730, Class WF                           | CUSIP: 3137FBCF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4568849 | PA      | $4587197.52   | 0.90%             | 2038-08-15      | Floating      | 3.80%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31409U6T7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14402 | PA      | $14209.48     | 0.00%             | 2036-02-01      | Variable      | 2.22%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31403DKQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    137803 | PA      | $139518.08    | 0.03%             | 2035-05-01      | Variable      | 2.92%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31405DLX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     55636 | PA      | $56383.93     | 0.01%             | 2034-07-01      | Variable      | 3.78%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31405TZV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    107059 | PA      | $106700.28    | 0.02%             | 2034-08-01      | Variable      | 3.80%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                  | CUSIP: 3128QSU95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    264617 | PA      | $265245.60    | 0.05%             | 2036-06-01      | Variable      | 3.23%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31407XPG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9580 | PA      | $9417.42      | 0.00%             | 2035-11-01      | Variable      | 4.34%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31371MFY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     85445 | PA      | $87636.75     | 0.02%             | 2035-08-01      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II                                                | CUSIP: 36225D3S1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     84628 | PA      | $83622.97     | 0.02%             | 2036-05-20      | Variable      | 2.87%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31404NAD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5146 | PA      | $5226.03      | 0.00%             | 2034-11-01      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                  | CUSIP: 3128S5LE2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    649333 | PA      | $653270.19    | 0.13%             | 2036-11-01      | Variable      | 3.66%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31410MHB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    218724 | PA      | $222765.36    | 0.04%             | 2036-04-01      | Variable      | 4.35%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31385NVP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12916 | PA      | $12759.18     | 0.00%             | 2025-05-01      | Variable      | 4.04%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31388K2K7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     39869 | PA      | $38386.64     | 0.01%             | 2031-09-01      | Variable      | 3.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31411VHW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1358 | PA      | $1356.97      | 0.00%             | 2037-02-01      | Variable      | 3.93%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31411VVR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28016 | PA      | $28009.18     | 0.01%             | 2037-03-01      | Variable      | 3.88%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                  | CUSIP: 31300MAA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    143199 | PA      | $145686.60    | 0.03%             | 2036-06-01      | Variable      | 3.49%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31404JVP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    123370 | PA      | $121827.12    | 0.02%             | 2034-04-01      | Variable      | 2.77%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31413NJ63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25292 | PA      | $25295.71     | 0.00%             | 2037-08-01      | Variable      | 4.18%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31406UUX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    127463 | PA      | $129298.95    | 0.03%             | 2035-03-01      | Variable      | 4.22%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31385H5Y4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     72768 | PA      | $71701.83     | 0.01%             | 2032-01-01      | Variable      | 4.36%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31407GCT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    191155 | PA      | $186741.69    | 0.04%             | 2035-02-01      | Variable      | 4.44%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31404PHL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3064 | PA      | $2993.45      | 0.00%             | 2034-03-01      | Variable      | 2.45%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31402REK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2403 | PA      | $2408.08      | 0.00%             | 2035-05-01      | Variable      | 3.16%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31376JNW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4794 | PA      | $4715.31      | 0.00%             | 2036-10-01      | Variable      | 4.36%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31385YEG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18696 | PA      | $18428.47     | 0.00%             | 2027-08-01      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31403C3Z2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     82844 | PA      | $82152.32     | 0.02%             | 2035-11-01      | Variable      | 3.82%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31405AP64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3386 | PA      | $3467.32      | 0.00%             | 2034-06-01      | Variable      | 3.79%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31404Q5M7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    255815 | PA      | $243550.73    | 0.05%             | 2044-03-01      | Variable      | 3.63%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31384WAD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4255 | PA      | $4207.10      | 0.00%             | 2026-07-01      | Variable      | 4.72%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31405NLW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       804 | PA      | $796.13       | 0.00%             | 2034-09-01      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31407WSS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9602 | PA      | $9789.84      | 0.00%             | 2035-09-01      | Variable      | 4.04%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                  | CUSIP: 3128S54S0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    424731 | PA      | $420209.38    | 0.08%             | 2038-10-01      | Variable      | 3.57%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31414NBM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20287 | PA      | $20123.15     | 0.00%             | 2038-11-01      | Variable      | 4.08%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31405H3L0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       405 | PA      | $400.98       | 0.00%             | 2034-08-01      | Variable      | 3.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31404DZ68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27472 | PA      | $27332.58     | 0.01%             | 2033-10-01      | Variable      | 4.20%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31410EFD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5525 | PA      | $5473.46      | 0.00%             | 2036-08-01      | Variable      | 4.15%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31390WQX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     60824 | PA      | $60098.34     | 0.01%             | 2033-09-01      | Variable      | 4.27%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31409JKQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     39808 | PA      | $39192.98     | 0.01%             | 2036-05-01      | Variable      | 3.10%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31410FX34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6466 | PA      | $6586.14      | 0.00%             | 2036-03-01      | Variable      | 4.27%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                  | CUSIP: 3128NHPT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     82678 | PA      | $83812.49     | 0.02%             | 2036-09-01      | Variable      | 3.76%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31405RC61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    119916 | PA      | $118916.95    | 0.02%             | 2034-09-01      | Variable      | 3.92%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31402REL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12994 | PA      | $13210.97     | 0.00%             | 2035-04-01      | Variable      | 2.81%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31410GSX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4486 | PA      | $4444.91      | 0.00%             | 2032-10-01      | Variable      | 3.87%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31407MSW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42329 | PA      | $43233.71     | 0.01%             | 2035-07-01      | Variable      | 5.65%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31412CFA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12012 | PA      | $12108.22     | 0.00%             | 2037-01-01      | Variable      | 5.18%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31407XUW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42203 | PA      | $41184.52     | 0.01%             | 2035-11-01      | Variable      | 4.24%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31407MSE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7554 | PA      | $7529.37      | 0.00%             | 2035-07-01      | Variable      | 5.64%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31416B5R5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     46385 | PA      | $46547.22     | 0.01%             | 2039-02-01      | Variable      | 3.92%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31403DNX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26917 | PA      | $26653.65     | 0.01%             | 2038-05-01      | Variable      | 3.80%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31406WGK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1949 | PA      | $1925.80      | 0.00%             | 2035-07-01      | Variable      | 3.24%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31411HM56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9817 | PA      | $9955.72      | 0.00%             | 2037-01-01      | Variable      | 3.93%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31402TLV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3162 | PA      | $3120.49      | 0.00%             | 2033-09-01      | Variable      | 3.95%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31402RQK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25502 | PA      | $25072.50     | 0.00%             | 2036-07-01      | Variable      | 4.06%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31390UMX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3404 | PA      | $3374.47      | 0.00%             | 2033-06-01      | Variable      | 4.04%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31403DC49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    233537 | PA      | $234048.85    | 0.05%             | 2036-02-01      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                  | CUSIP: 3128JR6K7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    287737 | PA      | $292260.94    | 0.06%             | 2037-06-01      | Variable      | 3.46%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31403Q5H9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1609 | PA      | $1577.63      | 0.00%             | 2033-10-01      | Variable      | 3.11%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31416BWG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3899 | PA      | $3895.86      | 0.00%             | 2036-09-01      | Variable      | 4.70%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31414URK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    234084 | PA      | $229903.19    | 0.05%             | 2035-01-01      | Variable      | 3.71%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31410VQJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     87159 | PA      | $85826.24     | 0.02%             | 2034-08-01      | Variable      | 3.07%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31403AU60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    119793 | PA      | $118811.55    | 0.02%             | 2033-10-01      | Variable      | 3.97%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31405X5P4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9029 | PA      | $8878.49      | 0.00%             | 2034-12-01      | Variable      | 4.32%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31401GYR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9581 | PA      | $9426.67      | 0.00%             | 2033-04-01      | Variable      | 3.32%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31389TR46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1354 | PA      | $1342.35      | 0.00%             | 2032-06-01      | Variable      | 3.13%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31406L3G1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2877 | PA      | $2877.66      | 0.00%             | 2036-01-01      | Variable      | 4.