# EDGAR Filing Document

**Accession Number:** 0000770161
**File Stem:** 0001193125-26-182060
**Filing Date:** 2026-4
**Character Count:** 653107
**Document Hash:** e030aee4e01f805a6388349560fd3f3d
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001193125-26-182060.hdr.sgml**: 20260427

**ACCESSION NUMBER**: 0001193125-26-182060

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20260228

**FILED AS OF DATE**: 20260427

**DATE AS OF CHANGE**: 20260427

**PERIOD START**: 20260831

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** AMERICAN FUNDS INCOME SERIES
- **CENTRAL INDEX KEY:** 0000770161

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 0831

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-04318
- **FILM NUMBER:** 26900897

**BUSINESS ADDRESS:**
- **STREET 1:** 333 S HOPE ST - 55TH FL
- **CITY:** LOS ANGELES
- **STATE:** CA
- **ZIP:** 90071
- **BUSINESS PHONE:** 213-486-9200

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

## Series and Classes Contracts Data

### U.S. Government Securities Fund (Series ID: S000009235)

| Class ID   | Class Name    | Ticker Symbol   |
|:---|:---|:---|
| C000025132 | Class A       | AMUSX           |
| C000025133 | Class R-1     | RGVAX           |
| C000025134 | Class R-2     | RGVBX           |
| C000025135 | Class R-3     | RGVCX           |
| C000025136 | Class R-4     | RGVEX           |
| C000025137 | Class R-5     | RGVFX           |
| C000025139 | Class C       | UGSCX           |
| C000025140 | Class F-1     | UGSFX           |
| C000025141 | Class 529-A   | CGTAX           |
| C000025143 | Class 529-C   | CGTCX           |
| C000025144 | Class 529-E   | CGTEX           |
| C000025145 | Class 529-F-1 | CGTFX           |
| C000068600 | Class F-2     | GVTFX           |
| C000077855 | Class R-6     | RGVGX           |
| C000148357 | Class R-2E    | RGEVX           |
| C000164800 | Class R-5E    | RGVJX           |
| C000179952 | Class F-3     | USGFX           |
| C000189432 | Class 529-T   | TSUGX           |
| C000189433 | Class T       | TUSGX           |
| C000224557 | Class 529-F-2 | FSUGX           |
| C000224558 | Class 529-F-3 | FSUUX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** AMERICAN FUNDS INCOME SERIES

- **b. Investment Company Act file number:** 811-04318

- **c. CIK number of Registrant:** 0000770161

- **d. LEI of Registrant:** B4NSFTV70Q62C8KCLN24

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

  - **Street Address 1:** 333 South Hope Street

  - **City:** Los Angeles

  - **State:** CA

  - **Foreign country:** US

  - **Zip / Postal Code:** 90071

  - **Telephone number:** 9499755000

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

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

- **b. EDGAR series identifier (if any):** S000009235

- **c. LEI of Series:** B4NSFTV70Q62C8KCLN24

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

- **a. Date of fiscal year-end:** 2026-08-31

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $25588808932.84

**Total Liabilities:** $938169204.32

**Net Assets:** $24650639728.52

**Cash Not Reported:** $1719768.05

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -223.995440400000 | **1-Year:** -23144.200000000000 | **5-Year:** -48262.520000000000 | **10-Year:** -25994.090000000000 | **30-Year:** -1889.250000000000

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

- **3-Month:** -2390.460000000000 | **1-Year:** -21355.010000000000 | **5-Year:** -24849.980000000000 | **10-Year:** -10015.340000000000 | **30-Year:** -979.340597300000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000025132 | -0.08%               | 0.05%                | 1.46%                |
| Class ID C000025133 | -0.05%               | -0.01%               | 1.41%                |
| Class ID C000025134 | -0.13%               | -0.01%               | 1.41%                |
| Class ID C000025135 | -0.10%               | 0.03%                | 1.52%                |
| Class ID C000025136 | -0.07%               | 0.06%                | 1.55%                |
| Class ID C000025137 | -0.05%               | 0.16%                | 1.48%                |
| Class ID C000025139 | -0.06%               | -0.01%               | 1.41%                |
| Class ID C000025140 | 0.00%                | 0.04%                | 1.46%                |
| Class ID C000025141 | -0.08%               | 0.05%                | 1.46%                |
| Class ID C000025143 | -0.14%               | -0.02%               | 1.49%                |
| Class ID C000025144 | -0.09%               | 0.03%                | 1.53%                |
| Class ID C000025145 | 0.02%                | 0.06%                | 1.48%                |
| Class ID C000068600 | -0.05%               | 0.07%                | 1.48%                |
| Class ID C000077855 | 0.04%                | 0.09%                | 1.49%                |
| Class ID C000148357 | -0.03%               | 0.02%                | 1.43%                |
| Class ID C000164800 | 0.03%                | 0.07%                | 1.48%                |
| Class ID C000179952 | -0.04%               | 0.09%                | 1.49%                |
| Class ID C000189432 | -0.06%               | 0.15%                | 1.48%                |
| Class ID C000189433 | 0.03%                | 0.07%                | 1.48%                |
| Class ID C000224557 | -0.05%               | 0.07%                | 1.48%                |
| Class ID C000224558 | -0.05%               | 0.08%                | 1.57%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $1658994.54              | $-73234538.27                              |
| Month 2  | $6614881.52              | $-36517745.05                              |
| Month 3  | $1787486.96              | $229969179.09                              |