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31390WTK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5793 | PA      | $5668.65      | 0.00%             | 2033-10-01      | Variable      | 3.16%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31401YQM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     72250 | PA      | $71470.82     | 0.01%             | 2033-07-01      | Variable      | 4.02%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31378FEF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4664 | PA      | $4608.86      | 0.00%             | 2027-06-01      | Variable      | 4.08%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31405LNA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     41699 | PA      | $41243.58     | 0.01%             | 2034-07-01      | Variable      | 3.81%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31417VFL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    135571 | PA      | $134539.64    | 0.03%             | 2035-07-01      | Variable      | 3.72%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31404UQ60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3537 | PA      | $3490.01      | 0.00%             | 2034-06-01      | Variable      | 3.70%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31405WHV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3534 | PA      | $3514.30      | 0.00%             | 2034-10-01      | Variable      | 4.31%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31385XP43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1123 | PA      | $1112.85      | 0.00%             | 2030-08-01      | Variable      | 4.17%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31413QJ33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4619 | PA      | $4668.67      | 0.00%             | 2037-11-01      | Variable      | 3.95%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31384VBF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     55952 | PA      | $55266.11     | 0.01%             | 2027-05-01      | Variable      | 4.26%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31406V5L6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    125243 | PA      | $125885.38    | 0.02%             | 2035-06-01      | Variable      | 3.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31409XXB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     48374 | PA      | $48244.85     | 0.01%             | 2036-04-01      | Variable      | 2.59%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31389AZN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26716 | PA      | $26134.62     | 0.01%             | 2036-11-01      | Variable      | 3.24%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31407KRF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     58148 | PA      | $57691.00     | 0.01%             | 2035-09-01      | Variable      | 3.64%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31405YXX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22438 | PA      | $22159.56     | 0.00%             | 2034-10-01      | Variable      | 3.84%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31406DBS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3570 | PA      | $3570.11      | 0.00%             | 2035-01-01      | Variable      | 4.44%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 3138EGSW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1175021 | PA      | $1198749.24   | 0.24%             | 2035-09-01      | Variable      | 3.11%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31410L6G2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8767 | PA      | $8730.39      | 0.00%             | 2036-08-01      | Variable      | 4.04%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31403ATU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10756 | PA      | $10576.28     | 0.00%             | 2033-10-01      | Variable      | 4.33%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31413BDZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    112754 | PA      | $110891.38    | 0.02%             | 2035-08-01      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31402M4D9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     59670 | PA      | $59107.04     | 0.01%             | 2033-08-01      | Variable      | 3.83%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31370Q6L8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    145093 | PA      | $139888.05    | 0.03%             | 2033-03-01      | Variable      | 2.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31388G7J4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25076 | PA      | $24708.89     | 0.00%             | 2032-09-01      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31400AM96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     86989 | PA      | $84991.11     | 0.02%             | 2033-01-01      | Variable      | 3.66%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31373UEJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        32 | PA      | $32.16        | 0.00%             | 2025-07-01      | Variable      | 3.17%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31402G6P3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18563 | PA      | $18400.05     | 0.00%             | 2033-07-01      | Variable      | 4.15%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                  | CUSIP: 3128QPQ21<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    806985 | PA      | $808288.93    | 0.16%             | 2037-01-01      | Variable      | 3.82%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31410F7K5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    736152 | PA      | $751044.88    | 0.15%             | 2036-09-01      | Variable      | 3.71%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31402JXS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2241 | PA      | $2212.10      | 0.00%             | 2033-08-01      | Variable      | 3.91%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31381JN24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10243 | PA      | $10215.09     | 0.00%             | 2036-04-01      | Variable      | 3.88%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31378C4V1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5101 | PA      | $4993.47      | 0.00%             | 2027-07-01      | Variable      | 3.21%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31374KHJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10642 | PA      | $10506.40     | 0.00%             | 2024-11-01      | Variable      | 3.46%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31418MM82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    641165 | PA      | $650203.12    | 0.13%             | 2037-01-01      | Variable      | 3.71%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31406KA26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       669 | PA      | $660.50       | 0.00%             | 2035-04-01      | Variable      | 3.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31402RKC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13244 | PA      | $13023.39     | 0.00%             | 2032-04-01      | Variable      | 3.72%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31379R5R5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       326 | PA      | $322.71       | 0.00%             | 2025-04-01      | Variable      | 2.77%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31403CFP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    149878 | PA      | $147643.71    | 0.03%             | 2033-09-01      | Variable      | 4.37%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31408DXE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11110 | PA      | $10852.19     | 0.00%             | 2035-12-01      | Variable      | 3.84%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31388RPD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     96024 | PA      | $94652.22     | 0.02%             | 2033-07-01      | Variable      | 3.95%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31386QD99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    244686 | PA      | $238686.91    | 0.05%             | 2041-01-01      | Variable      | 3.83%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31409XUP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     50904 | PA      | $50823.33     | 0.01%             | 2036-04-01      | Variable      | 2.77%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                  | CUSIP: 3128S5L51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2503389 | PA      | $2552271.72   | 0.50%             | 2037-06-01      | Variable      | 3.13%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31410SC47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     55964 | PA      | $56724.86     | 0.01%             | 2036-05-01      | Variable      | 4.88%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31403DFN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    637345 | PA      | $649084.05    | 0.13%             | 2036-04-01      | Variable      | 3.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31407LJN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    610502 | PA      | $618376.15    | 0.12%             | 2035-07-01      | Variable      | 4.11%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                  | CUSIP: 3128S5F66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    286007 | PA      | $282971.43    | 0.06%             | 2037-05-01      | Variable      | 3.08%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 4845, Class QF                           | CUSIP: 3137FJZV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5395300 | PA      | $5291682.96   | 1.04%             | 2048-12-15      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31391S6L9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33524 | PA      | $33333.34     | 0.01%             | 2032-11-01      | Variable      | 4.95%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31410KBX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     78007 | PA      | $76545.84     | 0.02%             | 2038-03-01      | Variable      | 3.34%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31402C2S0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     43886 | PA      | $43190.30     | 0.01%             | 2034-04-01      | Variable      | 2.03%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31373MHP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       997 | PA      | $986.53       | 0.00%             | 2024-11-01      | Variable      | 4.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31418MNV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1375941 | PA      | $1391940.76   | 0.27%             | 2036-01-01      | Variable      | 3.58%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31403DVP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21577 | PA      | $21989.10     | 0.00%             | 2035-07-01      | Variable      | 3.22%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31419ACM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    601678 | PA      | $611037.16    | 0.12%             | 2036-01-01      | Variable      | 3.93%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31406DAF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    172722 | PA      | $164624.06    | 0.03%             | 2044-10-01      | Variable      | 3.63%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31411EYM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       781 | PA      | $774.48       | 0.00%             | 2037-01-01      | Variable      | 3.85%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31385XFF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7040 | PA      | $6926.17      | 0.00%             | 2033-04-01      | Variable      | 2.23%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31407BWF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29192 | PA      | $28868.76     | 0.01%             | 2035-07-01      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31389KAQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    121564 | PA      | $118831.06    | 0.02%             | 2032-03-01      | Variable      | 2.91%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31407P4K1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    349782 | PA      | $343318.68    | 0.07%             | 2035-07-01      | Variable      | 3.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31402CW32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    215418 | PA      | $212619.26    | 0.04%             | 2034-02-01      | Variable      | 3.34%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31391QWB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26346 | PA      | $25839.27     | 0.01%             | 2032-11-01      | Variable      | 4.26%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31419AB48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11526 | PA      | $11689.25     | 0.00%             | 2036-07-01      | Variable      | 3.77%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31406VL95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        56 | PA      | $55.32        | 0.00%             | 2035-05-01      | Variable      | 3.36%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31408GAQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    320864 | PA      | $315059.83    | 0.06%             | 2036-01-01      | Variable      | 4.05%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31403K4F7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    284596 | PA      | $280799.73    | 0.06%             | 2034-04-01      | Variable      | 2.79%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31384VVT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         8 | PA      | $8.36         | 0.00%             | 2028-06-01      | Variable      | 3.58%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31412ECK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    449630 | PA      | $459278.39    | 0.09%             | 2036-04-01      | Variable      | 3.59%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31409UBQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42939 | PA      | $42267.92     | 0.01%             | 2036-03-01      | Variable      | 2.49%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31418WMU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    348199 | PA      | $356333.30    | 0.07%             | 2040-08-01      | Variable      | 3.93%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31405AEW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29619 | PA      | $28259.41     | 0.01%             | 2044-04-01      | Variable      | 3.63%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31381JRV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    191879 | PA      | $195744.13    | 0.04%             | 2035-10-01      | Variable      | 4.20%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31406G4D8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36259 | PA      | $35608.93     | 0.01%             | 2035-03-01      | Variable      | 2.27%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31405XXV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18083 | PA      | $17700.37     | 0.00%             | 2035-01-01      | Variable      | 3.99%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31412CFN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18878 | PA      | $18807.53     | 0.00%             | 2037-01-01      | Variable      | 5.47%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                  | CUSIP: 3128S5QV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    794439 | PA      | $793371.48    | 0.16%             | 2037-09-01      | Variable      | 2.73%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31403DFV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       674 | PA      | $664.13       | 0.00%             | 2036-04-01      | Variable      | 3.56%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31389AY80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9822 | PA      | $9449.74      | 0.00%             | 2033-05-01      | Variable      | 2.66%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31410D4P2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7277 | PA      | $7164.09      | 0.00%             | 2036-08-01      | Variable      | 3.31%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31406J3L5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1014 | PA      | $998.05       | 0.00%             | 2035-02-01      | Variable      | 2.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31405PC40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     38913 | PA      | $38508.63     | 0.01%             | 2034-10-01      | Variable      | 3.55%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31406RKF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    159979 | PA      | $158235.33    | 0.03%             | 2035-11-01      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                  | CUSIP: 31288QQM5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7264349 | PA      | $7324035.08   | 1.44%             | 2046-11-01      | Variable      | 3.09%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31404GZJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21624 | PA      | $21133.93     | 0.00%             | 2034-02-01      | Variable      | 4.15%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31402TL45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    128508 | PA      | $127094.14    | 0.02%             | 2033-09-01      | Variable      | 3.86%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31405UTZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3068 | PA      | $3031.05      | 0.00%             | 2034-11-01      | Variable      | 3.60%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31407CEJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16437 | PA      | $16289.96     | 0.00%             | 2035-07-01      | Variable      | 3.92%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                  | CUSIP: 31288QGQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2874560 | PA      | $2916833.82   | 0.57%             | 2044-01-01      | Variable      | 4.04%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31402G7A5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1407 | PA      | $1388.52      | 0.00%             | 2033-08-01      | Variable      | 4.21%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31385XPN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32834 | PA      | $32760.39     | 0.01%             | 2033-09-01      | Variable      | 4.49%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31408FPH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20819 | PA      | $20346.50     | 0.00%             | 2035-09-01      | Variable      | 3.43%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31419AFJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    212477 | PA      | $211693.34    | 0.04%             | 2037-09-01      | Variable      | 2.96%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31403VWN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36145 | PA      | $35490.32     | 0.01%             | 2034-01-01      | Variable      | 4.34%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31406C6Q6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     80017 | PA      | $77311.51     | 0.02%             | 2034-12-01      | Variable      | 2.84%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31402YQW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    216153 | PA      | $214477.81    | 0.04%             | 2033-10-01      | Variable      | 4.03%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31411RTJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6122 | PA      | $6184.83      | 0.00%             | 2037-03-01      | Variable      | 3.74%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31401GY24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     96976 | PA      | $97199.85     | 0.02%             | 2033-04-01      | Variable      | 3.18%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                  | CUSIP: 3128S5FP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    373200 | PA      | $372450.70    | 0.07%             | 2037-11-01      | Variable      | 2.95%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31410WFG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3468 | PA      | $3433.94      | 0.00%             | 2037-07-01      | Variable      | 3.87%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31406AVG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13316 | PA      | $13059.36     | 0.00%             | 2034-12-01      | Variable      | 3.60%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31401BYD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15705 | PA      | $15497.47     | 0.00%             | 2033-03-01      | Variable      | 3.84%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31400AP77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7142 | PA      | $6966.47      | 0.00%             | 2033-03-01      | Variable      | 3.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31406VC95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1027 | PA      | $1012.94      | 0.00%             | 2035-05-01      | Variable      | 3.11%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31409GSP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       266 | PA      | $261.44       | 0.00%             | 2037-01-01      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                  | CUSIP: 31300LUP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    864849 | PA      | $881788.12    | 0.17%             | 2037-03-01      | Variable      | 3.96%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 3138EJDL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1097635 | PA      | $1117543.09   | 0.22%             | 2039-09-01      | Variable      | 3.43%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31407Y2A6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13291 | PA      | $13087.33     | 0.00%             | 2035-12-01      | Variable      | 3.87%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31410GJV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1110 | PA      | $1092.93      | 0.00%             | 2033-09-01      | Variable      | 3.48%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31403DFT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    159349 | PA      | $156906.28    | 0.03%             | 2035-08-01      | Variable      | 3.88%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31404CAE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     44622 | PA      | $44097.21     | 0.01%             | 2034-04-01      | Variable      | 3.19%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31402DEL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3253 | PA      | $3198.09      | 0.00%             | 2033-09-01      | Variable      | 4.26%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31418MBE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1102688 | PA      | $1073624.88   | 0.21%             | 2037-08-01      | Variable      | 3.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31408DVM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    290070 | PA      | $285676.98    | 0.06%             | 2035-12-01      | Variable      | 3.97%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31410KSL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35550 | PA      | $34865.05     | 0.01%             | 2035-12-01      | Variable      | 3.63%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31406XXS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     59882 | PA      | $59451.27     | 0.01%             | 2035-05-01      | Variable      | 3.33%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31401DL25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28982 | PA      | $28470.66     | 0.01%             | 2033-05-01      | Variable      | 3.06%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31411S6V3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    213842 | PA      | $210803.61    | 0.04%             | 2037-03-01      | Variable      | 2.66%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31405QCV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7512 | PA      | $7385.00      | 0.00%             | 2034-10-01      | Variable      | 4.34%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31410KFR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12433 | PA      | $12243.81     | 0.00%             | 2038-05-01      | Variable      | 3.11%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31385JLV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5573 | PA      | $5512.00      | 0.00%             | 2032-06-01      | Variable      | 3.98%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31403NRB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12341 | PA      | $12147.10     | 0.00%             | 2033-11-01      | Variable      | 3.99%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31405TJL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19029 | PA      | $18645.16     | 0.00%             | 2034-10-01      | Variable      | 2.97%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31379LCA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21547 | PA      | $21562.10     | 0.00%             | 2026-01-01      | Variable      | 5.32%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                  | CUSIP: 31300MZH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    407921 | PA      | $408637.48    | 0.08%             | 2040-05-01      | Variable      | 3.32%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31402LLN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     47080 | PA      | $46757.16     | 0.01%             | 2033-08-01      | Variable      | 4.08%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 4107, Class KF                           | CUSIP: 3137AUFV6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2506188 | PA      | $2478014.13   | 0.49%             | 2038-06-15      | Floating      | 3.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31408EQC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    112073 | PA      | $110373.59    | 0.02%             | 2036-01-01      | Variable      | 4.33%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31410KWJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    514522 | PA      | $511150.53    | 0.10%             | 2035-09-01      | Variable      | 3.79%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31413H5A2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13603 | PA      | $13456.18     | 0.00%             | 2037-09-01      | Variable      | 4.02%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31402RHF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     77678 | PA      | $76787.83     | 0.02%             | 2033-07-01      | Variable      | 3.61%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31408B4W5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4655 | PA      | $4578.71      | 0.00%             | 2036-01-01      | Variable      | 3.74%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31368HUE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        59 | PA      | $58.82        | 0.00%             | 2024-01-01      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31374VCG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16210 | PA      | $16025.79     | 0.00%             | 2025-09-01      | Variable      | 4.60%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31403DVU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14905 | PA      | $15251.20     | 0.00%             | 2036-09-01      | Variable      | 3.64%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31401HVK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35004 | PA      | $34733.28     | 0.01%             | 2033-06-01      | Variable      | 3.66%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31373KHS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20075 | PA      | $19655.42     | 0.00%             | 2032-10-01      | Variable      | 3.99%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 3138ESAN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3570569 | PA      | $3637719.71   | 0.71%             | 2040-04-01      | Variable      | 3.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31405DUD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       691 | PA      | $680.26       | 0.00%             | 2034-07-01      | Variable      | 3.85%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31410S6D4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3732 | PA      | $3694.87      | 0.00%             | 2036-05-01      | Variable      | 4.08%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31404XRB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    100249 | PA      | $101983.62    | 0.02%             | 2034-11-01      | Variable      | 4.13%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31401KMH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     45357 | PA      | $45176.76     | 0.01%             | 2033-07-01      | Variable      | 4.13%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 4989, Class FA                           | CUSIP: 3137FUKP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6370724 | PA      | $6191046.74   | 1.22%             | 2040-08-15      | Floating      | 3.