**Designated Index Information**

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

- **Index Identifier:** I01262US

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.125% 10-31-31                        | CUSIP: 91282CLU3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1111800 | PA      | $1141505.96    | 0.00%             | 2031-10-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.125% 10-31-29                        | CUSIP: 91282CLR0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  99341300 | PA      | $101668141.47  | 0.41%             | 2029-10-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.25% 11-15-34                         | CUSIP: 91282CLW9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 170977800 | PA      | $175681279.59  | 0.71%             | 2034-11-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.125% 11-15-27                        | CUSIP: 91282CLX7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5057000 | PA      | $5116193.20    | 0.02%             | 2027-11-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.5% 11-15-54                          | CUSIP: 912810UE6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6579800 | PA      | $6428867.94    | 0.03%             | 2054-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.625% 11-15-44                        | CUSIP: 912810UF3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3316700 | PA      | $3348778.79    | 0.01%             | 2044-11-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.125% 11-30-31                        | CUSIP: 91282CLZ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  42310000 | PA      | $43440472.43   | 0.18%             | 2031-11-30      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.125% 11-30-29                        | CUSIP: 91282CMA6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 128105600 | PA      | $131139998.92  | 0.53%             | 2029-11-30      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.0% 12-15-27                          | CUSIP: 91282CMB4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 125000000 | PA      | $126281962.50  | 0.51%             | 2027-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.25% 12-31-26                         | CUSIP: 91282CME8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  32704200 | PA      | $32891994.06   | 0.13%             | 2026-12-31      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.5% 12-31-31                          | CUSIP: 91282CMC2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4813600 | PA      | $5036515.41    | 0.02%             | 2031-12-31      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.375% 12-31-29                        | CUSIP: 91282CMD0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 294851700 | PA      | $304544625.30  | 1.24%             | 2029-12-31      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY INFLATION INDEXED BONDS I/L 1.875% 01-15-36 | CUSIP: 91282CPU9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  92759130 | PA      | $94212162.00   | 0.38%             | 2036-01-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 3.75% 01-31-31                         | CUSIP: 91282CPW5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 264000000 | PA      | $266732822.40  | 1.08%             | 2031-01-31      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY BILL 0.0% 07-30-26                          | CUSIP: 912797TQ0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 100000000 | PA      | $98531770.00   | 0.40%             | 2026-07-30      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY INFLATION INDEXED BONDS I/L 2.375% 02-15-56 | CUSIP: 912810US5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 103531035 | PA      | $102277287.00  | 0.41%             | 2056-02-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.0 FA1591 10-01-51                                      | CUSIP: 3140W1XV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1000000 | PA      | $829790.65     | 0.00%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 7.0 MA5795 08-01-55                                      | CUSIP: 31418FNM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3999603 | PA      | $4202586.60    | 0.02%             | 2055-08-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 7.0 RQ0043 08-01-55                                      | CUSIP: 3142J6BM4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1999802 | PA      | $2100457.53    | 0.01%             | 2055-08-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCT UMBS 7.0 MA5841 07-01-45                                      | CUSIP: 31418FP35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1999801 | PA      | $2101511.22    | 0.01%             | 2045-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 7.0 FA4426 04-01-55                                      | CUSIP: 3140W44L8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3999603 | PA      | $4207246.14    | 0.02%             | 2055-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FHR 3156 PO PAC PO 0.0% 05-15-36                                   | CUSIP: 31396RAU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGA              | US        |    255668 | PA      | $227685.32     | 0.00%             | 2036-05-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FHR 3146 PO PAC PO 0.0% 04-15-36                                   | CUSIP: 31396JXH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGA              | US        |    111867 | PA      | $100526.22     | 0.00%             | 2036-04-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCI UMBS 4.0 MA2717 08-01-36                                      | CUSIP: 31418CAT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2138631 | PA      | $2134621.26    | 0.01%             | 2036-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCI UMBS 4.0 MA2746 09-01-36                                      | CUSIP: 31418CBQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2266626 | PA      | $2262254.01    | 0.01%             | 2036-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCT UMBS 4.0 MA2588 04-01-36                                      | CUSIP: 31418B2W5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2501981 | PA      | $2499195.87    | 0.01%             | 2036-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCT UMBS 4.0 AS6870 03-01-36                                      | CUSIP: 3138WGT46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1171345 | PA      | $1169673.04    | 0.00%             | 2036-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCT UMBS 4.0 MA2787 10-01-36                                      | CUSIP: 31418CCZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   4412645 | PA      | $4404164.27    | 0.02%             | 2036-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCT UMBS 4.0 MA2819 11-01-36                                      | CUSIP: 31418CDZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    251510 | PA      | $251011.32     | 0.00%             | 2036-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                    | FGTW 4.0 C91909 11-01-36                                           | CUSIP: 3128P8DN8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     39897 | PA      | $39861.22      | 0.00%             | 2036-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCT UMBS 4.0 MA2856 12-01-36                                      | CUSIP: 31418CE67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      6075 | PA      | $6075.46       | 0.00%             | 2036-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNR 2006-56 OG PAC PO 0.0% 07-25-36                                | CUSIP: 31395NXW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGA              | US        |    139826 | PA      | $125796.44     | 0.00%             | 2036-07-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                    | FGLMC 3.5 Q54701 03-01-48                                          | CUSIP: 3132XXGK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    381290 | PA      | $365355.86     | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                    | FGLMC 3.5 Q52069 11-01-47                                          | CUSIP: 3132XUJP1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    566485 | PA      | $544917.59     | 0.00%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.5 BJ8411 08-01-49                                      | CUSIP: 3140HAKZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    820142 | PA      | $788063.97     | 0.00%             | 2049-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.0 AE1277 11-01-41                                      | CUSIP: 31419BM36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     51008 | PA      | $52508.05      | 0.00%             | 2041-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 4.0 BJ5015 12-01-47                                      | CUSIP: 3140H6SD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    688005 | PA      | $679884.11     | 0.00%             | 2047-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.5 BJ4901 03-01-48                                      | CUSIP: 3140H6NT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    301327 | PA      | $289985.48     | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 4.0 BK9743 08-01-48                                      | CUSIP: 3140HPZH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    171081 | PA      | $168995.81     | 0.00%             | 2048-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.5 BH2848 05-01-47                                      | CUSIP: 3140GREW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     54551 | PA      | $52617.16      | 0.00%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 4.0 CA2850 12-01-48                                      | CUSIP: 3140QAEY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1000799 | PA      | $991074.08     | 0.00%             | 2048-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.5 BE8742 05-01-47                                      | CUSIP: 3140FUWC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    104161 | PA      | $100598.14     | 0.00%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.5 FM1443 09-01-49                                      | CUSIP: 3140X4S98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2320732 | PA      | $2229262.55    | 0.01%             | 2049-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.5 FM1062 06-01-49                                      | CUSIP: 3140X4FC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3103443 | PA      | $2987629.17    | 0.01%             | 2049-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS AT0300 03-01-43                                          | CUSIP: 3138WMKN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     19608 | PA      | $19226.93      | 0.00%             | 2043-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.5 BH2847 05-01-47                                      | CUSIP: 3140GREV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     12002 | PA      | $11548.76      | 0.00%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.0 AD3566 10-01-35                                      | CUSIP: 31418Q6C2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     10355 | PA      | $10610.05      | 0.00%             | 2035-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                    | FGLMC 3.5 Q54782 03-01-48                                          | CUSIP: 3132XXJ42<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    169094 | PA      | $162210.90     | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                    | FGLMC 4.5 Q57242 07-01-48                                          | CUSIP: 3132Y1BL1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    260431 | PA      | $261959.37     | 0.00%             | 2048-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                    | FGLMC 4.5 Q58411 09-01-48                                          | CUSIP: 3132Y2KZ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1054553 | PA      | $1063479.41    | 0.00%             | 2048-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                    | FGLMC 4.0 Q55970 05-01-48                                          | CUSIP: 3132XYT49<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    169667 | PA      | $167572.59     | 0.00%             | 2048-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                    | FGLMC 3.5 Q17696 04-01-43                                          | CUSIP: 3132J87J3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    204972 | PA      | $199141.00     | 0.00%             | 2043-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 4.0 AJ1873 10-01-41                                      | CUSIP: 3138ATCK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    129312 | PA      | $129120.92     | 0.00%             | 2041-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                    | FGLMC 3.5 Q55060 04-01-48                                          | CUSIP: 3132XXTS8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     91789 | PA      | $87839.09      | 0.00%             | 2048-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                    | FGLMC 3.5 Q54698 03-01-48                                          | CUSIP: 3132XXGG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    102635 | PA      | $98717.04      | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.5 AL3829 06-01-43                                      | CUSIP: 3138ELHF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    832800 | PA      | $808773.89     | 0.00%             | 2043-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                    | FGLMC 4.5 Q58436 09-01-48                                          | CUSIP: 3132Y2LS3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    495468 | PA      | $499959.66     | 0.00%             | 2048-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC - SCRT SCRT_17-3                              | SCRT 2017-3 HT 3.25% 07-25-56                                      | CUSIP: 35563PBX6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   1682049 | PA      | $1549435.90    | 0.01%             | 2056-07-25      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC - SCRT SCRT_17-3                              | SCRT 2017-3 MT 3.0% 07-25-56                                       | CUSIP: 35563PBS7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   8401771 | PA      | $7589084.30    | 0.03%             | 2056-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC FHLMC_18-1SC                                  | SCRT 2018-1 HT 3.0% 05-25-57                                       | CUSIP: 35563PDT3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   8752588 | PA      | $7798056.71    | 0.03%             | 2057-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.5 BN6708 06-01-49                                      | CUSIP: 3140JPN27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   8326415 | PA      | $8012017.76    | 0.03%             | 2049-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCI UMBS 3.5 AY1948 01-01-30                                      | CUSIP: 3138YFEW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     50115 | PA      | $49695.02      | 0.00%             | 2030-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.0 BM1179 04-01-47                                      | CUSIP: 3140J5JZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    103948 | PA      | $97423.94      | 0.00%             | 2047-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.0 AS8310 11-01-46                                      | CUSIP: 3138WJGU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    100433 | PA      | $94223.62      | 0.00%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNMDI4 5.5 BF0141 09-01-56                                         | CUSIP: 3140FXEP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    329207 | PA      | $341706.07     | 0.00%             | 2056-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.0 CB2544 01-01-52                                      | CUSIP: 3140QMZJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  16725318 | PA      | $15329272.07   | 0.06%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCT UMBS 2.0 RB5145 02-01-42                                      | CUSIP: 3133KYWE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   7567283 | PA      | $6674298.44    | 0.03%             | 2042-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCT UMBS 2.0 RB5148 03-01-42                                      | CUSIP: 3133KYWH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  16289433 | PA      | $14397415.15   | 0.06%             | 2042-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCT UMBS 2.0 MA4540 02-01-42                                      | CUSIP: 31418EBJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   5925692 | PA      | $5241097.16    | 0.02%             | 2042-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.5 CA5968 06-01-50                                      | CUSIP: 3140QDT20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1804969 | PA      | $1597251.73    | 0.01%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.0 CB2765 02-01-52                                      | CUSIP: 3140QNCB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   6410441 | PA      | $5358936.58    | 0.02%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCT UMBS 2.5 RB5154 04-01-42                                      | CUSIP: 3133KYWP0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        | 101782391 | PA      | $93558577.27   | 0.38%             | 2042-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 2.0 RA3726 10-01-50                                      | CUSIP: 3133KKD71<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1978191 | PA      | $1645210.14    | 0.01%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 2.5 SD7552 01-01-52                                      | CUSIP: 3132DVL94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2530213 | PA      | $2242611.18    | 0.01%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 3.0 SD8213 05-01-52                                      | CUSIP: 3132DWDS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  55475859 | PA      | $50314440.35   | 0.20%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.5 MA4625 06-01-52                                      | CUSIP: 31418ED72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     24147 | PA      | $22780.53      | 0.00%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.0 MA4577 04-01-52                                      | CUSIP: 31418ECP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  19823694 | PA      | $16485959.04   | 0.07%             | 2052-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.0 MA4562 03-01-52                                      | CUSIP: 31418EB82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1601740 | PA      | $1332303.66    | 0.01%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 2.0 SD8204 04-01-52                                      | CUSIP: 3132DWDH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1614193 | PA      | $1342406.81    | 0.01%             | 2052-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 4.5 RA7556 06-01-52                                      | CUSIP: 3133KPMD7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  12259828 | PA      | $12183093.97   | 0.05%             | 2052-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 2.5 SD1450 03-01-52                                      | CUSIP: 3132DNTF0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2034313 | PA      | $1803068.73    | 0.01%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 2.0 RA5288 05-01-51                                      | CUSIP: 3133KL2V8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  23005651 | PA      | $19337423.32   | 0.08%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.0 CB0290 04-01-51                                      | CUSIP: 3140QKKC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   6140327 | PA      | $5132416.52    | 0.02%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 3.5 QD7089 02-01-52                                      | CUSIP: 3133B42W4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1728420 | PA      | $1641858.87    | 0.01%             | 2052-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 2.5 SD1385 11-01-51                                      | CUSIP: 3132DNRE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   4948141 | PA      | $4385705.35    | 0.02%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.5 CB1527 09-01-51                                      | CUSIP: 3140QLVV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   6539217 | PA      | $5736024.44    | 0.02%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.5 FM7900 07-01-51                                      | CUSIP: 3140XBX62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1772754 | PA      | $1571283.96    | 0.01%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.5 CA7257 10-01-50                                      | CUSIP: 3140QFB32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1767514 | PA      | $1565140.66    | 0.01%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.5 FS0523 02-01-52                                      | CUSIP: 3140XFSM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1892672 | PA      | $1669607.16    | 0.01%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 4.0 CB4020 07-01-52                                      | CUSIP: 3140QPPE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     34740 | PA      | $33832.14      | 0.00%             | 2052-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 4.0 QE6678 08-01-52                                      | CUSIP: 3133BGM39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     25503 | PA      | $24900.87      | 0.00%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 4.0 QE9349 09-01-52                                      | CUSIP: 3133BKL64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    867045 | PA      | $846821.63     | 0.00%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 SD3512 08-01-53                                      | CUSIP: 3132DQ3V6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1061909 | PA      | $1096174.07    | 0.00%             | 2053-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.5 RJ1797 06-01-54                                      | CUSIP: 3142GR7K0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  47793523 | PA      | $49724189.66   | 0.20%             | 2054-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 SD5873 07-01-54                                      | CUSIP: 3132DTQ29<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3365137 | PA      | $3466441.29    | 0.01%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.5 MA5470 09-01-54                                      | CUSIP: 31418FCG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    759576 | PA      | $772850.85     | 0.00%             | 2054-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.5 BU4946 09-01-54                                      | CUSIP: 3140M6P80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     96113 | PA      | $97792.86      | 0.00%             | 2054-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 5.5 QJ3044 09-01-54                                      | CUSIP: 3133CTLZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    193361 | PA      | $196833.49     | 0.00%             | 2054-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCI UMBS 2.5 CB2247 11-01-36                                      | CUSIP: 3140QMP99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1692454 | PA      | $1614805.95    | 0.01%             | 2036-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCI UMBS 2.5 MA4773 10-01-37                                      | CUSIP: 31418EJT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    148746 | PA      | $141919.18     | 0.00%             | 2037-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCI UMBS 2.5 MA4665 07-01-37                                      | CUSIP: 31418EFF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    873128 | PA      | $833053.90     | 0.00%             | 2037-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCI UMBS 2.5 CB2248 11-01-36                                      | CUSIP: 3140QMQA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    143232 | PA      | $136839.09     | 0.00%             | 2036-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 4.0 CB4021 06-01-52                                      | CUSIP: 3140QPPF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2395990 | PA      | $2337889.66    | 0.01%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 4.0 CB3379 04-01-52                                      | CUSIP: 3140QNXH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1158112 | PA      | $1132145.64    | 0.00%             | 2052-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.5 FA0608 02-01-55                                      | CUSIP: 3140W0VA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1690733 | PA      | $1719937.18    | 0.01%             | 2055-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 FS8792 08-01-54                                      | CUSIP: 3140XQXW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2070974 | PA      | $2141621.37    | 0.01%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.0 MA5699 05-01-55                                      | CUSIP: 31418FKM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2217981 | PA      | $2230900.49    | 0.01%             | 2055-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 5.0 SD8532 05-01-55                                      | CUSIP: 3132DWPR8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2042072 | PA      | $2053967.14    | 0.01%             | 2055-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.5 MA5735 06-01-55                                      | CUSIP: 31418FLR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  89243565 | PA      | $90771503.64   | 0.37%             | 2055-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 5.5 RQ0013 06-01-55                                      | CUSIP: 3142J6AP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   8682629 | PA      | $8832387.12    | 0.04%             | 2055-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 MA5701 05-01-55                                      | CUSIP: 31418FKP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  43124517 | PA      | $44262486.90   | 0.18%             | 2055-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.0 MA5734 06-01-55                                      | CUSIP: 31418FLQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1128841 | PA      | $1135444.90    | 0.00%             | 2055-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 5.0 RQ0012 06-01-55                                      | CUSIP: 3142J6AN3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   8884656 | PA      | $8937777.54    | 0.04%             | 2055-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 5.0 SL1094 04-01-55                                      | CUSIP: 31427NGC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1194166 | PA      | $1201327.84    | 0.00%             | 2055-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 5.5 SD8533 05-01-55                                      | CUSIP: 3132DWPS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  48512569 | PA      | $49348100.90   | 0.20%             | 2055-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 5.5 SD8524 04-01-55                                      | CUSIP: 3132DWPH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     95794 | PA      | $97441.88      | 0.00%             | 2055-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.5 MA5700 05-01-55                                      | CUSIP: 31418FKN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   4528304 | PA      | $4606295.47    | 0.02%             | 2055-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.5 MA5646 03-01-55                                      | CUSIP: 31418FHY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  10405651 | PA      | $10584066.15   | 0.04%             | 2055-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.0 FS6031 06-01-52                                      | CUSIP: 3140XMVZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1798844 | PA      | $1492378.94    | 0.01%             | 2052-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 2.0 QD5035 01-01-52                                      | CUSIP: 3133B2SY6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   4974883 | PA      | $4127247.35    | 0.02%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.0 BR3771 04-01-51                                      | CUSIP: 3140L2FM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1019554 | PA      | $846247.57     | 0.00%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.0 FM8114 06-01-51                                      | CUSIP: 3140XCAQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  20643180 | PA      | $17126428.27   | 0.07%             | 2051-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.0 BT2052 03-01-52                                      | CUSIP: 3140LQH60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    432245 | PA      | $358598.45     | 0.00%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.0 FM5849 12-01-50                                      | CUSIP: 3140X9QB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1001078 | PA      | $832101.11     | 0.00%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.5 DD6085 04-01-55                                      | CUSIP: 3140B6XP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     64150 | PA      | $66757.84      | 0.00%             | 2055-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.0 FM9783 12-01-51                                      | CUSIP: 3140XD2R6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    483321 | PA      | $400976.92     | 0.00%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 3.0 SD7346 08-01-52                                      | CUSIP: 3132DVET8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     80340 | PA      | $72782.12      | 0.00%             | 2052-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.5 QX8785 03-01-55                                      | CUSIP: 31426FXP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    105609 | PA      | $110403.31     | 0.00%             | 2055-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 3.0 SD6203 06-01-52                                      | CUSIP: 3132DT3L2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1401343 | PA      | $1269108.12    | 0.01%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.5 MA5675 04-01-55                                      | CUSIP: 31418FJV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     22274 | PA      | $23140.52      | 0.00%             | 2055-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.0 FS1507 02-01-52                                      | CUSIP: 3140XGU98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    