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31403AX83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25576 | PA      | $25158.04     | 0.00%             | 2033-10-01      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31402QTK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2605 | PA      | $2560.62      | 0.00%             | 2034-11-01      | Variable      | 2.93%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                  | CUSIP: 31300M4K6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    833605 | PA      | $848080.52    | 0.17%             | 2035-09-01      | Variable      | 4.29%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31385JN87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33948 | PA      | $33556.98     | 0.01%             | 2032-09-01      | Variable      | 3.54%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31401YYL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36197 | PA      | $35972.33     | 0.01%             | 2033-08-01      | Variable      | 3.78%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31404V6Z6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36990 | PA      | $36670.49     | 0.01%             | 2034-06-01      | Variable      | 4.02%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 3138EGL93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    243744 | PA      | $248050.43    | 0.05%             | 2036-02-01      | Variable      | 3.84%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31385XCP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       216 | PA      | $213.76       | 0.00%             | 2036-05-01      | Variable      | 4.11%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31418MKA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17208 | PA      | $16939.67     | 0.00%             | 2034-06-01      | Variable      | 3.28%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31406F6R7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26197 | PA      | $25677.40     | 0.01%             | 2035-01-01      | Variable      | 3.59%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31413NKA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29999 | PA      | $29649.61     | 0.01%             | 2037-08-01      | Variable      | 3.13%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31419AJH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    313280 | PA      | $309081.22    | 0.06%             | 2035-09-01      | Variable      | 3.80%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                  | CUSIP: 3128S4KY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    207066 | PA      | $209495.47    | 0.04%             | 2037-09-01      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31404VDP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6157 | PA      | $6107.78      | 0.00%             | 2034-06-01      | Variable      | 4.56%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31400YDJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     83165 | PA      | $82559.78     | 0.02%             | 2033-06-01      | Variable      | 4.20%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31384KZR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2071 | PA      | $2046.08      | 0.00%             | 2029-08-01      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31405YPF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    473315 | PA      | $475179.98    | 0.09%             | 2034-11-01      | Variable      | 4.24%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31385XUH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3491 | PA      | $3455.87      | 0.00%             | 2038-03-01      | Variable      | 3.53%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31407WVC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     61692 | PA      | $60875.76     | 0.01%             | 2035-10-01      | Variable      | 4.03%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31414CNW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9017 | PA      | $9048.06      | 0.00%             | 2036-01-01      | Variable      | 3.20%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31404WAN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27366 | PA      | $27160.65     | 0.01%             | 2034-06-01      | Variable      | 4.02%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31400WEN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4491 | PA      | $4381.19      | 0.00%             | 2033-03-01      | Variable      | 2.93%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31413JFD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1283 | PA      | $1270.82      | 0.00%             | 2037-09-01      | Variable      | 4.11%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31404DX60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24813 | PA      | $24378.29     | 0.00%             | 2034-02-01      | Variable      | 3.14%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31385WSN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25450 | PA      | $25014.37     | 0.00%             | 2032-11-01      | Variable      | 4.54%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 313617NN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       677 | PA      | $666.25       | 0.00%             | 2027-07-01      | Variable      | 3.35%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31411AJ97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    177422 | PA      | $179573.95    | 0.04%             | 2036-11-01      | Variable      | 4.15%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31410FWR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2173732 | PA      | $2213528.06   | 0.43%             | 2034-11-01      | Variable      | 3.96%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31371YFB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10305 | PA      | $10190.80     | 0.00%             | 2024-03-01      | Variable      | 2.59%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31416CLA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    588241 | PA      | $594247.13    | 0.12%             | 2036-05-01      | Variable      | 3.53%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31415MU78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    150126 | PA      | $153556.71    | 0.03%             | 2038-01-01      | Variable      | 3.74%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31411SM94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42750 | PA      | $43601.08     | 0.01%             | 2037-02-01      | Variable      | 5.07%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                  | CUSIP: 3128LUFH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    317984 | PA      | $314113.82    | 0.06%             | 2036-11-01      | Variable      | 4.17%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31403VTK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4269 | PA      | $4170.99      | 0.00%             | 2034-01-01      | Variable      | 4.04%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31386M2Y5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8563 | PA      | $8523.16      | 0.00%             | 2030-08-01      | Variable      | 6.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31389HEY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7789 | PA      | $7618.65      | 0.00%             | 2032-03-01      | Variable      | 3.32%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31402MNH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       800 | PA      | $790.41       | 0.00%             | 2033-09-01      | Variable      | 4.21%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31385Y2E4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     47937 | PA      | $48584.13     | 0.01%             | 2040-06-01      | Variable      | 3.83%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31405YX22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16116 | PA      | $16042.98     | 0.00%             | 2034-10-01      | Variable      | 2.96%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31404XJP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23410 | PA      | $22963.46     | 0.00%             | 2034-11-01      | Variable      | 4.11%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31380ADJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       407 | PA      | $400.01       | 0.00%             | 2026-12-01      | Variable      | 3.32%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31408C2U9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36752 | PA      | $36339.45     | 0.01%             | 2035-10-01      | Variable      | 3.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 3138EM2J9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1616725 | PA      | $1651440.43   | 0.32%             | 2038-01-01      | Variable      | 3.70%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31409XXJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     68505 | PA      | $67675.95     | 0.01%             | 2036-05-01      | Variable      | 3.48%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31411YPE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       639 | PA      | $655.57       | 0.00%             | 2037-05-01      | Variable      | 3.47%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31391SJH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       931 | PA      | $910.37       | 0.00%             | 2033-02-01      | Variable      | 2.54%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31401MHB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6184 | PA      | $6133.31      | 0.00%             | 2033-06-01      | Variable      | 4.04%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31410UXJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    292625 | PA      | $300727.94    | 0.06%             | 2036-09-01      | Variable      | 4.02%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31385WXE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34695 | PA      | $34091.28     | 0.01%             | 2033-01-01      | Variable      | 4.32%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31406WNY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    504298 | PA      | $502664.73    | 0.10%             | 2035-03-01      | Variable      | 3.96%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31404GPG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    402161 | PA      | $394398.83    | 0.08%             | 2034-05-01      | Variable      | 2.46%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31379LCG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     43801 | PA      | $43238.78     | 0.01%             | 2027-12-01      | Variable      | 3.70%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31405U6G9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    119515 | PA      | $119124.64    | 0.02%             | 2034-12-01      | Variable      | 3.63%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31410GDM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5164 | PA      | $5177.61      | 0.00%             | 2034-03-01      | Variable      | 2.73%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                  | CUSIP: 3128JR3X2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    962367 | PA      | $964314.06    | 0.19%             | 2035-11-01      | Variable      | 3.29%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                  | CUSIP: 31300MZK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1078062 | PA      | $1094279.54   | 0.21%             | 2041-10-01      | Variable      | 3.11%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31404ULF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    156568 | PA      | $154679.76    | 0.03%             | 2034-05-01      | Variable      | 3.49%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31402DHN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     47337 | PA      | $47432.92     | 0.01%             | 2034-08-01      | Variable      | 3.65%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31409WCB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5267 | PA      | $5385.55      | 0.00%             | 2036-02-01      | Variable      | 4.97%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31405DLY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       803 | PA      | $791.69       | 0.00%             | 2034-07-01      | Variable      | 3.83%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 4895, Class GF                           | CUSIP: 3137FMQG0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7669290 | PA      | $7623449.63   | 1.50%             | 2043-11-15      | Floating      | 3.31%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31402RN39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4492 | PA      | $4389.34      | 0.00%             | 2035-08-01      | Variable      | 3.58%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31402RH77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     52031 | PA      | $49432.48     | 0.01%             | 2044-10-01      | Variable      | 3.63%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31410GDF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20576 | PA      | $20535.37     | 0.00%             | 2033-06-01      | Variable      | 3.33%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31413EE43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    194983 | PA      | $193694.24    | 0.04%             | 2037-09-01      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31402RHZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1036 | PA      | $1026.03      | 0.00%             | 2034-02-01      | Variable      | 3.99%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31402DQR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1077 | PA      | $1102.24      | 0.00%             | 2034-10-01      | Variable      | 4.14%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31402C5X6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     41429 | PA      | $39787.78     | 0.01%             | 2034-01-01      | Variable      | 2.74%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31416CGZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1410279 | PA      | $1442592.90   | 0.28%             | 2037-01-01      | Variable      | 3.76%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31362TX81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1605 | PA      | $1586.90      | 0.00%             | 2024-07-01      | Variable      | 6.31%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31409WCD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     68185 | PA      | $68984.02     | 0.01%             | 2036-01-01      | Variable      | 3.82%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31408GXK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     72644 | PA      | $71663.40     | 0.01%             | 2035-11-01      | Variable      | 4.46%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31410FVN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10038 | PA      | $9930.50      | 0.00%             | 2036-12-01      | Variable      | 4.08%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31360QU74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       616 | PA      | $613.73       | 0.00%             | 2025-08-01      | Variable      | 4.44%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31400QSJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2834 | PA      | $2790.12      | 0.00%             | 2033-03-01      | Variable      | 2.29%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31400FE45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    238932 | PA      | $235655.58    | 0.05%             | 2033-09-01      | Variable      | 4.29%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31402JXU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31671 | PA      | $31437.60     | 0.01%             | 2033-08-01      | Variable      | 3.91%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31385W6E4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       556 | PA      | $543.25       | 0.00%             | 2036-08-01      | Variable      | 4.08%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31379LXG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17713 | PA      | $17465.63     | 0.00%             | 2027-01-01      | Variable      | 4.43%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31414SKF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    121564 | PA      | $117092.95    | 0.02%             | 2038-05-01      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31405X5R0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27685 | PA      | $27059.95     | 0.01%             | 2034-11-01      | Variable      | 4.24%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31413NJ30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    137838 | PA      | $138969.69    | 0.03%             | 2037-08-01      | Variable      | 3.82%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31406PCX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       902 | PA      | $885.99       | 0.00%             | 2035-03-01      | Variable      | 2.58%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31405RXD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11381 | PA      | $11200.97     | 0.00%             | 2034-10-01      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 3138YBWH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     73678 | PA      | $72586.85     | 0.01%             | 2045-04-01      | Variable      | 2.35%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31401G4Z4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30502 | PA      | $31160.09     | 0.01%             | 2033-04-01      | Variable      | 4.09%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2019-59, Class BF                         | CUSIP: 3136B6LC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7710413 | PA      | $7776556.26   | 1.53%             | 2049-10-25      | Floating      | 3.56%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31414UQL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     62540 | PA      | $61468.78     | 0.01%             | 2034-07-01      | Variable      | 3.29%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31402DHL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    216900 | PA      | $214065.54    | 0.04%             | 2034-07-01      | Variable      | 3.23%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31409DYY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    103063 | PA      | $105920.92    | 0.02%             | 2036-03-01      | Variable      | 5.57%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31404NLA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33320 | PA      | $33828.13     | 0.01%             | 2034-09-01      | Variable      | 4.08%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31403DX46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     48336 | PA      | $49042.38     | 0.01%             | 2036-07-01      | Variable      | 4.42%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31391XH93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36872 | PA      | $36162.25     | 0.01%             | 2032-10-01      | Variable      | 3.18%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31401CAQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28666 | PA      | $28235.45     | 0.01%             | 2033-05-01      | Variable      | 2.45%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31405XWJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    914577 | PA      | $929768.02    | 0.18%             | 2034-10-01      | Variable      | 3.92%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31409VSA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30328 | PA      | $29898.15     | 0.01%             | 2033-10-01      | Variable      | 3.87%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31374KR91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       316 | PA      | $312.92       | 0.00%             | 2025-01-01      | Variable      | 4.14%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31403UYH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7456 | PA      | $7545.80      | 0.00%             | 2033-11-01      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31412SUN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15510 | PA      | $15245.86     | 0.00%             | 2038-04-01      | Variable      | 3.89%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31406H3D7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     51464 | PA      | $51901.45     | 0.01%             | 2035-01-01      | Variable      | 4.85%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31360QU58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        57 | PA      | $56.75        | 0.00%             | 2025-06-01      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31405FTT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35722 | PA      | $35429.94     | 0.01%             | 2034-08-01      | Variable      | 4.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31407HD37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    204747 | PA      | $208706.97    | 0.04%             | 2035-07-01      | Variable      | 3.97%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31410FZT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12529 | PA      | $12394.97     | 0.00%             | 2036-11-01      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31403JP42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    196204 | PA      | $193039.75    | 0.04%             | 2033-10-01      | Variable      | 4.43%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31408GJF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6675 | PA      | $6691.83      | 0.00%             | 2035-12-01      | Variable      | 3.98%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 3138EHZ70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     66447 | PA      | $65321.78     | 0.01%             | 2037-08-01      | Variable      | 3.45%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31409DT60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    107902 | PA      | $106545.97    | 0.02%             | 2036-03-01      | Variable      | 2.58%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 3138EQJX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    354155 | PA      | $361964.76    | 0.07%             | 2040-12-01      | Variable      | 3.94%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31412HRW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28382 | PA      | $27772.74     | 0.01%             | 2037-12-01      | Variable      | 2.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31408EGX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36887 | PA      | $36915.77     | 0.01%             | 2036-01-01      | Variable      | 3.84%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31403C7L9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8374 | PA      | $8487.28      | 0.00%             | 2035-10-01      | Variable      | 4.42%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 3140JBML7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  23129439 | PA      | $23689304.91  | 4.65%             | 2047-04-01      | Variable      | 3.69%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31386G7J6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8251 | PA      | $7998.92      | 0.00%             | 2040-11-01      | Variable      | 3.60%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31407VNZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    756394 | PA      | $772132.03    | 0.15%             | 2035-09-01      | Variable      | 3.95%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31400RDY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6959 | PA      | $6969.57      | 0.00%             | 2033-02-01      | Variable      | 5.52%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31403DHP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1029 | PA      | $1007.43      | 0.00%             | 2036-04-01      | Variable      | 4.21%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31402VNU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7333 | PA      | $7195.98      | 0.00%             | 2033-09-01      | Variable      | 4.26%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31388XVV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    524302 | PA      | $507253.96    | 0.10%             | 2033-08-01      | Variable      | 2.84%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                  | CUSIP: 31300LLX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    286355 | PA      | $286924.65    | 0.06%             | 2037-08-01      | Variable      | 3.10%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31404NBN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3755 | PA      | $3751.91      | 0.00%             | 2035-02-01      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31388MXS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4870 | PA      | $4776.54      | 0.00%             | 2029-05-01      | Variable      | 4.42%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31403YV59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6427 | PA      | $6316.33      | 0.00%             | 2034-04-01      | Variable      | 2.37%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31406TTE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12884 | PA      | $12659.28     | 0.00%             | 2035-03-01      | Variable      | 2.89%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31390PQW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8121 | PA      | $7938.26      | 0.00%             | 2032-12-01      | Variable      | 4.33%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II                                                | CUSIP: 36225DN75<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     34077 | PA      | $34068.97     | 0.01%             | 2035-04-20      | Variable      | 2.87%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31391UJV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22221 | PA      | $21872.58     | 0.00%             | 2033-01-01      | Variable      | 3.86%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31409JKP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    263347 | PA      | $269600.60    | 0.05%             | 2036-06-01      | Variable      | 3.41%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31406AZ62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16846 | PA      | $16731.66     | 0.00%             | 2035-01-01      | Variable      | 3.60%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                  | CUSIP: 3128QSAC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1284775 | PA      | $1286866.10   | 0.25%             | 2036-01-01      | Variable      | 2.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31411JLF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6030 | PA      | $5927.17      | 0.00%             | 2037-02-01      | Variable      | 3.92%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31391RYS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23814 | PA      | $23265.73     | 0.00%             | 2031-02-01      | Variable      | 2.27%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31407GB80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    222012 | PA      | $221452.84    | 0.04%             | 2035-07-01      | Variable      | 3.70%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II                                                | CUSIP: 36225DAS3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     16178 | PA      | $15951.04     | 0.00%             | 2034-05-20      | Variable      | 2.87%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31373YW62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       201 | PA      | $197.94       | 0.00%             | 2024-09-01      | Variable      | 2.85%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31373UJB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       170 | PA      | $169.76       | 0.00%             | 2024-09-01      | Variable      | 2.78%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31385XP84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2432 | PA      | $2348.51      | 0.00%             | 2033-09-01      | Variable      | 3.09%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31410QAR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     47134 | PA      | $46939.68     | 0.01%             | 2036-09-01      | Variable      | 4.57%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31415CML8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    114449 | PA      | $112919.61    | 0.02%             | 2048-05-01      | Variable      | 3.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31419AFS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    216647 | PA      | $219832.98    | 0.04%             | 2036-11-01      | Variable      | 3.