112063 | PA      | $101624.51     | 0.00%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCI UMBS 6.0 MA5773 07-01-40                                      | CUSIP: 31418FMX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    755071 | PA      | $781291.23     | 0.00%             | 2040-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCI UMBS 6.0 RR0011 07-01-40                                      | CUSIP: 3142JCAM2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    976007 | PA      | $1009897.38    | 0.00%             | 2040-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCI UMBS 6.0 SB8386 05-01-40                                      | CUSIP: 3132D6J76<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    718674 | PA      | $743628.40     | 0.00%             | 2040-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCI UMBS 6.0 SB1452 04-01-40                                      | CUSIP: 3132CXTH5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    730542 | PA      | $756498.43     | 0.00%             | 2040-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCI UMBS 6.0 RR0004 06-01-40                                      | CUSIP: 3142JCAE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1727688 | PA      | $1787925.33    | 0.01%             | 2040-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCI UMBS 6.0 MA5747 06-01-40                                      | CUSIP: 31418FL54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2088553 | PA      | $2161067.93    | 0.01%             | 2040-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCI UMBS 6.0 MA5713 05-01-40                                      | CUSIP: 31418FK30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    422652 | PA      | $437327.41     | 0.00%             | 2040-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 DE2192 07-01-55                                      | CUSIP: 3140BENJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   7560303 | PA      | $7763418.23    | 0.03%             | 2055-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.5 CC0859 08-01-55                                      | CUSIP: 3140Y65V8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1191824 | PA      | $1225340.52    | 0.00%             | 2055-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 CC0879 08-01-55                                      | CUSIP: 3140Y66R6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   4666949 | PA      | $4871730.43    | 0.02%             | 2055-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.0 CB0047 04-01-51                                      | CUSIP: 3140QKBR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    929177 | PA      | $841516.62     | 0.00%             | 2051-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.0 CB2667 01-01-52                                      | CUSIP: 3140QM6D1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     43503 | PA      | $39398.12      | 0.00%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 3.0 QC7486 09-01-51                                      | CUSIP: 3133ASJ79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   5841948 | PA      | $5290795.23    | 0.02%             | 2051-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.5 FP0130 12-01-54                                      | CUSIP: 3140XTEC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  25692282 | PA      | $26691660.67   | 0.11%             | 2054-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.0 FM5218 12-01-50                                      | CUSIP: 3140X8YQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3367333 | PA      | $2801001.48    | 0.01%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.0 FM9930 12-01-51                                      | CUSIP: 3140XEA87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    463336 | PA      | $384393.41     | 0.00%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.0 BQ7059 01-01-52                                      | CUSIP: 3140KSZZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     31120 | PA      | $25824.22      | 0.00%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.5 FS7057 07-01-52                                      | CUSIP: 3140XNZX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     27841 | PA      | $24205.54      | 0.00%             | 2052-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 2.0 QB7817 01-01-51                                      | CUSIP: 3133AEVJ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    863464 | PA      | $716376.88     | 0.00%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 3.5% 09-30-26                          | CUSIP: 91282CLP4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 136000000 | PA      | $135899074.40  | 0.55%             | 2026-09-30      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 3.875% 10-15-27                        | CUSIP: 91282CLQ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2426900 | PA      | $2443992.17    | 0.01%             | 2027-10-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY INFLATION INDEXED BONDS I/L 1.625% 10-15-29 | CUSIP: 91282CLV1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 457315560 | PA      | $468480384.00  | 1.90%             | 2029-10-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 3.75% 04-30-27                         | CUSIP: 91282CMY4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  45034000 | PA      | $45166908.84   | 0.18%             | 2027-04-30      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 3.875% 04-30-30                        | CUSIP: 91282CMZ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  20425500 | PA      | $20741029.04   | 0.08%             | 2030-04-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.75% 05-15-55                         | CUSIP: 912810UK2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1997900 | PA      | $2033821.04    | 0.01%             | 2055-05-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.25% 05-15-35                         | CUSIP: 91282CNC1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6887400 | PA      | $7066041.94    | 0.03%             | 2035-05-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY BILL 0.0% 05-14-26                          | CUSIP: 912797QN0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 150000000 | PA      | $148909185.00  | 0.60%             | 2026-05-14      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 5.0% 05-15-45                          | CUSIP: 912810UL0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 101554900 | PA      | $107369821.86  | 0.44%             | 2045-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 3.875% 05-31-27                        | CUSIP: 91282CNE7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  56788400 | PA      | $57062557.36   | 0.23%             | 2027-05-31      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.12% 05-31-32                         | CUSIP: 91282CNF4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 137459900 | PA      | $141049747.76  | 0.57%             | 2032-05-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.0% 05-31-30                          | CUSIP: 91282CNG2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3548800 | PA      | $3621361.96    | 0.01%             | 2030-05-31      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 3.75% 06-30-27                         | CUSIP: 91282CNL1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 418582000 | PA      | $420159426.27  | 1.70%             | 2027-06-30      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.0% 06-30-32                          | CUSIP: 91282CNJ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 215000000 | PA      | $219085924.50  | 0.89%             | 2032-06-30      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.0% 07-31-32                          | CUSIP: 91282CNR8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  15000000 | PA      | $15279027.00   | 0.06%             | 2032-07-31      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 3.875% 07-31-27                        | CUSIP: 91282CNP2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  28432400 | PA      | $28599952.13   | 0.12%             | 2027-07-31      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.25% 08-15-35                         | CUSIP: 91282CNT4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  67000000 | PA      | $68680232.70   | 0.28%             | 2035-08-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.75% 08-15-55                         | CUSIP: 912810UM8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 343995300 | PA      | $350388349.45  | 1.42%             | 2055-08-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.875% 08-15-45                        | CUSIP: 912810UN6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4549000 | PA      | $4732654.96    | 0.02%             | 2045-08-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 3.62% 08-31-27                         | CUSIP: 91282CNV9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  44546300 | PA      | $44666129.55   | 0.18%             | 2027-08-31      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY BILL 0.0% 03-05-26                          | CUSIP: 912797RV1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 300000000 | PA      | $299909730.00  | 1.22%             | 2026-03-05      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 3.625% 10-31-30                        | CUSIP: 91282CPD7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 100599600 | PA      | $101106008.33  | 0.41%             | 2030-10-31      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 3.5% 10-31-27                          | CUSIP: 91282CPE5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 489004800 | PA      | $489602755.07  | 1.99%             | 2027-10-31      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 4.0 CB3774 06-01-52                                      | CUSIP: 3140QPFQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  30008067 | PA      | $29302697.61   | 0.12%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 5.0 SD8276 12-01-52                                      | CUSIP: 3132DWFR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  19140308 | PA      | $19335195.07   | 0.08%             | 2052-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.5 BQ7564 11-01-50                                      | CUSIP: 3140KTMN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     75208 | PA      | $65365.63      | 0.00%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.5 BN9135 04-01-51                                      | CUSIP: 3140JSEH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1225780 | PA      | $1063854.76    | 0.00%             | 2051-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 4.0 BW6180 08-01-52                                      | CUSIP: 3140MX2N3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    236593 | PA      | $231568.63     | 0.00%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 3.0 QD3209 12-01-51                                      | CUSIP: 3133B0R62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   7022876 | PA      | $6360253.85    | 0.03%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.5 FS0502 01-01-52                                      | CUSIP: 3140XFRY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    183948 | PA      | $159642.59     | 0.00%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 MA4894 01-01-53                                      | CUSIP: 31418ENL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  26304219 | PA      | $27125042.58   | 0.11%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 SD8301 02-01-53                                      | CUSIP: 3132DWGJ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   8116947 | PA      | $8389822.03    | 0.03%             | 2053-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 SD8290 01-01-53                                      | CUSIP: 3132DWF73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        | 127296371 | PA      | $131575693.51  | 0.53%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 2.0 QD8820 03-01-52                                      | CUSIP: 3133B6YR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    247489 | PA      | $205320.32     | 0.00%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 MA4920 02-01-53                                      | CUSIP: 31418EPE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1764555 | PA      | $1821832.27    | 0.01%             | 2053-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.0 CA7325 10-01-50                                      | CUSIP: 3140QFD71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3583786 | PA      | $3042835.11    | 0.01%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.0 FM6548 03-01-51                                      | CUSIP: 3140XAH21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   8841547 | PA      | $7502353.27    | 0.03%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 2.0 RA6973 03-01-52                                      | CUSIP: 3133KNXA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   8773093 | PA      | $7286693.94    | 0.03%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 FS3759 02-01-53                                      | CUSIP: 3140XKE97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   7954765 | PA      | $8354555.26    | 0.03%             | 2053-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 3.0 SD0734 10-01-51                                      | CUSIP: 3132DMY74<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    423227 | PA      | $388996.09     | 0.00%             | 2051-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.0 CB1304 08-01-51                                      | CUSIP: 3140QLNW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    267158 | PA      | $241950.42     | 0.00%             | 2051-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 3.0 SD0813 01-01-52                                      | CUSIP: 3132DM3W3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    797436 | PA      | $732781.59     | 0.00%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.0 BV3076 02-01-52                                      | CUSIP: 3140MGM24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   4372428 | PA      | $3628542.22    | 0.01%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.5 MA4963 03-01-53                                      | CUSIP: 31418EQR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     52881 | PA      | $49888.08      | 0.00%             | 2053-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.5 947337 10-01-37                                      | CUSIP: 31413J4W1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |       272 | PA      | $282.18        | 0.00%             | 2037-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.5 954832 01-01-38                                      | CUSIP: 31413THH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      1056 | PA      | $1103.84       | 0.00%             | 2038-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.5 CB3353 04-01-52                                      | CUSIP: 3140QNWP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    734701 | PA      | $638749.61     | 0.00%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.0% 11-15-52                          | CUSIP: 912810TL2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  19213700 | PA      | $17268774.00   | 0.07%             | 2052-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 3.875% 11-30-27                        | CUSIP: 91282CFZ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  44000000 | PA      | $44344867.60   | 0.18%             | 2027-11-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 3.875% 12-31-27                        | CUSIP: 91282CGC9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 427847900 | PA      | $431391079.60  | 1.75%             | 2027-12-31      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 4.0 BH3122 06-01-47                                      | CUSIP: 3140GRPG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     33902 | PA      | $33488.76      | 0.00%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS AE1283 12-01-41                                          | CUSIP: 31419BM93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     23884 | PA      | $24519.22      | 0.00%             | 2041-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 4.5 BK9761 08-01-48                                      | CUSIP: 3140HPZ34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     86512 | PA      | $87410.62      | 0.00%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| TENNESSEE VALLEY AUTHORITY                                | TVA BOND 4.65% 06-15-35                                            | CUSIP: 880591DX7<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGA              | US        |   4480000 | PA      | $4630254.27    | 0.02%             | 2035-06-15      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| TENNESSEE VALLEY AUTHORITY                                | TVA BOND 5.88% 04-01-36                                            | CUSIP: 880591CS9<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGA              | US        |   3625000 | PA      | $4146265.94    | 0.02%             | 2036-04-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| TENNESSEE VALLEY AUTHORITY                                | TVA BOND 2.875% 02-01-27                                           | CUSIP: 880591EU2<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGA              | US        |   5000000 | PA      | $4969761.00    | 0.02%             | 2027-02-01      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.375% 12-15-26                        | CUSIP: 91282CJP7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  70285700 | PA      | $70733223.11   | 0.29%             | 2026-12-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 3.625% 12-31-30                        | CUSIP: 91282CPR6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  23265900 | PA      | $23377685.67   | 0.09%             | 2030-12-31      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 3.875% 12-31-32                        | CUSIP: 91282CPQ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  53000000 | PA      | $53523788.40   | 0.22%             | 2032-12-31      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 4.0 BK6840 06-01-48                                      | CUSIP: 3140HLS64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    563430 | PA      | $556562.56     | 0.00%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.0 AC0794 10-01-39                                      | CUSIP: 31417J3C2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     66089 | PA      | $68044.12      | 0.00%             | 2039-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.5 AX8521 12-01-44                                      | CUSIP: 3138YAPF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    126156 | PA      | $121764.68     | 0.00%             | 2044-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 3.5 QA2748 09-01-49                                      | CUSIP: 31339SBR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    354130 | PA      | $340172.91     | 0.00%             | 2049-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                    | FGLMC 3.5 Q28558 09-01-44                                          | CUSIP: 3132M9E75<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1175236 | PA      | $1136326.71    | 0.00%             | 2044-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                    | FGLMC 4.0 Q55971 05-01-48                                          | CUSIP: 3132XYT56<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    354814 | PA      | $350435.14     | 0.00%             | 2048-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.5 AR1512 01-01-43                                      | CUSIP: 3138NXVE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    186567 | PA      | $181001.35     | 0.00%             | 2043-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                    | FGLMC 3.5 Q54709 03-01-48                                          | CUSIP: 3132XXGT0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    367328 | PA      | $352738.67     | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                    | FGLMC 3.5 Q56590 06-01-48                                          | CUSIP: 3132Y0KC3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    204544 | PA      | $196671.18     | 0.00%             | 2048-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.0 AE1248 06-01-41                                      | CUSIP: 31419BL60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    121623 | PA      | $125276.00     | 0.00%             | 2041-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                    | FGLMC 3.5 Q56589 06-01-48                                          | CUSIP: 3132Y0KB5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    120751 | PA      | $116417.18     | 0.00%             | 2048-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.5 CA4151 09-01-49                                      | CUSIP: 3140QBTH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   4135954 | PA      | $3980243.31    | 0.02%             | 2049-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                    | FGLMC 4.0 Q15874 02-01-43                                          | CUSIP: 3132J66L3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     21175 | PA      | $21040.47      | 0.00%             | 2043-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.5 BE5017 02-01-45                                      | CUSIP: 3140FQSF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    504442 | PA      | $486885.32     | 0.00%             | 2045-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                    | FGLMC 4.5 Q58378 09-01-48                                          | CUSIP: 3132Y2JY3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    333656 | PA      | $335810.91     | 0.00%             | 2048-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.5 AY1829 12-01-44                                      | CUSIP: 3138YFA79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     63008 | PA      | $60960.75      | 0.00%             | 2044-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.5 AT0412 03-01-43                                      | CUSIP: 3138WMN64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     81863 | PA      | $79187.86      | 0.00%             | 2043-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                    | FGLMC 3.5 Q51622 10-01-47                                          | CUSIP: 3132XTYU6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    443431 | PA      | $420965.57     | 0.00%             | 2047-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                    | FGLMC 3.5 Q47615 04-01-47                                          | CUSIP: 3132WMN91<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    440860 | PA      | $418888.42     | 0.00%             | 2047-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.5 AT3954 04-01-43                                      | CUSIP: 3138WRMC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     28586 | PA      | $27727.34      | 0.00%             | 2043-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.0 FM9976 12-01-51                                      | CUSIP: 3140XECN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   7798793 | PA      | $7220239.58    | 0.03%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 3.5 SD0873 02-01-52                                      | CUSIP: 3132DM6J9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  17595944 | PA      | $16807892.12   | 0.07%             | 2052-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.0 FM7687 06-01-51                                      | CUSIP: 3140XBRH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2282970 | PA      | $2108743.24    | 0.01%             | 2051-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 1.25% 12-31-26                         | CUSIP: 91282CDQ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  35000000 | PA      | $34347852.00   | 0.14%             | 2026-12-31      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY INFLATION INDEXED BONDS I/L 0.125% 01-15-32 | CUSIP: 91282CDX6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  61485365 | PA      | $57546441.24   | 0.23%             | 2032-01-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 1.75% 01-31-29                         | CUSIP: 91282CDW8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  25000000 | PA      | $23870117.50   | 0.10%             | 2029-01-31      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNR 2006-83 AO PAC PO 0.0% 09-25-36                                | CUSIP: 31396KD74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGA              | US        |    198177 | PA      | $180376.42     | 0.00%             | 2036-09-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FHR 3213 OG PAC PO 0.0% 09-15-36                                   | CUSIP: 31397B2P5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGA              | US        |     77631 | PA      | $73307.07      | 0.00%             | 2036-09-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNR 2001-25 ZA 6.5% 06-25-31                                       | CUSIP: 31359SU65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGA              | US        |     34769 | PA      | $35174.86      | 0.00%             | 2031-06-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                    | FGLMC 3.5 Q54781 03-01-48                                          | CUSIP: 3132XXJ34<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    223184 | PA      | $214813.16     | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                    | FGLMC 3.5 Q54699 03-01-48                                          | CUSIP: 3132XXGH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    160066 | PA      | $154050.73     | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                    | FGLMC 3.5 Q54831 03-01-48                                          | CUSIP: 3132XXLM9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    110114 | PA      | $106265.86     | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                    | FGLMC 4.0 Q56599 06-01-48                                          | CUSIP: 3132Y0KM1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    586410 | PA      | $579896.61     | 0.00%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                    | FGLMC 3.5 Q18236 05-01-43                                          | CUSIP: 3132J9S25<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    275436 | PA      | $267684.94     | 0.00%             | 2043-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.5 BE8740 05-01-47                                      | CUSIP: 3140FUWA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    411191 | PA      | $395007.31     | 0.00%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.0 CA9308 02-01-51                                      | CUSIP: 3140QHKW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    198171 | PA      | $179781.62     | 0.00%             | 2051-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNMDI6 3.0 BF0497 07-01-60                                         | CUSIP: 3140FXRT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  20591448 | PA      | $18359458.70   | 0.07%             | 2060-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNMDI4 3.5 BF0481 06-01-60                                         | CUSIP: 3140FXRB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   9679800 | PA      | $9068898.13    | 0.04%             | 2060-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNMDI4 3.5 BF0379 04-01-59                                         | CUSIP: 3140FXM58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  14760595 | PA      | $13831252.85   | 0.06%             | 2059-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.0 CB0041 04-01-51                                      | CUSIP: 3140QKBK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  26242675 | PA      | $24301189.27   | 0.10%             | 2051-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCT UMBS 2.0 MA4333 05-01-41                                      | CUSIP: 31418DY71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  24205658 | PA      | $21675754.98   | 0.09%             | 2041-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNMDI4 3.5 BF0480 06-01-60                                         | CUSIP: 3140FXRA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   6175585 | PA      | $5785850.24    | 0.02%             | 2060-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.0 MA4208 12-01-50                                      | CUSIP: 31418DVA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2226449 | PA      | $1864219.03    | 0.01%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCT UMBS 2.0 MA4586 04-01-42                                      | CUSIP: 31418ECY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2566557 | PA      | $2268453.59    | 0.01%             | 2042-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 2.5 SD7548 11-01-51                                      | CUSIP: 3132DVL52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3557930 | PA      | $3153379.04    | 0.01%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.5 FS0433 12-01-51                                      | CUSIP: 3140XFPT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  33104982 | PA      | $29627303.44   | 0.12%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.0 AJ5391 11-01-41                                      | CUSIP: 3138AW7D9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    113462 | PA      | $116818.71     | 0.00%             | 2041-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                    | FGLMC 5.0 G06459 05-01-41                                          | CUSIP: 3128M8QL1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    780468 | PA      | $805031.27     | 0.00%             | 2041-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 2.0 SD8128 02-01-51                                      | CUSIP: 3132DWA52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    363386 | PA      | $303962.55     | 0.00%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 2.0 SD8134 03-01-51                                      | CUSIP: 3132DWBB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    604581 | PA      | $505463.59     | 0.00%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 2.0 SD8106 11-01-50                                      | CUSIP: 3132DWAF0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  11517474 | PA      | $9641254.10    | 0.04%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 3.0 SD7544 07-01-51                                      | CUSIP: 3132DVLZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1254332 | PA      | $1156934.28    | 0.00%             | 2051-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCT UMBS 2.0 RB5121 08-01-41                                      | CUSIP: 3133KYVN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  79249867 | PA      | $70213242.65   | 0.28%             | 2041-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.5 AL1308 05-01-39                                      | CUSIP: 3138EHN24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |       510 | PA      | $544.04        | 0.00%             | 2039-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FHARM FRN 8D0226 05-01-52                                          | CUSIP: 3142BNHB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   5069644 | PA      | $4752993.68    | 0.02%             | 2052-05-01      | Variable      | 2.54%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.5 CB0457 05-01-51                                      | CUSIP: 3140QKQK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   4852405 | PA      | $4265336.72    | 0.02%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 2.5 RA5259 05-01-51                                      | CUSIP: 3133KLZY6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   4744443 | PA      | $4170422.24    | 0.02%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 2.5 SD7554 04-01-52                                      | CUSIP: 3132DVMB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1141320 | PA      | $1010294.09    | 0.00%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.5 CA8828 02-01-51                                      | CUSIP: 3140QGY27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   7686708 | PA      | $6785695.49    | 0.03%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.0 FS0647 02-01-52                                      | CUSIP: 3140XFWH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   4747861 | PA      | $4376768.14    | 0.02%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 2.0 RA6406 11-01-51                                      | CUSIP: 3133KNDK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   4673480 | PA      | $3900406.98    | 0.02%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNMDI4 4.5 BF0585 12-01-61                                         | CUSIP: 3140FXUK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3930935 | PA      | $3894275.28    | 0.02%             | 2061-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.5 CB2286 12-01-51                                      | CUSIP: 3140QMRG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  11748617 | PA      | $10378293.31   | 0.04%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.5 CA6593 08-01-50                                      | CUSIP: 3140QEKF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   8346826 | PA      | $7387024.43    | 0.03%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 4.5 BW1192 09-01-52                                      | CUSIP: 3140MSKE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   7903792 | PA      | $7854330.55    | 0.03%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 4.5 BW8497 09-01-52                                      | CUSIP: 3140N1NP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   5425298 | PA      | $5398572.99    | 0.02%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 RA9281 06-01-53                                      | CUSIP: 3133KRJ21<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2764981 | PA      | $2862944.05    | 0.01%             | 2053-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.5 RA9291 06-01-53                                      | CUSIP: 3133KRKC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2515825 | PA      | $2619328.13    | 0.01%             | 2053-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.5 RA9292 06-01-53                                      | CUSIP: 3133KRKD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   7525563 | PA      | $7879076.20    | 0.03%             | 2053-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 RA9283 06-01-53                                      | CUSIP: 3133KRJ47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   4240786 | PA      | $4381720.42    | 0.02%             | 2053-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.5 RA9294 06-01-53                                      | CUSIP: 3133KRKF0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   8408186 | PA      | $8795610.30    | 0.04%             | 2053-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 RA9284 06-01-53                                      | CUSIP: 3133KRJ54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2390937 | PA      | $2507189.61    | 0.01%             | 2053-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.5 RA9295 06-01-53                                      | CUSIP: 3133KRKG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2610787 | PA      | $2795139.86    | 0.01%             | 2053-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 5.5 SD8342 07-01-53                                      | CUSIP: 3132DWHT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        | 229283808 | PA      | $233960738.81  | 0.95%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.5 BX8556 04-01-53                                      | CUSIP: 3140NDQJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   6209501 | PA      | $6330884.65    | 0.03%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.5 BY0091 05-01-53                                      | CUSIP: 3140NGC57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1355329 | PA      | $1382187.42    | 0.01%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.5 BY0204 05-01-53                                      | CUSIP: 3140NGGN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   4677015 | PA      | $4814108.11    | 0.02%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.5 BX7779 03-01-53                                      | CUSIP: 3140NCUD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   4895561 | PA      | $5006288.73    | 0.02%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 5.5 QG3365 05-01-53                                      | CUSIP: 3133C3W28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   4057871 | PA      | $4159423.01    | 0.02%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 5.5 QG5136 06-01-53                                      | CUSIP: 3133C5V57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    457893 | PA      | $467336.93     | 0.00%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.5 BY0849 05-01-53                                      | CUSIP: 3140NG5K2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     46776 | PA      | $47752.32      | 0.00%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.5 BY0007 04-01-53                                      | CUSIP: 3140NGAH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   5195589 | PA      | $5305496.32    | 0.02%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 5.5 QG4732 06-01-53                                      | CUSIP: 3133C5HH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     34666 | PA      | $35384.07      | 0.00%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.5 FS4152 03-01-53                                      | CUSIP: 3140XKTJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3463613 | PA      | $3535420.41    | 0.01%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 5.5 QF8351 03-01-53                                      | CUSIP: 3133BWH48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1519456 | PA      | $1552068.05    | 0.01%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 5.5 QF4136 12-01-52                                      | CUSIP: 3133BRSZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    256240 | PA      | $261248.99     | 0.00%             | 2052-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 5.5 QF4188 12-01-52                                      | CUSIP: 3133BRUM4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    736577 | PA      | $751192.06     | 0.00%             | 2052-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 5.5 QG2197 05-01-53                                      | CUSIP: 3133C2NN4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3745941 | PA      | $3855746.16    | 0.02%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 BY4224 06-01-53                                      | CUSIP: 3140NLVS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1037964 | PA      | $1079479.87    | 0.00%             | 2053-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 BW5303 06-01-53                                      | CUSIP: 3140MW3M6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    128015 | PA      | $131763.03     | 0.00%             | 2053-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.5 CA7739 11-01-50                                      | CUSIP: 3140QFS59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  19971167 | PA      | $17550880.93   | 0.07%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.5 FS4774 03-01-53                                      | CUSIP: 3140XLJU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    336986 | PA      | $344063.68     | 0.00%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 CB5919 03-01-53                                      | CUSIP: 3140QRSH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   8423157 | PA      | $8692790.76    | 0.04%             | 2053-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 BX6121 01-01-53                                      | CUSIP: 3140NAYT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  10233530 | PA      | $10670870.52   | 0.04%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 BX6803 03-01-53                                      | CUSIP: 3140NBRZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   5690655 | PA      | $5875539.13    | 0.02%             | 2053-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 QG3763 05-01-53                                      | CUSIP: 3133C4FC3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   8872411 | PA      | $9170675.33    | 0.04%             | 2053-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 MA5191 11-01-53                                      | CUSIP: 31418EXV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   5515968 | PA      | $5661495.45    | 0.02%             | 2053-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 RA9857 09-01-53                                      | CUSIP: 3133KR5S9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  19696890 | PA      | $20327407.59   | 0.08%             | 2053-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 RA9636 08-01-53                                      | CUSIP: 3133KRV50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3147520 | PA      | $3244797.52    | 0.01%             | 2053-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 SD8373 11-01-53                                      | CUSIP: 3132DWJS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   9226351 | PA      | $9483664.58    | 0.04%             | 2053-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 QG9159 08-01-53                                      | CUSIP: 3133CAE89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   8997831 | PA      | $9312107.47    | 0.04%             | 2053-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 BY8293 08-01-53                                      | CUSIP: 3140NRGB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1221878 | PA      | $1256534.07    | 0.01%             | 2053-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 3.0 QC4305 07-01-51                                      | CUSIP: 3133ANYA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   5636577 | PA      | $5104766.26    | 0.02%             | 2051-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 2.5 QC7739 09-01-51                                      | CUSIP: 3133ASS46<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    215253 | PA      | $186812.24     | 0.00%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 3.0 QC5857 08-01-51                                      | CUSIP: 3133AQQJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   9040651 | PA      | $8187737.97    | 0.03%             | 2051-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.0 BV3101 03-01-52                                      | CUSIP: 3140MGNT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1613283 | PA      | $1338633.09    | 0.01%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.0 CB0381 05-01-51                                      | CUSIP: 3140QKM70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   4507633 | PA      | $3739766.71    | 0.02%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.5 CB1394 08-01-51                                      | CUSIP: 3140QLRQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  15665662 | PA      | $13595961.95   | 0.06%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 CB5912 03-01-53                                      | CUSIP: 3140QRSA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   6439518 | PA      | $6667657.22    | 0.03%             | 2053-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 4.5 CB6471 06-01-53                                      | CUSIP: 3140QSFM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3078740 | PA      | $3056459.02    | 0.01%             | 2053-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.5 FS4712 04-01-52                                      | CUSIP: 3140XLGW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    224799 | PA      | $195096.75     | 0.00%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCI UMBS 2.5 MA4628 06-01-37                                      | CUSIP: 31418EEA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1884623 | PA      | $1798465.66    | 0.01%             | 2037-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.5 SD8374 11-01-53                                      | CUSIP: 3132DWJT1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    256192 | PA      | $266438.17     | 0.00%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 3.0 ZN4636 10-01-48                                      | CUSIP: 3131YBEH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   7610143 | PA      | $7025935.24    | 0.03%             | 2048-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 MA5216 12-01-53                                      | CUSIP: 31418EYN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   6621565 | PA      | $6816073.90    | 0.03%             | 2053-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 MA5166 10-01-53                                      | CUSIP: 31418EW48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   7500226 | PA      | $7722832.19    | 0.03%             | 2053-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.0 BV4128 03-01-52                                      | CUSIP: 3140MHSS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2248957 | PA      | $1871352.70    | 0.01%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 5.5 SD8362 09-01-53                                      | CUSIP: 3132DWJF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  16638128 | PA      | $16971989.05   | 0.07%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 4.5 SD8370 11-01-53                                      | CUSIP: 3132DWJP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   8799307 | PA      | $8720667.68    | 0.04%             | 2053-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 SD8396 01-01-54                                      | CUSIP: 3132DWKH5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  13370250 | PA      | $13750968.15   | 0.06%             | 2054-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 MA5139 09-01-53                                      | CUSIP: 31418EV98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    780716 | PA      | $805394.64     | 0.00%             | 2053-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 MA5247 01-01-54                                      | CUSIP: 31418EZM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  10721657 | PA      | $11031095.19   | 0.04%             | 2054-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 SD8402 02-01-54                                      | CUSIP: 3132DWKP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2481951 | PA      | $2550391.30    | 0.01%             | 2054-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 CB7438 11-01-53                                      | CUSIP: 3140QTHQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  28060525 | PA      | $28934750.74   | 0.12%             | 2053-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 CB7122 09-01-53                                      | CUSIP: 3140QS4G3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  27039931 | PA      | $27876735.34   | 0.11%             | 2053-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 CB7480 11-01-53                                      | CUSIP: 3140QTJ26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  20207880 | PA      | $20821208.87   | 0.08%             | 2053-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 CB7862 01-01-54                                      | CUSIP: 3140QTWY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  16274804 | PA      | $16763276.26   | 0.07%             | 2054-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.5 RJ0856 02-01-54                                      | CUSIP: 3142GQ5S7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  14746734 | PA      | $15355656.64   | 0.06%             | 2054-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 CB7932 02-01-54                                      | CUSIP: 3140QTY60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  23658242 | PA      | $24384716.15   | 0.10%             | 2054-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.5 CB7933 02-01-54                                      | CUSIP: 3140QTY78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  16131193 | PA      | $16760213.09   | 0.07%             | 2054-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 RJ0940 02-01-54                                      | CUSIP: 3142GRBJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  11927983 | PA      | $12276888.59   | 0.05%             | 2054-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 CB7617 12-01-53                                      | CUSIP: 3140QTPB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   4202394 | PA      | $4328730.74    | 0.02%             | 2053-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 CB8003 02-01-54                                      | CUSIP: 3140QT3M9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  50270234 | PA      | $51764566.76   | 0.21%             | 2054-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.0 FS7252 11-01-53                                      | CUSIP: 3140XPBW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  22792849 | PA      | $23006258.51   | 0.09%             | 2053-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.5 CB7624 12-01-53                                      | CUSIP: 3140QTPJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        | 116672872 | PA      | $121525297.08  | 0.49%             | 2053-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 SD4906 02-01-54                                      | CUSIP: 3132DSNX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  14373070 | PA      | $14830306.25   | 0.06%             | 2054-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.5 FS6873 01-01-54                                      | CUSIP: 3140XNT79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  15895449 | PA      | $16537481.65   | 0.07%             | 2054-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 5.5 RJ1066 03-01-54                                      | CUSIP: 3142GRFG0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  15390686 | PA      | $15759431.73   | 0.06%             | 2054-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 SD4699 01-01-54                                      | CUSIP: 3132DSGG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  42980510 | PA      | $44356358.80   | 0.18%             | 2054-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 RJ1076 03-01-54                                      | CUSIP: 3142GRFS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1642762 | PA      | $1693781.35    | 0.01%             | 2054-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 SD4964 02-01-54                                      | CUSIP: 3132DSQR6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3056173 | PA      | $3185760.45    | 0.01%             | 2054-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.5 MA5296 03-01-54                                      | CUSIP: 31418E3E8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   5720971 | PA      | $5823714.00    | 0.02%             | 2054-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 5.5 SD8408 03-01-54                                      | CUSIP: 3132DWKV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  23080894 | PA      | $23490118.01   | 0.10%             | 2054-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 CB8163 03-01-54                                      | CUSIP: 3140QUB96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   6722946 | PA      | $6936823.52    | 0.03%             | 2054-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 CB8153 03-01-54                                      | CUSIP: 3140QUBX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  23462097 | PA      | $24491472.76   | 0.10%             | 2054-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.5 CB8143 03-01-54                                      | CUSIP: 3140QUBM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  14730356 | PA      | $15108616.41   | 0.06%             | 2054-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.5 CB8148 03-01-54                                      | CUSIP: 3140QUBS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  10061643 | PA      | $10295385.29   | 0.04%             | 2054-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 CB8168 03-01-54                                      | CUSIP: 3140QUCE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  23859944 | PA      | $24575813.42   | 0.10%             | 2054-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.5 FS4191 03-01-53                                      | CUSIP: 3140XKUR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    376639 | PA      | $386310.09     | 0.00%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 RA8748 03-01-53                                      | CUSIP: 3133KQWH5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  10172256 | PA      | $10618513.14   | 0.04%             | 2053-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 5.5 RJ1216 04-01-54                                      | CUSIP: 3142GRK66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   6875857 | PA      | $7052421.65    | 0.03%             | 2054-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 5.5 RJ1215 04-01-54                                      | CUSIP: 3142GRK58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1123934 | PA      | $1145363.75    | 0.00%             | 2054-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 SD5117 03-01-54                                      | CUSIP: 3132DSVJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  35256039 | PA      | $36463770.23   | 0.15%             | 2054-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FARM 2024-1                                               | FARM 2024-1 A 144A FRN 10-01-53                                    | CUSIP: 30335JAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |  12524870 | PA      | $12288650.62   | 0.05%             | 2053-10-01      | Variable      | 4.68%                 | Yes           |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.5 FS6668 12-01-53                                      | CUSIP: 3140XNMS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    230104 | PA      | $234402.73     | 0.00%             | 2053-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 FS5343 07-01-53                                      | CUSIP: 3140XL5D6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3108756 | PA      | $3213269.21    | 0.01%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.5 FS6809 02-01-54                                      | CUSIP: 3140XNR71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    686171 | PA      | $699752.05     | 0.00%             | 2054-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.5 MA5215 12-01-53                                      | CUSIP: 31418EYM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2170717 | PA      | $2212185.98    | 0.01%             | 2053-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 SD4546 10-01-53                                      | CUSIP: 3132DSBP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  21137652 | PA      | $21831939.61   | 0.09%             | 2053-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 BY8355 08-01-53                                      | CUSIP: 3140NRH90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   7193511 | PA      | $7392850.42    | 0.03%             | 2053-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.5 CB8328 04-01-54                                      | CUSIP: 3140QUHE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  30126944 | PA      | $30900543.28   | 0.13%             | 2054-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.5 CB8337 04-01-54                                      | CUSIP: 3140QUHP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   6490879 | PA      | $6619852.31    | 0.03%             | 2054-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 RJ1348 04-01-54                                      | CUSIP: 3142GRQA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    783887 | PA      | $810598.61     | 0.00%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.5 CB8387 04-01-54                                      | CUSIP: 3140QUJ98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  14173963 | PA      | $14838693.19   | 0.06%             | 2054-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 5.5 SD3386 07-01-53                                      | CUSIP: 3132DQXP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   8436598 | PA      | $8613252.03    | 0.03%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 SD4975 02-01-54                                      | CUSIP: 3132DSQ47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3464730 | PA      | $3560321.80    | 0.01%             | 2054-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.0 BV8976 08-01-52                                      | CUSIP: 3140MN6N1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3845289 | PA      | $3917011.52    | 0.02%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 4.5 FS5520 01-01-53                                      | CUSIP: 3140XMD29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1687434 | PA      | $1675532.68    | 0.01%             | 2053-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 RJ1429 05-01-54                                      | CUSIP: 3142GRST8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   7069066 | PA      | $7291833.47    | 0.03%             | 2054-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 5.5 RJ1419 05-01-54                                      | CUSIP: 3142GRSH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   6369935 | PA      | $6483530.31    | 0.03%             | 2054-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 7.0 MA5274 02-01-54                                      | CUSIP: 31418E2G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    667933 | PA      | $701509.53     | 0.00%             | 2054-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 4.0 QE8992 08-01-52                                      | CUSIP: 3133BJ7D8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    316343 | PA      | $309707.95     | 0.00%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 4.0 SD1382 08-01-52                                      | CUSIP: 3132DNRB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     51497 | PA      | $50323.93      | 0.00%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 4.0 SD1441 08-01-52                                      | CUSIP: 3132DNS61<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    179053 | PA      | $174518.43     | 0.00%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 MA5421 07-01-54                                      | CUSIP: 31418FAX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  16253637 | PA      | $16688323.87   | 0.07%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.5 MA5422 07-01-54                                      | CUSIP: 31418FAY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    969915 | PA      | $1007644.69    | 0.00%             | 2054-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 SD5303 04-01-54                                      | CUSIP: 3132DS3L4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1510309 | PA      | $1561345.71    | 0.01%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.5 BU4699 07-01-54                                      | CUSIP: 3140M6GH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2512358 | PA      | $2571752.80    | 0.01%             | 2054-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.5 CB8872 07-01-54                                      | CUSIP: 3140QU2E5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3478151 | PA      | $3638431.22    | 0.01%             | 2054-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.5 CB8725 06-01-54                                      | CUSIP: 3140QUVT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2281008 | PA      | $2386119.30    | 0.01%             | 2054-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 RJ1964 07-01-54                                      | CUSIP: 3142GSFE3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  17184115 | PA      | $17982007.36   | 0.07%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.5 CB8876 07-01-54                                      | CUSIP: 3140QU2J4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2296010 | PA      | $2394942.98    | 0.01%             | 2054-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 FS8318 07-01-54                                      | CUSIP: 3140XQG43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   5726081 | PA      | $5977312.84    | 0.02%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 RJ1975 07-01-54                                      | CUSIP: 3142GSFR4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  11759698 | PA      | $12180154.43   | 0.05%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 CB8858 07-01-54                                      | CUSIP: 3140QUZY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   7632009 | PA      | $7901403.50    | 0.03%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.5 FS8317 07-01-54                                      | CUSIP: 3140XQG35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    937643 | PA      | $987512.41     | 0.00%             | 2054-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 SD8454 08-01-54                                      | CUSIP: 3132DWMB6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   4936884 | PA      | $5068521.39    | 0.02%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 MA5445 08-01-54                                      | CUSIP: 31418FBP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   4431878 | PA      | $4550905.15    | 0.02%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 DB6878 06-01-54                                      | CUSIP: 3140AGUC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    797598 | PA      | $819390.84     | 0.00%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 DB6901 07-01-54                                      | CUSIP: 3140AGU36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    486548 | PA      | $499560.48     | 0.00%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| US DEPARTMENT OF HOUSING AND URBAN DEVELOPMENT            | HUD 15-A 14 3.25% 08-01-28                                         | CUSIP: 911759MK1<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    990000 | PA      | $981369.38     | 0.00%             | 2028-08-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| US DEPARTMENT OF HOUSING AND URBAN DEVELOPMENT            | HUD 15-A 19 3.65% 08-01-33                                         | CUSIP: 911759MQ8<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    545000 | PA      | $522724.76     | 0.00%             | 2033-08-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| US DEPARTMENT OF HOUSING AND URBAN DEVELOPMENT            | HUD 15-A 17 3.55% 08-01-31                                         | CUSIP: 911759MN5<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    705000 | PA      | $688371.17     | 0.00%             | 2031-08-01      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| US DEPARTMENT OF HOUSING AND URBAN DEVELOPMENT            | HUD 15-A 16 3.50% 08-01-30                                         | CUSIP: 911759MM7<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    585000 | PA      | $575568.05     | 0.00%             | 2030-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER SCRT_18-4                   | SCRT 2018-4 MT 3.5% 03-25-58                                       | CUSIP: 35563PHE2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   1430775 | PA      | $1319028.59    | 0.01%             | 2058-03-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ETHIOPIAN LEASING 2012 LLC                                | ETHIOPIAN LEASING 2012 LLC SR SEC 1ST LIEN SF 2.646% 05-12-26      | CUSIP: 29766DAF1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     46019 | PA      | $45959.60      | 0.00%             | 2026-05-12      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| SOUTHAVEN COMBINED CYCLE GENERATION LLC                   | TVA SOUTHAVEN  STRUCTURED SR SEC 1ST LIEN SF 3.846% 08-15-33       | CUSIP: 841215AA4<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   1099120 | PA      | $1078468.22    | 0.00%             | 2033-08-15      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| TENNESSEE VALLEY AUTHORITY                                | TENNESSEE VALLEY AUTHORITY SR UNSEC 4.875% 05-15-35                | CUSIP: 880591FD9<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGA              | US        |  30000000 | PA      | $31677966.00   | 0.13%             | 2035-05-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FANNIE MAE 7.125% 01-15-30                                         | CUSIP: 31359MFJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   5000000 | PA      | $5656434.00    | 0.02%             | 2030-01-15      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANKS                                   | FHLB 3.25% 11-16-28                                                | CUSIP: 3130AFFX0<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGA              | US        |  56500000 | PA      | $56393311.05   | 0.23%             | 2028-11-16      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANKS                                   | FED HM LN BK BD 4/22/2026                                          | CUSIP: 313385VW3<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGA              | US        |  50000000 | PA      | $49744480.00   | 0.20%             | 2026-04-22      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNMA 0.875% 08-05-30                                               | CUSIP: 3135G05Q2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |  63500000 | PA      | $56803778.95   | 0.23%             | 2030-08-05      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNMA 0.75% 10-08-27                                                | CUSIP: 3135G05Y5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |  21700000 | PA      | $20803523.09   | 0.08%             | 2027-10-08      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANKS                                   | FHLB 5.5% 07-15-36                                                 | CUSIP: 3133XGAY0<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGA              | US        |   1000000 | PA      | $1117496.50    | 0.00%             | 2036-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| TENNESSEE VALLEY AUTHORITY                                | TVA BOND 4.875% 01-15-48                                           | CUSIP: 880591EB4<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGA              | US        |   3300000 | PA      | $3312641.31    | 0.01%             | 2048-01-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 2.625% 02-15-29                        | CUSIP: 9128286B1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  40000000 | PA      | $39145312.00   | 0.16%             | 2029-02-15      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY STRIP COUPON 0.0% 11-15-40                  | CUSIP: 912834JH2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  15000000 | PA      | $7689750.00    | 0.03%             | 2040-11-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 2.375% 11-15-49                        | CUSIP: 912810SK5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  17921300 | PA      | $11983779.76   | 0.05%             | 2049-11-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 2.0% 02-15-50                          | CUSIP: 912810SL3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  61360000 | PA      | $37540146.18   | 0.15%             | 2050-02-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY INFLATION INDEXED BONDS I/L 0.25% 02-15-50  | CUSIP: 912810SM1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1973202 | PA      | $1190164.90    | 0.00%             | 2050-02-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 0.625% 05-15-30                        | CUSIP: 912828ZQ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  30880000 | PA      | $27465107.41   | 0.11%             | 2030-05-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 1.25% 05-15-50                         | CUSIP: 912810SN9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 124750000 | PA      | $62543799.23   | 0.25%             | 2050-05-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 1.125% 05-15-40                        | CUSIP: 912810SR0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3660000 | PA      | $2404734.19    | 0.01%             | 2040-05-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 1.125% 08-15-40                        | CUSIP: 912810SQ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  33890000 | PA      | $22049681.25   | 0.09%             | 2040-08-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 1.625% 11-15-50                        | CUSIP: 912810SS8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 407512600 | PA      | $223749642.43  | 0.91%             | 2050-11-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 1.375% 11-15-40                        | CUSIP: 912810ST6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  33947600 | PA      | $22816501.07   | 0.09%             | 2040-11-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 1.875% 02-15-51                        | CUSIP: 912810SU3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  42054000 | PA      | $24551423.78   | 0.10%             | 2051-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 1.875% 02-15-41                        | CUSIP: 912810SW9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  22549000 | PA      | $16286750.35   | 0.07%             | 2041-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY INFLATION INDEXED BONDS I/L 0.125% 02-15-51 | CUSIP: 912810SV1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |       373 | PA      | $212.08        | 0.00%             | 2051-02-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY INFLATION INDEXED BONDS I/L 0.125% 04-15-26 | CUSIP: 91282CCA7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  44017081 | PA      | $44075529.72   | 0.18%             | 2026-04-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 2.25% 05-15-41                         | CUSIP: 912810SY5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  34863000 | PA      | $26498602.80   | 0.11%             | 2041-05-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 1.75% 08-15-41                         | CUSIP: 912810TA6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  93379600 | PA      | $65236930.86   | 0.26%             | 2041-08-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 0.875% 09-30-26                        | CUSIP: 91282CCZ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    400000 | PA      | $393742.16     | 0.00%             | 2026-09-30      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY INFLATION INDEXED BONDS I/L 0.125% 10-15-26 | CUSIP: 91282CDC2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  99105260 | PA      | $99322015.75   | 0.40%             | 2026-10-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 1.125% 10-31-26                        | CUSIP: 91282CDG3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  27500000 | PA      | $27050977.25   | 0.11%             | 2026-10-31      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 2.25% 02-15-52                         | CUSIP: 912810TD0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    500000 | PA      | $316419.40     | 0.00%             | 2052-02-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 1.875% 02-15-32                        | CUSIP: 91282CDY4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  16949400 | PA      | $15362542.93   | 0.06%             | 2032-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 1.875% 02-28-27                        | CUSIP: 91282CEC1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  18463200 | PA      | $18167500.77   | 0.07%             | 2027-02-28      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY INFLATION INDEXED BONDS I/L 0.125% 04-15-27 | CUSIP: 91282CEJ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  47062309 | PA      | $46679939.41   | 0.19%             | 2027-04-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 3.25% 05-15-42                         | CUSIP: 912810TH1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  39623100 | PA      | $34072898.23   | 0.14%             | 2042-05-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 2.625% 05-31-27                        | CUSIP: 91282CET4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  30980000 | PA      | $30656977.74   | 0.12%             | 2027-05-31      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 3.25% 06-30-29                         | CUSIP: 91282CEV9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  25000000 | PA      | $24872510.00   | 0.10%             | 2029-06-30      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 3.25% 06-30-27                         | CUSIP: 91282CEW7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  78789600 | PA      | $78583604.59   | 0.32%             | 2027-06-30      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 1.25% 06-30-28                         | CUSIP: 91282CCH2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  59360000 | PA      | $56552123.60   | 0.23%             | 2028-06-30      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 2.0% 08-15-51                          | CUSIP: 912810SZ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  72003500 | PA      | $43088572.08   | 0.17%             | 2051-08-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 1.125% 08-31-28                        | CUSIP: 91282CCV1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  19110000 | PA      | $18088062.17   | 0.07%             | 2028-08-31      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 1.375% 11-15-31                        | CUSIP: 91282CDJ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  56000000 | PA      | $49588789.60   | 0.20%             | 2031-11-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 1.875% 11-15-51                        | CUSIP: 912810TB4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  20830200 | PA      | $12029471.75   | 0.05%             | 2051-11-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 2.875% 05-15-52                        | CUSIP: 912810TG3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  29000000 | PA      | $21071124.50   | 0.09%             | 2052-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.0% 02-29-28                          | CUSIP: 91282CGP0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  46435000 | PA      | $46977346.87   | 0.19%             | 2028-02-29      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.0% 07-31-30                          | CUSIP: 91282CHR5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  23355000 | PA      | $23841146.00   | 0.10%             | 2030-07-31      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.375% 08-15-43                        | CUSIP: 912810TU2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   9359500 | PA      | $9208694.12    | 0.04%             | 2043-08-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.625% 09-15-26                        | CUSIP: 91282CHY0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  51444000 | PA      | $51713278.47   | 0.21%             | 2026-09-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.875% 10-31-30                        | CUSIP: 91282CJG7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 119277500 | PA      | $126243115.16  | 0.51%             | 2030-10-31      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.375% 11-30-30                        | CUSIP: 91282CJM4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  24897000 | PA      | $25825775.12   | 0.10%             | 2030-11-30      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FHR 3156 PF FRN 05-15-36                                           | CUSIP: 31396RAR8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGA              | US        |    303620 | PA      | $300992.59     | 0.00%             | 2036-05-15      | Variable      | 4.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNR 2006-65 PF FRN 07-25-36                                        | CUSIP: 31396KAC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGA              | US        |    156631 | PA      | $155662.94     | 0.00%             | 2036-07-25      | Variable      | 4.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.0 MA2833 12-01-46                                      | CUSIP: 31418CEF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   5085127 | PA      | $4725089.40    | 0.02%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC MULTIFAMILY STRUCTURED PASS THROUGH FHMS_K058       | MULTI 2.653 08-25-26                                               | CUSIP: 3137BSP72<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   3507000 | PA      | $3483597.79    | 0.01%             | 2026-08-25      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                    | FGLMC 3.5 G60744 200K MAX 07-01-46                                 | CUSIP: 31335AZH4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1039368 | PA      | $1001890.89    | 0.00%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FHARM FRN 760014 08-01-45                                          | CUSIP: 31342WAP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    519251 | PA      | $524272.99     | 0.00%             | 2045-08-01      | Variable      | 4.63%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNIONP 6.5 888372 04-01-37                                         | CUSIP: 31410F6H3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     10295 | PA      | $10722.80      | 0.00%             | 2037-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNIONP 6.5 256810 07-01-37                                         | CUSIP: 31371NGT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     21112 | PA      | $22081.72      | 0.00%             | 2037-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNIONP 7.0 256828 07-01-37                                         | CUSIP: 31371NHD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     11826 | PA      | $12229.02      | 0.00%             | 2037-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNIONP 6.5 256860 08-01-37                                         | CUSIP: 31371NJD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     25526 | PA      | $26915.32      | 0.00%             | 2037-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.5 BH2846 05-01-47                                      | CUSIP: 3140GREU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     59286 | PA      | $57183.09      | 0.00%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                    | FGLMC 3.5 Q56591 06-01-48                                          | CUSIP: 3132Y0KD1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     88850 | PA      | $85136.25      | 0.00%             | 2048-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.0 695412 06-01-33                                      | CUSIP: 31400RR94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      1262 | PA      | $1293.82       | 0.00%             | 2033-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                    | FGLMC 3.5 Q54700 03-01-48                                          | CUSIP: 3132XXGJ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    313257 | PA      | $300821.16     | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                    | FGLMC 3.5 Q19133 06-01-43                                          | CUSIP: 3132JASX4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    212851 | PA      | $205894.69     | 0.00%             | 2043-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 4.0 BK5232 05-01-48                                      | CUSIP: 3140HJY62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    399660 | PA      | $394788.47     | 0.00%             | 2048-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                    | FGLMC 4.0 Q56175 05-01-48                                          | CUSIP: 3132XY2H9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    287978 | PA      | $284979.81     | 0.00%             | 2048-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.5 AT7161 06-01-43                                      | CUSIP: 3138WU5X7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    210890 | PA      | $204086.64     | 0.00%             | 2043-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                    | FGLMC 3.5 Q55056 03-01-48                                          | CUSIP: 3132XXTN9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    282259 | PA      | $271279.61     | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 3.5 RA1463 10-01-49                                      | CUSIP: 3133KGTU2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2813514 | PA      | $2707590.37    | 0.01%             | 2049-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.0 AI3510 06-01-41                                      | CUSIP: 3138AG3U0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    228045 | PA      | $234962.12     | 0.00%             | 2041-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.0 AI1862 05-01-41                                      | CUSIP: 3138AFB82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    442219 | PA      | $455632.13     | 0.00%             | 2041-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.0 AJ0704 09-01-41                                      | CUSIP: 3138ARYA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    205070 | PA      | $211280.48     | 0.00%             | 2041-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.5 BX9116 04-01-53                                      | CUSIP: 3140NEDW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1158525 | PA      | $1182191.26    | 0.00%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 5.5 QF7144 02-01-53                                      | CUSIP: 3133BU5D5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   8170372 | PA      | $8333526.42    | 0.03%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.5 BX9431 03-01-53                                      | CUSIP: 3140NEPR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   4534430 | PA      | $4636994.34    | 0.02%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 QG1653 04-01-53                                      | CUSIP: 3133C1ZS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   9634833 | PA      | $9958746.94    | 0.04%             | 2053-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 QG0259 04-01-53                                      | CUSIP: 3133C0JC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   4644025 | PA      | $4791751.20    | 0.02%             | 2053-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 QG5227 06-01-53                                      | CUSIP: 3133C5YY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   9331292 | PA      | $9631124.63    | 0.04%             | 2053-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.5 MA5107 08-01-53                                      | CUSIP: 31418EU99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     82634 | PA      | $84288.22      | 0.00%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.5 MA5192 11-01-53                                      | CUSIP: 31418EXW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    158189 | PA      | $164515.84     | 0.00%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.5 MA5167 10-01-53                                      | CUSIP: 31418EW55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1515560 | PA      | $1577838.50    | 0.01%             | 2053-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.5 MA5190 11-01-53                                      | CUSIP: 31418EXU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3021979 | PA      | $3081094.62    | 0.01%             | 2053-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 SD4053 10-01-53                                      | CUSIP: 3132E0QE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  51983463 | PA      | $53668402.53   | 0.22%             | 2053-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 5.5 SD3620 08-01-53                                      | CUSIP: 3132E0AV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  12569718 | PA      | $13005547.65   | 0.05%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 CB7341 10-01-53                                      | CUSIP: 3140QTEP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3746858 | PA      | $3899235.47    | 0.02%             | 2053-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 SD4730 01-01-54                                      | CUSIP: 3132DSHF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   5715258 | PA      | $5965997.83    | 0.02%             | 2054-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 FS5517 07-01-53                                      | CUSIP: 3140XMDX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2567603 | PA      | $2680249.16    | 0.01%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 4.0 FS3393 10-01-52                                      | CUSIP: 3140XJXX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    137118 | PA      | $133715.99     | 0.00%             | 2052-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 4.0 BW3570 06-01-52                                      | CUSIP: 3140MU6G0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    392942 | PA      | $383422.55     | 0.00%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 4.0 CB3140 03-01-52                                      | CUSIP: 3140QNP22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    716354 | PA      | $699903.88     | 0.00%             | 2052-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 4.0 QF1655 09-01-52                                      | CUSIP: 3133BNZU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     51756 | PA      | $50492.65      | 0.00%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.5 SD5404 05-01-54                                      | CUSIP: 3132DTAD2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  24769932 | PA      | $25911355.16   | 0.11%             | 2054-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.5 RJ1726 06-01-54                                      | CUSIP: 3142GR4L1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  10745782 | PA      | $11240969.06   | 0.05%             | 2054-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.0 FS6986 07-01-52                                      | CUSIP: 3140XNXQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2457413 | PA      | $2041363.42    | 0.01%             | 2052-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.0 FS7329 06-01-52                                      | CUSIP: 3140XPEB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1190848 | PA      | $989181.21     | 0.00%             | 2052-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.0 FS7498 04-01-52                                      | CUSIP: 3140XPKL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   7075760 | PA      | $5879588.42    | 0.02%             | 2052-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.5 MA5388 06-01-54                                      | CUSIP: 31418E7A2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  15410885 | PA      | $15683334.11   | 0.06%             | 2054-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNMDI4 3.5 BF0765 09-01-63                                         | CUSIP: 3140FXZ70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   5067335 | PA      | $4703465.28    | 0.02%             | 2063-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.0 FS7823 07-01-53                                      | CUSIP: 3140XPVR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   5373641 | PA      | $4465076.51    | 0.02%             | 2053-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 2.0 SD5343 03-01-52                                      | CUSIP: 3132DS5C2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1755300 | PA      | $1458373.05    | 0.01%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.0 FS1742 03-01-52                                      | CUSIP: 3140XG5C9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1573267 | PA      | $1308223.35    | 0.01%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 RJ1779 06-01-54                                      | CUSIP: 3142GR6R6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2641383 | PA      | $2755680.76    | 0.01%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 RJ1785 06-01-54                                      | CUSIP: 3142GR6X3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3696100 | PA      | $3819930.77    | 0.02%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 CB8755 06-01-54                                      | CUSIP: 3140QUWR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2052852 | PA      | $2120429.58    | 0.01%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 5.0 RJ1855 06-01-54                                      | CUSIP: 3142GSBZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   7489265 | PA      | $7573032.28    | 0.03%             | 2054-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 5.5 RJ1857 06-01-54                                      | CUSIP: 3142GSB31<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1807514 | PA      | $1848126.73    | 0.01%             | 2054-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 FS8153 06-01-54                                      | CUSIP: 3140XQBX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3849996 | PA      | $4012758.07    | 0.02%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 FS7031 02-01-54                                      | CUSIP: 3140XNY57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   6015430 | PA      | $6228557.12    | 0.03%             | 2054-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 FS7503 02-01-54                                      | CUSIP: 3140XPKR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    706592 | PA      | $726121.74     | 0.00%             | 2054-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 3.0 SD7553 03-01-52                                      | CUSIP: 3132DVMA0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  14027871 | PA      | $12901671.22   | 0.05%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCT UMBS 2.0 MA4501 12-01-41                                      | CUSIP: 31418EAB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  34107981 | PA      | $30421317.61   | 0.12%             | 2041-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 SD8447 07-01-54                                      | CUSIP: 3132DWL43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   4724857 | PA      | $4852503.61    | 0.02%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 BU4700 07-01-54                                      | CUSIP: 3140M6GJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   4647992 | PA      | $4801816.94    | 0.02%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCT UMBS 2.0 RB5138 12-01-41                                      | CUSIP: 3133KYV71<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  30621835 | PA      | $27046460.03   | 0.11%             | 2041-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCT UMBS 2.0 QK1181 11-01-41                                      | CUSIP: 3133D4J20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   5893258 | PA      | $5219782.42    | 0.02%             | 2041-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 5.5 QI8872 07-01-54                                      | CUSIP: 3133WF2D8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1306921 | PA      | $1337750.81    | 0.01%             | 2054-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 QI8874 07-01-54                                      | CUSIP: 3133WF2F3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1997947 | PA      | $2063365.42    | 0.01%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.5 SD4614 01-01-54                                      | CUSIP: 3132DSDT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3847569 | PA      | $4049873.82    | 0.02%             | 2054-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.5 FS7162 02-01-54                                      | CUSIP: 3140XN5Y6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3493261 | PA      | $3676943.29    | 0.01%             | 2054-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.5 FS6763 01-01-54                                      | CUSIP: 3140XNQR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    869089 | PA      | $915309.31     | 0.00%             | 2054-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.5 CB7510 11-01-53                                      | CUSIP: 3140QTKY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   7110632 | PA      | $7466454.79    | 0.03%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.5 CB5545 01-01-53                                      | CUSIP: 3140QRET6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1669138 | PA      | $1753160.52    | 0.01%             | 2053-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.5 DB5213 07-01-54                                      | CUSIP: 3140AEYK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1465199 | PA      | $1491946.33    | 0.01%             | 2054-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 4.5 AH0351 02-01-41                                      | CUSIP: 3138A1L90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    137659 | PA      | $139612.67     | 0.00%             | 2041-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.0 MA4547 02-01-52                                      | CUSIP: 31418EBR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   6882966 | PA      | $5726235.12    | 0.02%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.5 FS4840 05-01-53                                      | CUSIP: 3140XLLW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    254892 | PA      | $259936.77     | 0.00%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.5 FS6838 11-01-53                                      | CUSIP: 3140XNS47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    946595 | PA      | $964867.18     | 0.00%             | 2053-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.5 FS4736 05-01-53                                      | CUSIP: 3140XLHN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   6975796 | PA      | $7272685.40    | 0.03%             | 2053-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.5 RJ1015 03-01-54                                      | CUSIP: 3142GRDV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   4094466 | PA      | $4258829.68    | 0.02%             | 2054-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.0 MA4305 04-01-51                                      | CUSIP: 31418DYB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    105150 | PA      | $87856.88      | 0.00%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCT UMBS 2.0 MA4152 10-01-40                                      | CUSIP: 31418DTJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2561806 | PA      | $2315098.64    | 0.01%             | 2040-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.5 DB5480 06-01-54                                      | CUSIP: 3140AFCS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2179693 | PA      | $2267550.07    | 0.01%             | 2054-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.5 FS8619 07-01-54                                      | CUSIP: 3140XQSH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  24199378 | PA      | $25486446.17   | 0.10%             | 2054-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.0 MA4492 12-01-51                                      | CUSIP: 31418D7E6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1552355 | PA      | $1292203.47    | 0.01%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 2.0 RA5155 05-01-51                                      | CUSIP: 3133KLWQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    333246 | PA      | $276475.71     | 0.00%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 SD5949 07-01-54                                      | CUSIP: 3132DTTE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  11274843 | PA      | $11606334.32   | 0.05%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.5 FS8607 07-01-54                                      | CUSIP: 3140XQR58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   5693357 | PA      | $5978286.40    | 0.02%             | 2054-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.5 SD5905 07-01-54                                      | CUSIP: 3132DTR28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3529852 | PA      | $3706506.67    | 0.02%             | 2054-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.5 RJ1986 07-01-54                                      | CUSIP: 3142GSF45<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  64754825 | PA      | $67372992.41   | 0.27%             | 2054-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.0 MA4465 11-01-51                                      | CUSIP: 31418D6B3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3467852 | PA      | $2887777.24    | 0.01%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.0 BR2329 01-01-51                                      | CUSIP: 3140L0ST5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2258721 | PA      | $1873936.57    | 0.01%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.5 SD8448 07-01-54                                      | CUSIP: 3132DWL50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  32598039 | PA      | $33885596.19   | 0.14%             | 2054-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.5 RJ0854 01-01-54                                      | CUSIP: 3142GQ5Q1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3980535 | PA      | $4149959.01    | 0.02%             | 2054-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.0 MA4378 07-01-51                                      | CUSIP: 31418D2L5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    147316 | PA      | $122903.76     | 0.00%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 2.0 SD8199 03-01-52                                      | CUSIP: 3132DWDC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  48525740 | PA      | $40407820.60   | 0.16%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.5 RJ1725 06-01-54                                      | CUSIP: 3142GR4K3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   6938594 | PA      | $7330992.80    | 0.03%             | 2054-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 FS8591 07-01-54                                      | CUSIP: 3140XQRM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   7553643 | PA      | $7867670.80    | 0.03%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 2.0 QB7243 01-01-51                                      | CUSIP: 3133AEBL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2847359 | PA      | $2362260.48    | 0.01%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 2.0 SD8182 12-01-51                                      | CUSIP: 3132DWCT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    774439 | PA      | $644654.27     | 0.00%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 DC0299 08-01-54                                      | CUSIP: 3140AMKM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   4777412 | PA      | $4907720.93    | 0.02%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 DB7692 08-01-54                                      | CUSIP: 3140AHRN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   4334878 | PA      | $4459501.85    | 0.02%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.5 555254 01-01-33                                      | CUSIP: 31385WZT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |       159 | PA      | $166.89        | 0.00%             | 2033-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 5.5 SD8331 06-01-53                                      | CUSIP: 3132DWHG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  59291820 | PA      | $60492479.14   | 0.25%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.5 MA5072 07-01-53                                      | CUSIP: 31418ET67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  78832781 | PA      | $80411092.13   | 0.33%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 5.5 SD8316 04-01-53                                      | CUSIP: 3132DWGZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  10294351 | PA      | $10505169.51   | 0.04%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 DC0296 08-01-54                                      | CUSIP: 3140AMKJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    739844 | PA      | $772306.12     | 0.00%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.5 MA5446 08-01-54                                      | CUSIP: 31418FBQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1825964 | PA      | $1896994.29    | 0.01%             | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.5 SD8455 08-01-54                                      | CUSIP: 3132DWMC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  35676764 | PA      | $37064589.77   | 0.15%             | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 DB7687 08-01-54                                      | CUSIP: 3140AHRH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    949844 | PA      | $982207.66     | 0.00%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.5 MA4979 04-01-53                                      | CUSIP: 31418EQ94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  31560073 | PA      | $32209610.39   | 0.13%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 5.5 SD2948 11-01-52                                      | CUSIP: 3132DQHZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  23822002 | PA      | $24309781.28   | 0.10%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 5.0 SD8341 07-01-53                                      | CUSIP: 3132DWHS5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     28722 | PA      | $28991.20      | 0.00%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 3.0 RA3384 08-01-50                                      | CUSIP: 3133KJXM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    303877 | PA      | $277559.85     | 0.00%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.0 CA7052 09-01-50                                      | CUSIP: 3140QEZS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    312086 | PA      | $285154.07     | 0.00%             | 2050-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.5 BW1243 10-01-52                                      | CUSIP: 3140MSLZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   6891639 | PA      | $7037665.70    | 0.03%             | 2052-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 DB7039 07-01-54                                      | CUSIP: 3140AGZD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1878114 | PA      | $1938149.57    | 0.01%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 DB7690 08-01-54                                      | CUSIP: 3140AHRL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    813068 | PA      | $847319.75     | 0.00%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 QI3333 04-01-54                                      | CUSIP: 3133W9V24<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1043277 | PA      | $1088345.59    | 0.00%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 SD5692 05-01-54                                      | CUSIP: 3132DTKD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1433107 | PA      | $1495825.90    | 0.01%             | 2054-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 FS8219 06-01-54                                      | CUSIP: 3140XQDZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2197797 | PA      | $2275669.54    | 0.01%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 SD3432 07-01-53                                      | CUSIP: 3132DQY59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    128912 | PA      | $134842.72     | 0.00%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 SD5896 07-01-54                                      | CUSIP: 3132DTRR3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1876334 | PA      | $1933044.18    | 0.01%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 FS8223 06-01-54                                      | CUSIP: 3140XQD53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2665373 | PA      | $2743734.74    | 0.01%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 5.5 RJ2206 08-01-54                                      | CUSIP: 3142GSNY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3008113 | PA      | $3067887.14    | 0.01%             | 2054-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 RJ2210 08-01-54                                      | CUSIP: 3142GSN46<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  34781599 | PA      | $35786787.54   | 0.15%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.5 RJ2247 08-01-54                                      | CUSIP: 3142GSP93<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   8628606 | PA      | $9010706.44    | 0.04%             | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.5 SD5701 06-01-54                                      | CUSIP: 3132DTKN9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   4098490 | PA      | $4316472.57    | 0.02%             | 2054-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 RJ2314 09-01-54                                      | CUSIP: 3142GSSC3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  10766351 | PA      | $11115094.25   | 0.05%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.5 RJ2325 09-01-54                                      | CUSIP: 3142GSSP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1271942 | PA      | $1326369.53    | 0.01%             | 2054-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2SF 3.5 MA8044 05-20-52                                           | CUSIP: 36179W5D6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  23402602 | PA      | $22252316.94   | 0.09%             | 2052-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2SF 3.0 MA7937 03-20-52                                           | CUSIP: 36179WZA9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   4605346 | PA      | $4229402.85    | 0.02%             | 2052-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.5 FS6631 07-01-52                                      | CUSIP: 3140XNLM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     91642 | PA      | $79843.20      | 0.00%             | 2052-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.5 CB2092 11-01-51                                      | CUSIP: 3140QMKE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1844452 | PA      | $1600755.49    | 0.01%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2SF 2.5 MA7881 02-20-52                                           | CUSIP: 36179WXJ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   4930567 | PA      | $4356895.34    | 0.02%             | 2052-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2SF 3.0 MA7988 04-20-52                                           | CUSIP: 36179W2V9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   3481139 | PA      | $3197464.70    | 0.01%             | 2052-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2SF 4.0 MA8346 10-20-52                                           | CUSIP: 36179XHX7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  37333882 | PA      | $36330310.23   | 0.15%             | 2052-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-2        | GNR 2021-2 AH 1.5% 06-16-63                                        | CUSIP: 38380RNG1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   5341096 | PA      | $4050287.00    | 0.02%             | 2063-06-16      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.5 FM9905 12-01-51                                      | CUSIP: 3140XEAF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    715834 | PA      | $622607.47     | 0.00%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 3.5 SD3450 05-01-53                                      | CUSIP: 3132DQZP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     21255 | PA      | $20065.22      | 0.00%             | 2053-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2SF 2.5 785998 03-20-52                                           | CUSIP: 3622ABRT1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   9042997 | PA      | $7934949.29    | 0.03%             | 2052-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2SF 2.5 786647 03-20-52                                           | CUSIP: 3622ACHY9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  18852303 | PA      | $16682440.26   | 0.07%             | 2052-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2SF 2.5 BZ3978 11-20-50                                           | CUSIP: 3617QYM36<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   4073037 | PA      | $3589070.90    | 0.01%             | 2050-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2SF 2.5 786502 02-20-52                                           | CUSIP: 3622ACDF4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  35763005 | PA      | $31525840.33   | 0.13%             | 2052-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2SF 2.5 786706 12-20-51                                           | CUSIP: 3622ACKT6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  42331829 | PA      | $36936044.36   | 0.15%             | 2051-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2SF 2.5 786701 03-20-52                                           | CUSIP: 3622ACKN9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  11258216 | PA      | $9949223.10    | 0.04%             | 2052-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2SF 2.5 785575 08-20-51                                           | CUSIP: 3622ABCL4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   4009980 | PA      | $3505011.08    | 0.01%             | 2051-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2SF 2.5 785659 10-20-51                                           | CUSIP: 3622ABE81<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   7794411 | PA      | $6829712.65    | 0.03%             | 2051-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER SCRT_17-1                   | SCRT 2017-1 HA 3.0% 01-25-56                                       | CUSIP: 35563PAP4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |  11683170 | PA      | $11193247.96   | 0.05%             | 2056-01-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER SCRT_17-2                   | SCRT 2017-2 HA FRN 08-25-56                                        | CUSIP: 35563PBF5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |  13131826 | PA      | $12568313.05   | 0.05%             | 2056-08-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER SCRT_17-2                   | SCRT 2017-2 MA 3.0% 08-25-56                                       | CUSIP: 35563PBC2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |  13315799 | PA      | $12674376.97   | 0.05%             | 2056-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER SCRT_17-4                   | SCRT 2017-4 MT 3.5% 06-25-57                                       | CUSIP: 35563PCM9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   5089449 | PA      | $4758543.27    | 0.02%             | 2057-06-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.5 FS6601 12-01-53                                      | CUSIP: 3140XNKP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    908464 | PA      | $857045.43     | 0.00%             | 2053-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.5 BY1300 12-01-53                                      | CUSIP: 3140NHNS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    582611 | PA      | $550498.72     | 0.00%             | 2053-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER SCRT_17-4                   | SCRT 2017-4 HT FRN 06-25-57                                        | CUSIP: 35563PDD8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   8997427 | PA      | $8395930.79    | 0.03%             | 2057-06-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER SCRT_18-2                   | SCRT 2018-2 MT 3.5% 11-25-57                                       | CUSIP: 35563PFF1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   9875183 | PA      | $9149702.53    | 0.04%             | 2057-11-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SEASONED LOAN STRUCTURED TRANSACTION SLST_18-1            | SLST 2018-1 A1 3.5% 06-25-28                                       | CUSIP: 35564CAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   8874871 | PA      | $8749575.67    | 0.04%             | 2028-06-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC - SLST SLST_18-2                              | SLST 2018-2 A1 3.5% 11-25-28                                       | CUSIP: 35564CAN7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |  44432159 | PA      | $44053907.86   | 0.18%             | 2028-11-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 3.5 QE6008 07-01-52                                      | CUSIP: 3133BFU99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    242908 | PA      | $229388.42     | 0.00%             | 2052-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNMA 30YR UMBS UMBS 3.5 BY1456 12-01-53                            | CUSIP: 3140NHTN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    280962 | PA      | $265094.84     | 0.00%             | 2053-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER SCRT_19-2                   | SCRT 2019-2 MA 3.5% 08-26-58                                       | CUSIP: 35563PKG3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |  14797744 | PA      | $14538014.33   | 0.06%             | 2058-08-26      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER SCRT_19-1                   | SCRT 2019-1 MA 3.5% 07-25-58                                       | CUSIP: 35563PJF7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   2447814 | PA      | $2411949.09    | 0.01%             | 2058-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCI UMBS 2.5 FM2499 02-01-35                                      | CUSIP: 3140X5X57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   7393142 | PA      | $7084057.31    | 0.03%             | 2035-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.5 SD6271 09-01-54                                      | CUSIP: 3132DT6G0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  20924875 | PA      | $21833056.58   | 0.09%             | 2054-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC - SLST SLST_19-2                              | SLST 2019-2 A1C 2.75% 09-25-29                                     | CUSIP: 35564CCZ8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |  29003088 | PA      | $28074147.98   | 0.11%             | 2029-09-25      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER SCRT_19-4                   | SCRT 2019-4 MA 3.0% 02-25-59                                       | CUSIP: 35563PML0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   9056222 | PA      | $8567249.82    | 0.03%             | 2059-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC - SLST SLST_19-3                              | SLST 2019-3 A1C 2.75% 11-25-29                                     | CUSIP: 35564CEE3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |  15506186 | PA      | $14922315.79   | 0.06%             | 2029-11-25      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER SCRT_19-3                   | SCRT 2019-3 MT 3.5% 10-25-58                                       | CUSIP: 35563PLG2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   3674632 | PA      | $3411311.43    | 0.01%             | 2058-10-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.5 FS8783 08-01-54                                      | CUSIP: 3140XQXM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    358971 | PA      | $376936.06     | 0.00%             | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.5 QJ4693 09-01-54                                      | CUSIP: 3133CVGA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    157453 | PA      | $165662.89     | 0.00%             | 2054-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.5 FS8762 08-01-54                                      | CUSIP: 3140XQWY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1797306 | PA      | $1877974.20    | 0.01%             | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.5 QI4365 04-01-54                                      | CUSIP: 3133WAZ68<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1805443 | PA      | $1879805.87    | 0.01%             | 2054-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.5 CB7626 12-01-53                                      | CUSIP: 3140QTPL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3022717 | PA      | $3189311.11    | 0.01%             | 2053-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.5 CB7426 11-01-53                                      | CUSIP: 3140QTHC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3243864 | PA      | $3384614.93    | 0.01%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.5 SD5419 05-01-54                                      | CUSIP: 3132DTAU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3327485 | PA      | $3470623.18    | 0.01%             | 2054-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 5.5 RJ2625 10-01-54                                      | CUSIP: 3142GS4K1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  12443632 | PA      | $12724210.58   | 0.05%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 5.5 SD6328 09-01-54                                      | CUSIP: 3132DUA56<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   7384015 | PA      | $7595028.33    | 0.03%             | 2054-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.5 FS9001 09-01-54                                      | CUSIP: 3140XRAB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   4343955 | PA      | $4472766.75    | 0.02%             | 2054-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 2.0 SD6496 06-01-52                                      | CUSIP: 3132DUGD3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2816355 | PA      | $2344528.30    | 0.01%             | 2052-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 2.0 RA6913 02-01-52                                      | CUSIP: 3133KNVE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    399767 | PA      | $331772.75     | 0.00%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.5 SL1781 06-01-55                                      | CUSIP: 31427N6T1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1112960 | PA      | $1156865.98    | 0.00%             | 2055-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.5 DF7614 12-01-55                                      | CUSIP: 3140BYN83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     43425 | PA      | $45575.34      | 0.00%             | 2055-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.5 FP0138 02-01-55                                      | CUSIP: 3140XTEL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3164981 | PA      | $3288091.97    | 0.01%             | 2055-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.0 FS4563 05-01-53                                      | CUSIP: 3140XLB98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   4127662 | PA      | $4180892.48    | 0.02%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 5.0 SD8315 04-01-53                                      | CUSIP: 3132DWGY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    424128 | PA      | $428234.74     | 0.00%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.125% 02-15-27                        | CUSIP: 91282CKA8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6600000 | PA      | $6635964.72    | 0.03%             | 2027-02-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.25% 02-15-54                         | CUSIP: 912810TX6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4300000 | PA      | $4029080.65    | 0.02%             | 2054-02-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.5% 02-15-44                          | CUSIP: 912810TZ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  78000000 | PA      | $77768433.60   | 0.32%             | 2044-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCT UMBS 6.5 256993 11-01-27                                      | CUSIP: 31371NNJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     19876 | PA      | $20613.81      | 0.00%             | 2027-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCI UMBS 6.5 257055 12-01-27                                      | CUSIP: 31371NQG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     40310 | PA      | $41807.74      | 0.00%             | 2027-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNIONP 6.0 970343 02-01-38                                         | CUSIP: 31414MP42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     27426 | PA      | $27936.84      | 0.00%             | 2038-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 3.5 QA0284 06-01-49                                      | CUSIP: 31334WJ51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1207722 | PA      | $1160122.07    | 0.00%             | 2049-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 932606 02-01-40                                          | CUSIP: 31412RDK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     27113 | PA      | $27868.15      | 0.00%             | 2040-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.5 BE5009 01-01-45                                      | CUSIP: 3140FQR74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    250606 | PA      | $242093.32     | 0.00%             | 2045-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCI UMBS 3.5 AZ0554 10-01-30                                      | CUSIP: 3138YRTL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     77214 | PA      | $76543.48      | 0.00%             | 2030-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.0 FM2179 01-01-50                                      | CUSIP: 3140X5M59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   8592379 | PA      | $7951224.02    | 0.03%             | 2050-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.0 FM2777 03-01-50                                      | CUSIP: 3140X6CP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2730856 | PA      | $2516923.35    | 0.01%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCT UMBS 2.0 RB5118 07-01-41                                      | CUSIP: 3133KYVK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  50789875 | PA      | $45391672.87   | 0.18%             | 2041-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCT UMBS 2.0 MA4387 07-01-41                                      | CUSIP: 31418D2V3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1559511 | PA      | $1393806.96    | 0.01%             | 2041-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNMDI3 5.5 BF0320 01-01-49                                         | CUSIP: 3140FXLA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2452401 | PA      | $2569184.57    | 0.01%             | 2049-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                    | FGLMC 3.5 G67700 