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31407E6Z1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       531 | PA      | $536.63       | 0.00%             | 2035-09-01      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31402DKQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4916 | PA      | $4926.89      | 0.00%             | 2034-08-01      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, 15 Year                                          | CUSIP: 3140KAPY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6786413 | PA      | $6361168.39   | 1.25%             | 2035-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31410KCR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3595 | PA      | $3602.73      | 0.00%             | 2038-04-01      | Variable      | 2.83%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                  | CUSIP: 3128S44P9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    672637 | PA      | $673526.34    | 0.13%             | 2035-12-01      | Variable      | 2.91%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31411JZ58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     62031 | PA      | $62456.01     | 0.01%             | 2037-02-01      | Variable      | 3.58%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31402NYZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19589 | PA      | $19888.34     | 0.00%             | 2033-06-01      | Variable      | 5.24%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31406AV82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    126131 | PA      | $123776.06    | 0.02%             | 2034-12-01      | Variable      | 3.53%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31403DR76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8582 | PA      | $8467.23      | 0.00%             | 2034-08-01      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31413JB45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7381 | PA      | $7309.86      | 0.00%             | 2037-09-01      | Variable      | 3.67%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31404DTQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1883 | PA      | $1854.20      | 0.00%             | 2034-01-01      | Variable      | 4.08%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31402QWH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15640 | PA      | $15681.74     | 0.00%             | 2034-07-01      | Variable      | 3.56%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31410GDT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1940 | PA      | $1940.67      | 0.00%             | 2035-03-01      | Variable      | 3.17%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 3138EJN20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    195330 | PA      | $195144.93    | 0.04%             | 2034-11-01      | Variable      | 3.32%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31373BEF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       685 | PA      | $681.47       | 0.00%             | 2023-07-01      | Variable      | 2.82%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31406TTD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    230048 | PA      | $225539.96    | 0.04%             | 2035-03-01      | Variable      | 3.10%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31405DJE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    117243 | PA      | $115830.20    | 0.02%             | 2034-06-01      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2019-38, Class AF                         | CUSIP: 3136B5DN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5218364 | PA      | $5228337.29   | 1.03%             | 2049-07-25      | Floating      | 3.55%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31402QZ46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    150948 | PA      | $152590.13    | 0.03%             | 2035-01-01      | Variable      | 3.88%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31391UD69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    220797 | PA      | $217704.10    | 0.04%             | 2033-01-01      | Variable      | 3.97%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31407XZM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     60269 | PA      | $59350.58     | 0.01%             | 2035-11-01      | Variable      | 4.39%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31405N7F6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3057 | PA      | $3064.84      | 0.00%             | 2034-10-01      | Variable      | 3.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31402RN54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    287053 | PA      | $284800.85    | 0.06%             | 2035-06-01      | Variable      | 3.46%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31403GCV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31375 | PA      | $31034.85     | 0.01%             | 2033-09-01      | Variable      | 4.22%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31407JWL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31573 | PA      | $31382.99     | 0.01%             | 2035-08-01      | Variable      | 3.59%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31406GY52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     41540 | PA      | $40820.56     | 0.01%             | 2035-03-01      | Variable      | 2.32%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                  | CUSIP: 31300LFK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    218949 | PA      | $215443.34    | 0.04%             | 2038-03-01      | Variable      | 3.57%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31409WCJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    562344 | PA      | $568360.98    | 0.11%             | 2036-02-01      | Variable      | 3.80%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 3138EHDZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    454316 | PA      | $459335.89    | 0.09%             | 2035-04-01      | Variable      | 3.74%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31386C3W0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    151632 | PA      | $147029.78    | 0.03%             | 2040-09-01      | Variable      | 3.83%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31405PRS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32060 | PA      | $30543.58     | 0.01%             | 2044-07-01      | Variable      | 3.63%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31403AU86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8147 | PA      | $8062.05      | 0.00%             | 2033-10-01      | Variable      | 3.91%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31402ENR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27624 | PA      | $28157.55     | 0.01%             | 2033-08-01      | Variable      | 4.24%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31385XSL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6619 | PA      | $6497.48      | 0.00%             | 2036-07-01      | Variable      | 4.06%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31402RN88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14423 | PA      | $14419.87     | 0.00%             | 2034-03-01      | Variable      | 4.48%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31403N6X0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    223187 | PA      | $220302.39    | 0.04%             | 2033-12-01      | Variable      | 3.89%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31405XXY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6485 | PA      | $6368.52      | 0.00%             | 2034-12-01      | Variable      | 3.86%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31406C6X1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     45001 | PA      | $43860.49     | 0.01%             | 2033-08-01      | Variable      | 4.10%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31402HBG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    110258 | PA      | $108300.59    | 0.02%             | 2033-12-01      | Variable      | 4.53%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31401CP31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11904 | PA      | $11733.10     | 0.00%             | 2033-05-01      | Variable      | 3.71%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                  | CUSIP: 3128S5FR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    387901 | PA      | $389169.47    | 0.08%             | 2037-12-01      | Variable      | 3.98%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31384ACD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    114046 | PA      | $113037.12    | 0.02%             | 2029-06-01      | Variable      | 3.08%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31406WNU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19327 | PA      | $19261.97     | 0.00%             | 2035-03-01      | Variable      | 3.96%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31406NME1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     40498 | PA      | $39953.84     | 0.01%             | 2035-04-01      | Variable      | 2.76%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31411UN64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8911 | PA      | $8765.60      | 0.00%             | 2037-04-01      | Variable      | 2.86%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31403GWE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22565 | PA      | $23024.28     | 0.00%             | 2033-09-01      | Variable      | 3.97%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31391JKL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8228 | PA      | $8068.71      | 0.00%             | 2032-12-01      | Variable      | 4.34%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31406M3E4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23570 | PA      | $23127.52     | 0.00%             | 2035-04-01      | Variable      | 2.15%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31401PEJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18179 | PA      | $18082.23     | 0.00%             | 2033-04-01      | Variable      | 4.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31403GCU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7808 | PA      | $7705.13      | 0.00%             | 2033-08-01      | Variable      | 4.21%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31418MQ96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    107749 | PA      | $109285.50    | 0.02%             | 2039-11-01      | Variable      | 3.72%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31406HG50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6061 | PA      | $6204.58      | 0.00%             | 2034-04-01      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31405WHS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29410 | PA      | $29917.27     | 0.01%             | 2034-09-01      | Variable      | 4.16%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31402DB25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9209 | PA      | $9221.48      | 0.00%             | 2034-06-01      | Variable      | 3.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 3140J5FX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    368211 | PA      | $375870.23    | 0.07%             | 2037-01-01      | Variable      | 4.08%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31391BC39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10502 | PA      | $10460.11     | 0.00%             | 2032-09-01      | Variable      | 4.18%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, 15 Year                                          | CUSIP: 31418D2R2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  27879429 | PA      | $25436641.68  | 4.99%             | 2036-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31413MFB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    235053 | PA      | $226474.28    | 0.04%             | 2037-06-01      | Variable      | 3.14%                 | No            |                  2 | On Loan: No      |
| Institutional Fiduciary Trust - Money Market Portfolio | Institutional Fiduciary Trust - Money Market Portfolio | CUSIP: 457756500<br>LEI: 549300M4TP89K77LG374 | Long             | STIV             | RF                | US        |  11055083 | NS      | $11055083.48  | 2.17%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31404NEM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11429 | PA      | $11283.31     | 0.00%             | 2035-06-01      | Variable      | 3.63%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31401PFA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     66257 | PA      | $65900.87     | 0.01%             | 2033-04-01      | Variable      | 3.72%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31402QST9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28266 | PA      | $27922.00     | 0.01%             | 2033-08-01      | Variable      | 4.31%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31403VWF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36520 | PA      | $35937.08     | 0.01%             | 2034-01-01      | Variable      | 4.03%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31413GLM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3886 | PA      | $3879.16      | 0.00%             | 2037-08-01      | Variable      | 4.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31374TK99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       669 | PA      | $663.69       | 0.00%             | 2025-03-01      | Variable      | 4.24%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 3138EQ5S7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    818837 | PA      | $834059.69    | 0.16%             | 2042-07-01      | Variable      | 3.76%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31410GD83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       270 | PA      | $274.67       | 0.00%             | 2034-04-01      | Variable      | 3.80%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31391SSV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       456 | PA      | $448.40       | 0.00%             | 2032-12-01      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31410UK68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2517 | PA      | $2512.07      | 0.00%             | 2036-08-01      | Variable      | 5.73%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31419AFH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    416870 | PA      | $414930.45    | 0.08%             | 2037-10-01      | Variable      | 3.36%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31385WTF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     66962 | PA      | $65940.01     | 0.01%             | 2036-11-01      | Variable      | 4.35%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31402VZX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29125 | PA      | $29659.80     | 0.01%             | 2033-08-01      | Variable      | 5.36%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31400ANT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1793 | PA      | $1758.97      | 0.00%             | 2033-02-01      | Variable      | 4.13%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31390WRA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11749 | PA      | $11472.22     | 0.00%             | 2033-09-01      | Variable      | 3.09%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31407XR78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    936169 | PA      | $943595.76    | 0.19%             | 2035-11-01      | Variable      | 3.63%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 3138ENA82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    402235 | PA      | $396753.88    | 0.08%             | 2042-01-01      | Variable      | 3.82%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31405YU25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     38981 | PA      | $38823.78     | 0.01%             | 2034-10-01      | Variable      | 4.02%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31400QTZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21129 | PA      | $20818.17     | 0.00%             | 2033-03-01      | Variable      | 2.43%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31391XEH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    131548 | PA      | $129737.20    | 0.03%             | 2032-08-01      | Variable      | 4.57%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31403VYY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    166727 | PA      | $166798.19    | 0.03%             | 2034-02-01      | Variable      | 3.93%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31389AZ55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3899 | PA      | $3817.77      | 0.00%             | 2038-01-01      | Variable      | 3.58%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31407MEP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7171 | PA      | $7095.60      | 0.00%             | 2035-08-01      | Variable      | 4.09%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31404B2P6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5316 | PA      | $5220.04      | 0.00%             | 2034-01-01      | Variable      | 3.67%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31418NAF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14005 | PA      | $14041.76     | 0.00%             | 2040-04-01      | Variable      | 3.39%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31389AZX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17562 | PA      | $17224.54     | 0.00%             | 2038-06-01      | Variable      | 3.47%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31404UDP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    115982 | PA      | $117748.56    | 0.02%             | 2034-04-01      | Variable      | 2.98%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31400H5W9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     74672 | PA      | $73192.54     | 0.01%             | 2033-03-01      | Variable      | 3.09%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31410GK44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6503 | PA      | $6424.89      | 0.00%             | 2035-10-01      | Variable      | 3.91%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 3138EK6B6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    948892 | PA      | $965690.53    | 0.19%             | 2038-09-01      | Variable      | 3.64%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31404RUN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23141 | PA      | $23493.74     | 0.00%             | 2034-03-01      | Variable      | 4.29%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31379LCK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3186 | PA      | $3192.10      | 0.00%             | 2027-12-01      | Variable      | 4.06%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 3140JA4Y1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3502856 | PA      | $3583730.39   | 0.70%             | 2042-07-01      | Variable      | 3.74%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31410PMX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3134 | PA      | $3102.66      | 0.00%             | 2036-08-01      | Variable      | 4.16%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31402DLJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     38691 | PA      | $38040.00     | 0.01%             | 2034-06-01      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31405RND4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5584 | PA      | $5723.67      | 0.00%             | 2034-08-01      | Variable      | 4.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31409UWR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     55376 | PA      | $55614.57     | 0.01%             | 2036-01-01      | Variable      | 5.37%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31402BSQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8110 | PA      | $8040.77      | 0.00%             | 2033-07-01      | Variable      | 4.17%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31374TU64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7813 | PA      | $7641.04      | 0.00%             | 2029-05-01      | Variable      | 2.48%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31403DFB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    195148 | PA      | $191796.54    | 0.04%             | 2035-05-01      | Variable      | 2.81%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31405UY60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    160784 | PA      | $157673.68    | 0.03%             | 2034-12-01      | Variable      | 3.64%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31406MEP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4866 | PA      | $4919.62      | 0.00%             | 2035-01-01      | Variable      | 5.45%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31401KSS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     84850 | PA      | $84092.96     | 0.02%             | 2033-05-01      | Variable      | 3.41%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31406QGB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11202 | PA      | $11422.85     | 0.00%             | 2035-02-01      | Variable      | 4.86%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31405PP38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5008 | PA      | $5001.49      | 0.00%             | 2034-07-01      | Variable      | 5.55%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31400ARR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17854 | PA      | $18068.51     | 0.00%             | 2033-04-01      | Variable      | 2.83%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31409A5L9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3767 | PA      | $3689.10      | 0.00%             | 2036-03-01      | Variable      | 3.80%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31406WEF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15834 | PA      | $16064.39     | 0.00%             | 2035-06-01      | Variable      | 3.88%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31407CCP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5156 | PA      | $5113.24      | 0.00%             | 2035-07-01      | Variable      | 3.98%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                  | CUSIP: 3128S5XQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    875846 | PA      | $895237.67    | 0.18%             | 2037-06-01      | Variable      | 3.91%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31418UHN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    106668 | PA      | $106816.30    | 0.02%             | 2040-05-01      | Variable      | 3.56%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31375QLS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       778 | PA      | $768.88       | 0.00%             | 2024-06-01      | Variable      | 3.48%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31410GQL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     63195 | PA      | $64557.99     | 0.01%             | 2036-10-01      | Variable      | 3.49%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II                                                | CUSIP: 36225DLD4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     18682 | PA      | $18417.71     | 0.00%             | 2035-01-20      | Variable      | 2.63%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31402DSD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     73953 | PA      | $72347.32     | 0.01%             | 2033-07-01      | Variable      | 4.06%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31361ML80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       867 | PA      | $856.13       | 0.00%             | 2026-09-01      | Variable      | 3.49%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 3140JBVK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6861280 | PA      | $7002606.11   | 1.37%             | 2047-05-01      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31385XK48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     84100 | PA      | $84670.50     | 0.02%             | 2033-07-01      | Variable      | 3.24%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31386G6N8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19747 | PA      | $19248.14     | 0.00%             | 2040-11-01      | Variable      | 3.83%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 3138EGV68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     92031 | PA      | $92395.80     | 0.02%             | 2036-01-01      | Variable      | 3.63%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31418MVF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    562222 | PA      | $566862.60    | 0.11%             | 2037-08-01      | Variable      | 3.47%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31400QZ48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4541 | PA      | $4468.36      | 0.00%             | 2033-04-01      | Variable      | 2.63%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31406GR84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    571060 | PA      | $560649.79    | 0.11%             | 2035-02-01      | Variable      | 3.11%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                  | CUSIP: 3128QJCX2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     87666 | PA      | $86478.45     | 0.02%             | 2036-06-01      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31410GDL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     76441 | PA      | $77984.83     | 0.02%             | 2035-02-01      | Variable      | 4.20%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31405AR70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18034 | PA      | $17692.36     | 0.00%             | 2035-06-01      | Variable      | 2.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31406XTD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    225440 | PA      | $221798.12    | 0.04%             | 2035-06-01      | Variable      | 4.68%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                  | CUSIP: 3128Q2FC2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    176742 | PA      | $175014.35    | 0.03%             | 2035-07-01      | Variable      | 4.55%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31385HKB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       463 | PA      | $459.31       | 0.00%             | 2024-08-01      | Variable      | 3.44%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31385HN32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1875 | PA      | $1860.94      | 0.00%             | 2036-05-01      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31402MPQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3172 | PA      | $3134.46      | 0.00%             | 2034-04-01      | Variable      | 3.22%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31409JSM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42488 | PA      | $41755.55     | 0.01%             | 2036-05-01      | Variable      | 1.88%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                  | CUSIP: 31300LKW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    621913 | PA      | $622307.24    | 0.12%             | 2036-07-01      | Variable      | 3.13%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31401L4L4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2201 | PA      | $2178.37      | 0.00%             | 2033-05-01      | Variable      | 3.19%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31387UEK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       625 | PA      | $614.98       | 0.00%             | 2030-12-01      | Variable      | 4.70%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31414UP36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    101882 | PA      | $100091.97    | 0.02%             | 2037-05-01      | Variable      | 3.03%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 3140JBKS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  48344963 | PA      | $49384052.45  | 9.69%             | 2044-04-01      | Variable      | 3.68%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                  | CUSIP: 3128JRGX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2528191 | PA      | $2569712.79   | 0.50%             | 2035-07-01      | Variable      | 3.07%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 3140JBHN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4190088 | PA      | $4270583.92   | 0.84%             | 2045-09-01      | Variable      | 3.99%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                  | CUSIP: 3128NHML4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    153352 | PA      | $150927.94    | 0.03%             | 2036-01-01      | Variable      | 3.02%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31419AFT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    877345 | PA      | $885664.21    | 0.17%             | 2037-08-01      | Variable      | 2.94%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31410FZG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6197 | PA      | $6093.87      | 0.00%             | 2036-07-01      | Variable      | 3.69%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31404H4G1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5861 | PA      | $5771.01      | 0.00%             | 2034-02-01      | Variable      | 2.