08-01-46                                          | CUSIP: 3132XCRV9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   2299495 | PA      | $2215589.16    | 0.01%             | 2046-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                    | FGLMC 3.5 G60238 10-01-45                                          | CUSIP: 31335AHP6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   6118214 | PA      | $5927521.96    | 0.02%             | 2045-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.0 FM9632 11-01-51                                      | CUSIP: 3140XDV29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  11652354 | PA      | $10683798.45   | 0.04%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.0 FM9631 11-01-51                                      | CUSIP: 3140XDVZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   5110592 | PA      | $4695755.01    | 0.02%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.0 CB2292 11-01-51                                      | CUSIP: 3140QMRN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  15623699 | PA      | $14372849.66   | 0.06%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.0 CB2293 12-01-51                                      | CUSIP: 3140QMRP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1495820 | PA      | $1374533.39    | 0.01%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNMDI4 3.5 BM6693 08-01-59                                         | CUSIP: 3140JBNK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   5897563 | PA      | $5525403.48    | 0.02%             | 2059-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.0 CB2414 12-01-51                                      | CUSIP: 3140QMVG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  34106007 | PA      | $31436734.62   | 0.13%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 5.0 SD2716 04-01-53                                      | CUSIP: 3132DQAR7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   6267025 | PA      | $6349455.38    | 0.03%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.5 BW1289 10-01-52                                      | CUSIP: 3140MSNF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   7481784 | PA      | $7638033.21    | 0.03%             | 2052-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 2.5 SD7545 09-01-51                                      | CUSIP: 3132DVL29<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   5171914 | PA      | $4592545.72    | 0.02%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.5 FM9492 11-01-51                                      | CUSIP: 3140XDRN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  11285603 | PA      | $10021322.28   | 0.04%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.5 CB2319 12-01-51                                      | CUSIP: 3140QMSH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2517757 | PA      | $2226727.24    | 0.01%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.5 CB2372 12-01-51                                      | CUSIP: 3140QMT61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1214438 | PA      | $1073394.56    | 0.00%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.5 FM9804 12-01-51                                      | CUSIP: 3140XD3N4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   5799883 | PA      | $5162029.15    | 0.02%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.5 FM9694 11-01-51                                      | CUSIP: 3140XDXY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   5271892 | PA      | $4700766.42    | 0.02%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.0 MA5071 07-01-53                                      | CUSIP: 31418ET59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1082975 | PA      | $1093447.31    | 0.00%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 BX5931 01-01-53                                      | CUSIP: 3140NASV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    500101 | PA      | $516410.66     | 0.00%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 MA5073 07-01-53                                      | CUSIP: 31418ET75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    314406 | PA      | $324597.04     | 0.00%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 BY2061 05-01-53                                      | CUSIP: 3140NJJF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    286630 | PA      | $296150.69     | 0.00%             | 2053-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 CB6597 04-01-53                                      | CUSIP: 3140QSKK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   7110967 | PA      | $7350009.23    | 0.03%             | 2053-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 5.5 QG4632 06-01-53                                      | CUSIP: 3133C5ED9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  31765618 | PA      | $32403947.85   | 0.13%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 5.5 QG1875 05-01-53                                      | CUSIP: 3133C2CL0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |       560 | PA      | $571.11        | 0.00%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.5 DC8825 12-01-54                                      | CUSIP: 3140AWYX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    305069 | PA      | $322047.95     | 0.00%             | 2054-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 5.5 SD8494 01-01-55                                      | CUSIP: 3132DWNK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   9336200 | PA      | $9496512.07    | 0.04%             | 2055-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 4.0 CB4819 10-01-52                                      | CUSIP: 3140QQK95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     45419 | PA      | $44315.96      | 0.00%             | 2052-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 DC7823 12-01-54                                      | CUSIP: 3140AVVR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    645442 | PA      | $662659.74     | 0.00%             | 2054-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCI UMBS 2.5 SB0649 04-01-37                                      | CUSIP: 3132CWWJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    714077 | PA      | $682236.93     | 0.00%             | 2037-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCI UMBS 2.5 FS7802 03-01-37                                      | CUSIP: 3140XPU49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1135333 | PA      | $1083240.12    | 0.00%             | 2037-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 DC5696 11-01-54                                      | CUSIP: 3140ATKJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  26869775 | PA      | $27578787.81   | 0.11%             | 2054-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 QX7714 02-01-55                                      | CUSIP: 31426DSC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    123147 | PA      | $126855.12     | 0.00%             | 2055-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 2.5 SD0718 08-01-51                                      | CUSIP: 3132DMYP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    928654 | PA      | $805953.31     | 0.00%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.0 FM4783 12-01-50                                      | CUSIP: 3140X8J57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  10483535 | PA      | $8700704.76    | 0.04%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 SD6686 10-01-54                                      | CUSIP: 3132DUNB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    333830 | PA      | $343256.50     | 0.00%             | 2054-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 DC9703 01-01-55                                      | CUSIP: 3140AXX93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  13570594 | PA      | $13930390.86   | 0.06%             | 2055-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 MA5793 08-01-55                                      | CUSIP: 31418FNK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  19360837 | PA      | $19871730.85   | 0.08%             | 2055-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.0 FS9860 06-01-52                                      | CUSIP: 3140XR5W1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    326129 | PA      | $270566.33     | 0.00%             | 2052-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 2.0 SD3984 05-01-51                                      | CUSIP: 3132E0M90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     24690 | PA      | $20483.64      | 0.00%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 QY7786 07-01-55                                      | CUSIP: 31426SUL1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1192642 | PA      | $1224562.33    | 0.00%             | 2055-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 QY7784 07-01-55                                      | CUSIP: 31426SUJ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   8298161 | PA      | $8520045.27    | 0.03%             | 2055-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 2.5 QC9256 10-01-51                                      | CUSIP: 3133AUH92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    177826 | PA      | $155347.52     | 0.00%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.5 BR0441 03-01-51                                      | CUSIP: 3140KXP34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    713930 | PA      | $619616.70     | 0.00%             | 2051-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 DC6519 10-01-54                                      | CUSIP: 3140AUG56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    663959 | PA      | $681542.45     | 0.00%             | 2054-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 QY2990 05-01-55                                      | CUSIP: 31426MKC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    773555 | PA      | $793970.20     | 0.00%             | 2055-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.5 BT9510 12-01-51                                      | CUSIP: 3140LYR88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    945096 | PA      | $837240.58     | 0.00%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 3.0 RA5971 09-01-51                                      | CUSIP: 3133KMT47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1651651 | PA      | $1518407.62    | 0.01%             | 2051-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.5 BT9483 12-01-51                                      | CUSIP: 3140LYRD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    943201 | PA      | $834779.14     | 0.00%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 5.0 RA7938 09-01-52                                      | CUSIP: 3133KPZB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  46271551 | PA      | $46864983.93   | 0.19%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.5 FM9416 07-01-45                                      | CUSIP: 3140XDPA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        | 104845220 | PA      | $101191049.30  | 0.41%             | 2045-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.5 FM3280 05-01-49                                      | CUSIP: 3140X6UE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  26999471 | PA      | $26060159.23   | 0.11%             | 2049-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.0 FS0965 11-01-51                                      | CUSIP: 3140XGCB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    482851 | PA      | $402167.94     | 0.00%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.0 BR1035 05-01-51                                      | CUSIP: 3140KYEH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     62091 | PA      | $51840.38      | 0.00%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.0 BP6715 09-01-50                                      | CUSIP: 3140KEN95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      3386 | PA      | $2833.90       | 0.00%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.5 FS2805 09-01-52                                      | CUSIP: 3140XJDK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    154191 | PA      | $134442.25     | 0.00%             | 2052-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.25% 01-15-28                         | CUSIP: 91282CMF5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 112868500 | PA      | $114590941.03  | 0.46%             | 2028-01-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.125% 01-31-27                        | CUSIP: 91282CMH1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  51000000 | PA      | $51265954.80   | 0.21%             | 2027-01-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.375% 01-31-32                        | CUSIP: 91282CMK4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  20000000 | PA      | $20795614.00   | 0.08%             | 2032-01-31      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.625% 02-15-55                        | CUSIP: 912810UG1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  90000000 | PA      | $89775009.00   | 0.36%             | 2055-02-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.25% 02-15-28                         | CUSIP: 91282CMN8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 605000000 | PA      | $614763429.50  | 2.49%             | 2028-02-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.75% 02-15-45                         | CUSIP: 912810UJ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2481900 | PA      | $2544718.13    | 0.01%             | 2045-02-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY INFLATION INDEXED BONDS I/L 2.375% 02-15-55 | CUSIP: 912810UH9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 115336770 | PA      | $113768896.30  | 0.46%             | 2055-02-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.125% 02-29-32                        | CUSIP: 91282CMR9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  40000000 | PA      | $41057484.00   | 0.17%             | 2032-02-29      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.0% 03-31-30                          | CUSIP: 91282CMU2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  32613400 | PA      | $33272037.40   | 0.13%             | 2030-03-31      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY BILL 0.0% 03-19-26                          | CUSIP: 912797PV3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 100000000 | PA      | $99829120.00   | 0.40%             | 2026-03-19      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.0% 04-30-32                          | CUSIP: 91282CNA5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5100300 | PA      | $5198851.57    | 0.02%             | 2032-04-30      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.0 BW1258 10-01-52                                      | CUSIP: 3140MSMG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     26175 | PA      | $23726.01      | 0.00%             | 2052-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 3.0 SD8235 08-01-52                                      | CUSIP: 3132DWEG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    467713 | PA      | $424136.34     | 0.00%             | 2052-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 4.5 QF1236 10-01-52                                      | CUSIP: 3133BNLR2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  14473513 | PA      | $14382923.20   | 0.06%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNMDI4 2.5 BF0546 07-01-61                                         | CUSIP: 3140FXTC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  16779111 | PA      | $14200766.00   | 0.06%             | 2061-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 5.5 SD8446 07-01-54                                      | CUSIP: 3132DWL35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  13962632 | PA      | $14208067.27   | 0.06%             | 2054-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.5 RJ2474 09-01-54                                      | CUSIP: 3142GSXC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   6711870 | PA      | $6989036.37    | 0.03%             | 2054-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.5 RJ2470 09-01-54                                      | CUSIP: 3142GSW87<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1966758 | PA      | $2050114.76    | 0.01%             | 2054-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.5 RJ2411 09-01-54                                      | CUSIP: 3142GSVD7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   4675472 | PA      | $4875540.12    | 0.02%             | 2054-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 5.5 RJ2422 09-01-54                                      | CUSIP: 3142GSVQ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   8000306 | PA      | $8153576.18    | 0.03%             | 2054-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 5.5 RJ2415 09-01-54                                      | CUSIP: 3142GSVH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3359312 | PA      | $3462648.00    | 0.01%             | 2054-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 5.5 RJ2408 09-01-54                                      | CUSIP: 3142GSVA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3045704 | PA      | $3113519.75    | 0.01%             | 2054-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.5 CB9146 09-01-54                                      | CUSIP: 3140QVEU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   7720093 | PA      | $7899454.19    | 0.03%             | 2054-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.5 CB9210 09-01-54                                      | CUSIP: 3140QVGU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  13333603 | PA      | $13573394.65   | 0.06%             | 2054-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 5.5 SD6286 08-01-54                                      | CUSIP: 3132DT6X3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3886852 | PA      | $3986662.51    | 0.02%             | 2054-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 DC1873 09-01-54                                      | CUSIP: 3140APCK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    570460 | PA      | $587920.69     | 0.00%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNMDI4 3.5 BF0784 12-01-63                                         | CUSIP: 3140FX2S0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   4174900 | PA      | $3875104.92    | 0.02%             | 2063-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 2.0 SD6284 01-01-54                                      | CUSIP: 3132DT6V7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2906096 | PA      | $2411699.65    | 0.01%             | 2054-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNMDI4 4.0 BF0786 12-01-63                                         | CUSIP: 3140FX2U5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   6610713 | PA      | $6358084.65    | 0.03%             | 2063-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 5.5 SD8401 02-01-54                                      | CUSIP: 3132DWKN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1834867 | PA      | $1868239.10    | 0.01%             | 2054-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.5 QJ1576 08-01-54                                      | CUSIP: 3133CRXD0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    673193 | PA      | $700199.94     | 0.00%             | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.5 SD8464 09-01-54                                      | CUSIP: 3132DWMM2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  28806014 | PA      | $29926567.82   | 0.12%             | 2054-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 SD8439 06-01-54                                      | CUSIP: 3132DWLU5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      3341 | PA      | $3432.39       | 0.00%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.5 FS0369 01-01-52                                      | CUSIP: 3140XFMT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     23721 | PA      | $20586.57      | 0.00%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.5 MA5526 10-01-54                                      | CUSIP: 31418FD87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    305768 | PA      | $288458.77     | 0.00%             | 2054-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 2.5 SD5368 07-01-52                                      | CUSIP: 3132DS6D9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2313078 | PA      | $2010932.46    | 0.01%             | 2052-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 QI7562 06-01-54                                      | CUSIP: 3133WEMK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    111541 | PA      | $114889.75     | 0.00%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.0 FS9189 05-01-52                                      | CUSIP: 3140XRF75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2705993 | PA      | $2256733.35    | 0.01%             | 2052-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNGT 2001-T10 A1 7.0% 12-25-41                                     | CUSIP: 3139216A1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGA              | US        |     19622 | PA      | $20363.98      | 0.00%             | 2041-12-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.5 SL2625 07-01-55                                      | CUSIP: 31427P4K7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  55275755 | PA      | $57425981.37   | 0.23%             | 2055-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.5 190445 03-01-55                                      | CUSIP: 31368HP64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  90070484 | PA      | $93574225.73   | 0.38%             | 2055-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.5 MA5822 09-01-55                                      | CUSIP: 31418FPG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    115597 | PA      | $117549.09     | 0.00%             | 2055-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 DC1547 09-01-54                                      | CUSIP: 3140ANWH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    252527 | PA      | $259577.53     | 0.00%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.5 SD3858 09-01-53                                      | CUSIP: 3132E0JB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     35506 | PA      | $37142.44      | 0.00%             | 2053-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.5 SI2123 02-01-55                                      | CUSIP: 3133USLC3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  12011352 | PA      | $12485788.59   | 0.05%             | 2055-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 7.0 CB8748 06-01-54                                      | CUSIP: 3140QUWJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    716322 | PA      | $752333.15     | 0.00%             | 2054-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCT UMBS 7.0 MA5786 07-01-45                                      | CUSIP: 31418FNC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    200000 | PA      | $210181.93     | 0.00%             | 2045-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 7.0 DF2575 12-01-55                                      | CUSIP: 3140BS2H9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1027934 | PA      | $1087640.37    | 0.00%             | 2055-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCT UMBS 7.0 ZS8922 04-01-28                                      | CUSIP: 3132A94F1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      1804 | PA      | $1890.55       | 0.00%             | 2028-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.5 QX9932 04-01-55                                      | CUSIP: 31426HBA0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    247270 | PA      | $257702.96     | 0.00%             | 2055-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.5 RQ0058 10-01-55                                      | CUSIP: 3142J6B44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    250985 | PA      | $260709.95     | 0.00%             | 2055-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.5 DE1166 06-01-55                                      | CUSIP: 3140BDJL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    261650 | PA      | $272311.25     | 0.00%             | 2055-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 QY3774 05-01-55                                      | CUSIP: 31426NFQ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3534435 | PA      | $3629299.56    | 0.01%             | 2055-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.0 AT5898 06-01-43                                      | CUSIP: 3138WTRU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   5976069 | PA      | $5632051.00    | 0.02%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.5 RQ0051 09-01-55                                      | CUSIP: 3142J6BV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  12557329 | PA      | $13047792.97   | 0.05%             | 2055-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.5 QZ2414 08-01-55                                      | CUSIP: 31426YVG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  12330195 | PA      | $12816497.92   | 0.05%             | 2055-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 7.0 MA5738 06-01-55                                      | CUSIP: 31418FLU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  25624361 | PA      | $26912599.97   | 0.11%             | 2055-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.0 FM5644 02-01-51                                      | CUSIP: 3140X9HW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    436977 | PA      | $362823.15     | 0.00%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 2.0 QB6890 12-01-50                                      | CUSIP: 3133ADUP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    297894 | PA      | $247794.27     | 0.00%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 2.0 QB8370 02-01-51                                      | CUSIP: 3133AFJP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    242405 | PA      | $201259.26     | 0.00%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.25% 08-15-54                         | CUSIP: 912810UC0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  18662400 | PA      | $17490169.87   | 0.07%             | 2054-08-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 3.375% 09-15-27                        | CUSIP: 91282CLL3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  80000000 | PA      | $79930744.00   | 0.32%             | 2027-09-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.5 898565 10-01-36                                      | CUSIP: 31410VJJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |       141 | PA      | $146.25        | 0.00%             | 2036-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.5 ZS1044 02-01-36                                      | CUSIP: 3132A1ER1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |       721 | PA      | $757.45        | 0.00%             | 2036-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNMDI4 4.0 BF0133 08-01-56                                         | CUSIP: 3140FXEF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  11598398 | PA      | $11317276.02   | 0.05%             | 2056-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.5 DE1082 06-01-55                                      | CUSIP: 3140BDFY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3792221 | PA      | $3940424.99    | 0.02%             | 2055-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.5 QY4677 06-01-55                                      | CUSIP: 31426PFT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1063020 | PA      | $1104702.04    | 0.00%             | 2055-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.5 DE1078 06-01-55                                      | CUSIP: 3140BDFU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1539891 | PA      | $1599794.20    | 0.01%             | 2055-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.5 DD8404 05-01-55                                      | CUSIP: 3140B9KS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2735633 | PA      | $2842051.76    | 0.01%             | 2055-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.5 FP0137 01-01-55                                      | CUSIP: 3140XTEK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    152135 | PA      | $158145.91     | 0.00%             | 2055-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 3.5 RQ0081 01-01-56                                      | CUSIP: 3142J6CT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1439861 | PA      | $1358292.53    | 0.01%             | 2056-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.5 BV6163 08-01-55                                      | CUSIP: 3140MKZ54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1114833 | PA      | $1051677.63    | 0.00%             | 2055-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 SD6562 09-01-54                                      | CUSIP: 3132DUJF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  28997832 | PA      | $29839203.88   | 0.12%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 BV1723 06-01-55                                      | CUSIP: 3140ME4H6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  19761570 | PA      | $20293334.09   | 0.08%             | 2055-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 7.0 DD8411 05-01-55                                      | CUSIP: 3140B9KZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1138336 | PA      | $1197199.20    | 0.00%             | 2055-05-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.5 BY1369 10-01-53                                      | CUSIP: 3140NHQX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    246453 | PA      | $232593.12     | 0.00%             | 2053-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.5 BY1370 02-01-53                                      | CUSIP: 3140NHQY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    230185 | PA      | $219157.43     | 0.00%             | 2053-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.5 DA4667 01-01-54                                      | CUSIP: 3140A5FH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     21417 | PA      | $22250.10      | 0.00%             | 2054-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.5 QY2656 05-01-55                                      | CUSIP: 31426L5S9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     77105 | PA      | $80096.92      | 0.00%             | 2055-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.5 RJ5151 08-01-55                                      | CUSIP: 3142GVWM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     41932 | PA      | $43564.45      | 0.00%             | 2055-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.5 