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31410G6F5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    312073 | PA      | $309434.33    | 0.06%             | 2036-09-01      | Variable      | 3.67%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31409DSH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34691 | PA      | $33957.96     | 0.01%             | 2036-03-01      | Variable      | 4.61%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31407GCY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1015 | PA      | $1003.13      | 0.00%             | 2035-05-01      | Variable      | 3.76%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31373YXC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1250 | PA      | $1233.18      | 0.00%             | 2024-05-01      | Variable      | 3.09%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31371MAV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11015 | PA      | $10832.07     | 0.00%             | 2035-03-01      | Variable      | 3.45%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31407QG59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18361 | PA      | $18063.06     | 0.00%             | 2035-09-01      | Variable      | 4.42%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31410FWV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28214 | PA      | $28210.33     | 0.01%             | 2037-02-01      | Variable      | 3.36%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                  | CUSIP: 31288QLK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5256905 | PA      | $5315283.25   | 1.04%             | 2046-11-01      | Variable      | 3.22%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31390S3K5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8301 | PA      | $8123.12      | 0.00%             | 2032-05-01      | Variable      | 3.28%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31402RMJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    180758 | PA      | $181164.21    | 0.04%             | 2035-07-01      | Variable      | 2.81%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31416BK56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    112993 | PA      | $114830.65    | 0.02%             | 2035-07-01      | Variable      | 3.55%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31390K5E4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    107571 | PA      | $106317.87    | 0.02%             | 2032-11-01      | Variable      | 3.80%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31406PCY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3317 | PA      | $3256.18      | 0.00%             | 2035-04-01      | Variable      | 2.93%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31403DXK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6510 | PA      | $6420.87      | 0.00%             | 2035-12-01      | Variable      | 3.21%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 4197, Class KF                           | CUSIP: 3137B1TL6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2551965 | PA      | $2517653.78   | 0.49%             | 2037-09-15      | Floating      | 3.53%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                  | CUSIP: 31288QF62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7750521 | PA      | $7794154.23   | 1.53%             | 2047-06-01      | Variable      | 3.37%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31406GNF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     43333 | PA      | $42592.63     | 0.01%             | 2035-02-01      | Variable      | 2.33%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31406DBZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8980 | PA      | $8977.49      | 0.00%             | 2035-02-01      | Variable      | 2.72%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31409XQY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29342 | PA      | $29396.82     | 0.01%             | 2036-03-01      | Variable      | 4.34%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31375HEE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4140 | PA      | $4070.12      | 0.00%             | 2026-02-01      | Variable      | 4.72%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31373T4T4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3481 | PA      | $3438.20      | 0.00%             | 2025-04-01      | Variable      | 3.70%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31406WHP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4985 | PA      | $4933.52      | 0.00%             | 2035-06-01      | Variable      | 3.34%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31402JBV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12674 | PA      | $12311.09     | 0.00%             | 2033-08-01      | Variable      | 3.80%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31389PVL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    117155 | PA      | $114575.01    | 0.02%             | 2032-03-01      | Variable      | 2.83%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31402CQF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1223 | PA      | $1196.86      | 0.00%             | 2039-09-01      | Variable      | 2.87%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31408EKN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    211401 | PA      | $207750.06    | 0.04%             | 2036-01-01      | Variable      | 4.28%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31405JQP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       680 | PA      | $685.96       | 0.00%             | 2034-09-01      | Variable      | 3.67%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31400KQZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6670 | PA      | $6574.46      | 0.00%             | 2033-05-01      | Variable      | 2.67%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31385WUW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21905 | PA      | $21525.62     | 0.00%             | 2032-12-01      | Variable      | 3.77%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31410SC96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11467 | PA      | $11680.84     | 0.00%             | 2036-05-01      | Variable      | 4.61%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31391FFF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23472 | PA      | $23481.89     | 0.00%             | 2027-08-01      | Variable      | 4.78%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31404QF61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4142 | PA      | $4091.66      | 0.00%             | 2034-05-01      | Variable      | 3.03%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                  | CUSIP: 31300LB87<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    194283 | PA      | $190230.29    | 0.04%             | 2036-02-01      | Variable      | 3.78%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                  | CUSIP: 31300MAW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    272970 | PA      | $269362.56    | 0.05%             | 2037-03-01      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31389AZ22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8051 | PA      | $7862.55      | 0.00%             | 2027-11-01      | Variable      | 3.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31403QQG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1545 | PA      | $1513.23      | 0.00%             | 2034-01-01      | Variable      | 4.42%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31406WQP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3731 | PA      | $3786.71      | 0.00%             | 2035-03-01      | Variable      | 4.34%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 3140FCAM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1166079 | PA      | $1179486.54   | 0.23%             | 2046-03-01      | Variable      | 3.19%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31404KRM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37749 | PA      | $37158.49     | 0.01%             | 2034-04-01      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31406WRX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2809 | PA      | $2855.58      | 0.00%             | 2035-05-01      | Variable      | 2.91%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31402A5X0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     46289 | PA      | $46025.02     | 0.01%             | 2033-07-01      | Variable      | 3.17%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31407CEQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19758 | PA      | $19530.79     | 0.00%             | 2035-07-01      | Variable      | 3.70%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31391MCM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20896 | PA      | $20045.71     | 0.00%             | 2033-11-01      | Variable      | 2.92%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31404EAC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34063 | PA      | $33515.27     | 0.01%             | 2034-02-01      | Variable      | 4.01%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31400AMS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     40337 | PA      | $39770.09     | 0.01%             | 2033-01-01      | Variable      | 3.27%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2021-44, Class FA                         | CUSIP: 3136BHC80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6776617 | PA      | $6648224.70   | 1.30%             | 2045-06-25      | Floating      | 3.21%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31403DMV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    411996 | PA      | $411438.39    | 0.08%             | 2036-04-01      | Variable      | 2.96%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31405JFC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    188280 | PA      | $186095.82    | 0.04%             | 2034-09-01      | Variable      | 3.67%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31409XZU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6576 | PA      | $6554.86      | 0.00%             | 2036-01-01      | Variable      | 3.84%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31406VYX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29981 | PA      | $29671.33     | 0.01%             | 2035-06-01      | Variable      | 3.27%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31400ANG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10327 | PA      | $10070.59     | 0.00%             | 2033-01-01      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31418MMV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    250742 | PA      | $246380.10    | 0.05%             | 2036-12-01      | Variable      | 3.42%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31410FWH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    544691 | PA      | $552171.25    | 0.11%             | 2037-02-01      | Variable      | 3.06%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31390RZZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2193 | PA      | $2159.46      | 0.00%             | 2032-11-01      | Variable      | 4.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31403EDZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1937 | PA      | $1984.11      | 0.00%             | 2033-10-01      | Variable      | 4.41%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31406H3G0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4209 | PA      | $4135.45      | 0.00%             | 2034-12-01      | Variable      | 3.81%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31391T4G0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5496 | PA      | $5378.27      | 0.00%             | 2032-11-01      | Variable      | 4.24%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                  | CUSIP: 3128JRFC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    960886 | PA      | $973535.90    | 0.19%             | 2034-12-01      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31385WYA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     65628 | PA      | $64426.98     | 0.01%             | 2039-09-01      | Variable      | 3.32%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31371EMK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3930 | PA      | $3902.54      | 0.00%             | 2023-11-01      | Variable      | 2.83%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31405AEY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    169375 | PA      | $161096.05    | 0.03%             | 2044-04-01      | Variable      | 3.63%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31410QZE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     56498 | PA      | $56000.29     | 0.01%             | 2034-11-01      | Variable      | 4.88%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31405X2Q5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    313723 | PA      | $310894.02    | 0.06%             | 2034-10-01      | Variable      | 3.86%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31407KKY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    172707 | PA      | $170919.55    | 0.03%             | 2035-09-01      | Variable      | 3.89%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31407WSR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16417 | PA      | $16747.91     | 0.00%             | 2035-09-01      | Variable      | 3.98%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                   | CUSIP: 31374M7C2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18754 | PA      | $18535.51     | 0.00%             | 2025-02-01      | Variable      | 4.33%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2023-03-02

**Name of Applicant:** Franklin Investors Securities Trust

**Signature:** Ryan Wheeler

**Name of Signer:** Ryan Wheeler

**Title:** Assistant Treasurer