DD6414 03-01-55                                      | CUSIP: 3140B7DU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1109643 | PA      | $1159782.91    | 0.00%             | 2055-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.5 QX6948 02-01-55                                      | CUSIP: 31426CWJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1166072 | PA      | $1211434.39    | 0.00%             | 2055-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.5 DD8146 04-01-55                                      | CUSIP: 3140B9BQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1063638 | PA      | $1105621.17    | 0.00%             | 2055-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.5 DB6296 06-01-54                                      | CUSIP: 3140AF7J9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     24249 | PA      | $25411.99      | 0.00%             | 2054-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.5 QY0237 04-01-55                                      | CUSIP: 31426JHP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1082625 | PA      | $1124740.54    | 0.00%             | 2055-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 DD0783 02-01-55                                      | CUSIP: 3140B02R8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    150335 | PA      | $154332.61     | 0.00%             | 2055-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 QX6647 02-01-55                                      | CUSIP: 31426CL51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    151762 | PA      | $155809.23     | 0.00%             | 2055-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 1.625% 05-15-31                        | CUSIP: 91282CCB5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  29550000 | PA      | $26861641.47   | 0.11%             | 2031-05-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 2.375% 05-15-51                        | CUSIP: 912810SX7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 100450000 | PA      | $65989040.39   | 0.27%             | 2051-05-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 1.25% 05-31-28                         | CUSIP: 91282CCE9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6300000 | PA      | $6012070.47    | 0.02%             | 2028-05-31      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 2.5 SD3478 04-01-52                                      | CUSIP: 3132DQ2K1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3629490 | PA      | $3149961.43    | 0.01%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 2.5 RA6136 10-01-51                                      | CUSIP: 3133KMY90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    717187 | PA      | $622431.92     | 0.00%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 2.5 SD0778 12-01-51                                      | CUSIP: 3132DM2K0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    354001 | PA      | $307677.68     | 0.00%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.5 BT1288 07-01-51                                      | CUSIP: 3140LPNE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    424883 | PA      | $369774.24     | 0.00%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 2.5 QC4231 07-01-51                                      | CUSIP: 3133ANVY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     36812 | PA      | $31948.22      | 0.00%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.5 FS3549 01-01-52                                      | CUSIP: 3140XJ5K5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    212879 | PA      | $185440.66     | 0.00%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.5 BV7761 03-01-52                                      | CUSIP: 3140MMTT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    414989 | PA      | $362335.35     | 0.00%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.5 FS3806 07-01-52                                      | CUSIP: 3140XKGQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    722091 | PA      | $628474.24     | 0.00%             | 2052-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 2.5 SD3226 03-01-52                                      | CUSIP: 3132DQSP2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    208924 | PA      | $181682.27     | 0.00%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 5.5 SD8462 09-01-54                                      | CUSIP: 3132DWMK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    945652 | PA      | $961888.77     | 0.00%             | 2054-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCT UMBS 7.0 RB5276 12-01-43                                      | CUSIP: 3133KY2H1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    102431 | PA      | $107573.24     | 0.00%             | 2043-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 2.5 SI2032 06-01-51                                      | CUSIP: 3133USHH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    215264 | PA      | $187092.27     | 0.00%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 2.5 RA3528 09-01-50                                      | CUSIP: 3133KJ4M1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    165703 | PA      | $144017.68     | 0.00%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 2.5 SD2629 01-01-52                                      | CUSIP: 3132DP4N5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   9552748 | PA      | $8314874.08    | 0.03%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.5 FM9530 07-01-51                                      | CUSIP: 3140XDSU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2308862 | PA      | $2003838.32    | 0.01%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 2.5 QD8807 03-01-52                                      | CUSIP: 3133B6YC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    218277 | PA      | $190271.76     | 0.00%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.5 BU1430 01-01-52                                      | CUSIP: 3140M2SU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    178002 | PA      | $154483.91     | 0.00%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNMDI4 3.0 BF0762 09-01-63                                         | CUSIP: 3140FXZ47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   6855966 | PA      | $6069970.68    | 0.02%             | 2063-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.5 FM9672 12-01-51                                      | CUSIP: 3140XDXA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  15725986 | PA      | $13681261.91   | 0.06%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.5 FS0235 01-01-52                                      | CUSIP: 3140XFHM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   5894517 | PA      | $5115668.82    | 0.02%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 4.5 MA4805 11-01-52                                      | CUSIP: 31418EKT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    331515 | PA      | $329372.06     | 0.00%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 2.5 QD6848 02-01-52                                      | CUSIP: 3133B4TD7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    184379 | PA      | $160396.28     | 0.00%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.5 FM7408 05-01-51                                      | CUSIP: 3140XBGS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    171563 | PA      | $148898.03     | 0.00%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.5 BT1892 02-01-52                                      | CUSIP: 3140LQC65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     89784 | PA      | $77920.01      | 0.00%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 2.5 QC7814 10-01-51                                      | CUSIP: 3133ASVF7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    187432 | PA      | $162669.03     | 0.00%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.5 BR7222 04-01-51                                      | CUSIP: 3140L6AY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  18435267 | PA      | $15999728.83   | 0.06%             | 2051-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.5 FS0546 02-01-52                                      | CUSIP: 3140XFTC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1343015 | PA      | $1165561.29    | 0.00%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.5 FM8422 08-01-51                                      | CUSIP: 3140XCLC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1838145 | PA      | $1598394.24    | 0.01%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.5 FS0174 01-01-52                                      | CUSIP: 3140XFFQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    171669 | PA      | $149284.80     | 0.00%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.5 CB1134 07-01-51                                      | CUSIP: 3140QLHL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    933744 | PA      | $810381.87     | 0.00%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.5 BU1062 10-01-51                                      | CUSIP: 3140M2FC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    490521 | PA      | $426744.01     | 0.00%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.5 FS0392 01-01-52                                      | CUSIP: 3140XFNJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2187828 | PA      | $1898770.06    | 0.01%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.5 CB0396 05-01-51                                      | CUSIP: 3140QKNN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    752167 | PA      | $652797.10     | 0.00%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 2.5 SD8219 06-01-52                                      | CUSIP: 3132DWDY6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    225154 | PA      | $196377.41     | 0.00%             | 2052-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 BY2260 05-01-53                                      | CUSIP: 3140NJQN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    312014 | PA      | $320684.37     | 0.00%             | 2053-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 FS4775 06-01-53                                      | CUSIP: 3140XLJV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   4988777 | PA      | $5135637.12    | 0.02%             | 2053-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 BX1070 12-01-52                                      | CUSIP: 3140N5FL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     73049 | PA      | $75399.43      | 0.00%             | 2052-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 SD3240 06-01-53                                      | CUSIP: 3132DQS56<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1894675 | PA      | $1956846.83    | 0.01%             | 2053-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 SD3356 07-01-53                                      | CUSIP: 3132DQWR3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  21134178 | PA      | $21810703.74   | 0.09%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.5 FS5192 06-01-53                                      | CUSIP: 3140XLXW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  17602606 | PA      | $17914664.59   | 0.07%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.5 FS8934 08-01-54                                      | CUSIP: 3140XQ4U8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  19490342 | PA      | $20510485.72   | 0.08%             | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.5 SD6733 10-01-54                                      | CUSIP: 3132DUPS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   6812266 | PA      | $7093578.12    | 0.03%             | 2054-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 RQ0041 08-01-55                                      | CUSIP: 3142J6BK8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  14014851 | PA      | $14384675.20   | 0.06%             | 2055-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 RQ0014 06-01-55                                      | CUSIP: 3142J6AQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  22307898 | PA      | $22906641.86   | 0.09%             | 2055-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.5 MA5792 08-01-55                                      | CUSIP: 31418FNJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  50034775 | PA      | $50891420.64   | 0.21%             | 2055-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2RF 4.779 AG8068 01-20-64                                         | CUSIP: 36182C6D4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |       777 | PA      | $783.27        | 0.00%             | 2064-01-20      | Fixed         | 4.78%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2SF 3.5 MA8199 08-20-52                                           | CUSIP: 36179XDC7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   4333729 | PA      | $4100747.89    | 0.02%             | 2052-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2SF 4.0 MA8567 01-20-53                                           | CUSIP: 36179XQU3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   4356036 | PA      | $4229126.85    | 0.02%             | 2053-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2RM FRN 894482 02-20-64                                           | CUSIP: 3620E1J21<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    299007 | PA      | $307619.10     | 0.00%             | 2064-02-20      | Variable      | 6.02%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2SF 2.5 MA8147 07-20-52                                           | CUSIP: 36179XBQ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    266732 | PA      | $235903.97     | 0.00%             | 2052-07-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2SF 3.5 MA8266 09-20-52                                           | CUSIP: 36179XFF8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  23138007 | PA      | $22015073.45   | 0.09%             | 2052-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2SF 4.5 MA9169 09-20-53                                           | CUSIP: 36179YFJ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  13990100 | PA      | $13894225.91   | 0.06%             | 2053-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2SF 4.5 MA9104 08-20-53                                           | CUSIP: 36179YDH4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  36001543 | PA      | $35804038.90   | 0.15%             | 2053-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2RM FRN 894475 10-20-63                                           | CUSIP: 3620E1H23<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    136754 | PA      | $140879.48     | 0.00%             | 2063-10-20      | Variable      | 6.09%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2SF 4.5 MA9015 07-20-53                                           | CUSIP: 36179YAQ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  32698723 | PA      | $32509233.88   | 0.13%             | 2053-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                  | GNR 2012-H20 PT FRN 07-20-62                                       | CUSIP: 38375BVS8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     44041 | PA      | $44232.17      | 0.00%             | 2062-07-20      | Variable      | 4.44%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2SF 4.0 MA8723 03-20-53                                           | CUSIP: 36179XVQ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   2750526 | PA      | $2671032.78    | 0.01%             | 2053-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2RF 4.95 751409 07-20-61                                          | CUSIP: 36230KR60<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |       593 | PA      | $585.92        | 0.00%             | 2061-07-20      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2RM FRN AG8149 06-20-64                                           | CUSIP: 36182DBS3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     17108 | PA      | $17172.69      | 0.00%             | 2064-06-20      | Variable      | 4.22%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2RF 4.779 795533 05-20-63                                         | CUSIP: 36177QEF6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |       170 | PA      | $171.33        | 0.00%             | 2063-05-20      | Fixed         | 4.78%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2RF 5.197 795471 02-20-62                                         | CUSIP: 36177QCH4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |       151 | PA      | $152.16        | 0.00%             | 2062-02-20      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2RF 4.757 759735 03-20-62                                         | CUSIP: 36230UY86<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |       360 | PA      | $361.92        | 0.00%             | 2062-03-20      | Fixed         | 4.76%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2RF 4.389 767641 05-20-63                                         | CUSIP: 36176JS68<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |       257 | PA      | $257.11        | 0.00%             | 2063-05-20      | Fixed         | 4.39%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2RF 4.553 767610 11-20-62                                         | CUSIP: 36176JR77<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |       146 | PA      | $146.07        | 0.00%             | 2062-11-20      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                  | GNR 2012-H12 FT FRN 05-20-62                                       | CUSIP: 38375BRN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     53177 | PA      | $53414.28      | 0.00%             | 2062-05-20      | Variable      | 4.18%                 | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | IFS RECFIX USD CPURNSA 2.594% 02-06-26/02-06-27 LCH                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $27620.47      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | IFS RECFIX USD CPURNSA 2.59% 02-06-26/02-06-27 LCH                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $25212.29      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | IFS RECFIX USD CPURNSA 2.529% 02-12-26/02-12-27 LCH                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $-34402.70     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | IFS RECFIX USD CPURNSA 2.524% 02-13-26/02-13-27 LCH                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $-76367.23     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | IFS RECFIX USD CPURNSA 2.53% 02-13-26/02-13-27 LCH                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $-32043.96     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | IFS PAYFIX USD CPURNSA 2.47% 02-23-26/02-23-27 LCH                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $1144506.22    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS PAYFIX USD 2.32625% 04-18-19/04-18-29 LCH                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $1439893.95    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS PAYFIX USD 0.5385% 03-26-20/03-26-30 LCH                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $23152842.24   | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS PAYFIX USD 0.666% 11-19-20/11-19-30 LCH                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $12192825.96   | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS PAYFIX USD 3.01413% 01-12-23/01-12-53 LCH                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $2600434.54    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS PAYFIX USD 3.02% 01-12-23/01-12-53 LCH                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $2581076.72    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS PAYFIX USD 3.41% 03-09-23/07-28-45 LCH                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $11265964.46   | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS RECFIX USD 3.31% 03-31-23/06-09-30 LCH                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $831880.48     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS RECFIX USD 3.45% 03-31-23/02-01-28 LCH                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $686256.42     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS RECFIX USD 3.47% 04-03-23/02-02-28 LCH                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $197183.14     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS RECFIX USD 3.065% 04-07-23/04-07-40 LCH                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $-1250182.04   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS RECFIX USD 3.18% 04-17-23/04-17-30 LCH                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $-26214.72     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS PAYFIX USD 2.974% 04-17-23/04-17-53 LCH                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $1648342.80    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS PAYFIX USD 3.044% 04-18-23/04-18-53 LCH                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $1540304.85    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS RECFIX USD 3.275% 04-18-23/04-18-30 LCH                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $95410.16      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 3.5% 11-15-28                          | CUSIP: 91282CPK1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5237600 | PA      | $5252739.81    | 0.02%             | 2028-11-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.625% 11-15-55                        | CUSIP: 912810UP1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 574878200 | PA      | $574069806.28  | 2.33%             | 2055-11-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY BILL 0.0% 03-17-26                          | CUSIP: 912797SZ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 100000000 | PA      | $99849120.00   | 0.41%             | 2026-03-17      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.625% 11-15-45                        | CUSIP: 912810UQ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2298400 | PA      | $2314063.60    | 0.01%             | 2045-11-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY BILL 0.0% 05-21-26                          | CUSIP: 912797SV0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 300000000 | PA      | $297613320.00  | 1.21%             | 2026-05-21      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY BILL 0.0% 03-24-26                          | CUSIP: 912797TA5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 400000000 | PA      | $399118760.00  | 1.62%             | 2026-03-24      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 3.5% 11-30-30                          | CUSIP: 91282CPN5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6448700 | PA      | $6445981.23    | 0.03%             | 2030-11-30      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 3.375% 11-30-27                        | CUSIP: 91282CPL9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7625400 | PA      | $7621126.73    | 0.03%             | 2027-11-30      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 3.75% 11-30-32                         | CUSIP: 91282CPM7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4797600 | PA      | $4811093.25    | 0.02%             | 2032-11-30      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 3.5% 12-15-28                          | CUSIP: 91282CPP0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5241800 | PA      | $5257771.24    | 0.02%             | 2028-12-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 2.25% 08-15-46                         | CUSIP: 912810RT7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  15360000 | PA      | $10508998.66   | 0.04%             | 2046-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 3.0% 02-15-47                          | CUSIP: 912810RV2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  20801800 | PA      | $16247083.64   | 0.07%             | 2047-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 2.0% 11-15-26                          | CUSIP: 912828U24<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  50000000 | PA      | $49445310.00   | 0.20%             | 2026-11-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 2.375% 05-15-27                        | CUSIP: 912828X88<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  48800000 | PA      | $48162613.44   | 0.20%             | 2027-05-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 2.75% 08-15-47                         | CUSIP: 912810RY6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  14222200 | PA      | $10548304.23   | 0.04%             | 2047-08-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 2.75% 11-15-47                         | CUSIP: 912810RZ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7374800 | PA      | $5455600.49    | 0.02%             | 2047-11-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 3.0% 02-15-48                          | CUSIP: 912810SA7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  15528900 | PA      | $11992175.94   | 0.05%             | 2048-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 2.875% 05-15-28                        | CUSIP: 9128284N7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  20000000 | PA      | $19784582.00   | 0.08%             | 2028-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 3.125% 05-15-48                        | CUSIP: 912810SC3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6500000 | PA      | $5121472.20    | 0.02%             | 2048-05-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 3.375% 05-15-44                        | CUSIP: 912810RG5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5277800 | PA      | $4505695.33    | 0.02%             | 2044-05-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 2.5 RA5275 05-01-51                                      | CUSIP: 3133KL2G1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    662306 | PA      | $576302.50     | 0.00%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.5 FS5125 10-01-51                                      | CUSIP: 3140XLVT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  28222081 | PA      | $24493407.59   | 0.10%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 2.5 QB5838 11-01-50                                      | CUSIP: 3133ACPX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    157853 | PA      | $137405.23     | 0.00%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2SF 2.0 MA6994 11-20-50                                           | CUSIP: 36179VXX3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   9263503 | PA      | $7857228.87    | 0.03%             | 2050-11-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2SF 6.5 AA4873 12-20-38                                           | CUSIP: 36178CMW0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     35686 | PA      | $36145.71      | 0.00%             | 2038-12-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2SF 5.5 783689 02-20-40                                           | CUSIP: 3622A2C26<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    714338 | PA      | $741600.98     | 0.00%             | 2040-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2SF 6.0 783690 09-20-39                                           | CUSIP: 3622A2C34<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    476969 | PA      | $505128.80     | 0.00%             | 2039-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2SF 5.0 783688 06-20-41                                           | CUSIP: 3622A2CZ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1348827 | PA      | $1385740.85    | 0.01%             | 2041-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2SF 4.5 783687 12-20-41                                           | CUSIP: 3622A2CY6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   3028778 | PA      | $3040072.75    | 0.01%             | 2041-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2SF 2.0 MA7051 12-20-50                                           | CUSIP: 36179VZQ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  32218560 | PA      | $27342828.87   | 0.11%             | 2050-12-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2SF 3.5 AA2589 03-20-43                                           | CUSIP: 36177Y2W5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    448937 | PA      | $419758.16     | 0.00%             | 2043-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2SF 2.0 MA7533 08-20-51                                           | CUSIP: 36179WLN6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  40155902 | PA      | $34053730.81   | 0.14%             | 2051-08-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2SF 2.5 MA7534 08-20-51                                           | CUSIP: 36179WLP1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  23358642 | PA      | $20641027.96   | 0.08%             | 2051-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY BILL 0.0% 04-30-26                          | CUSIP: 912797SN8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 300000000 | PA      | $298216470.00  | 1.21%             | 2026-04-30      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 4.0 QE1719 05-01-52                                      | CUSIP: 3133BA4C2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    593633 | PA      | $578462.86     | 0.00%             | 2052-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 4.0 QE9805 09-01-52                                      | CUSIP: 3133BK3N7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     28606 | PA      | $27917.59      | 0.00%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 4.0 QE4998 07-01-52                                      | CUSIP: 3133BERT2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     84474 | PA      | $82196.40      | 0.00%             | 2052-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 5.5 QX1414 12-01-54                                      | CUSIP: 31425VSC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1534146 | PA      | $1560433.49    | 0.01%             | 2054-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 4.0 RA6212 10-01-51                                      | CUSIP: 3133KM3V5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    304231 | PA      | $297865.16     | 0.00%             | 2051-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.5 BT1314 07-01-51                                      | CUSIP: 3140LPN81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    219823 | PA      | $191509.47     | 0.00%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 5.5 QX0310 11-01-54                                      | CUSIP: 31425UKY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1266675 | PA      | $1288470.93    | 0.01%             | 2054-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.5 MA5586 01-01-55                                      | CUSIP: 31418FF44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1112450 | PA      | $1131551.37    | 0.00%             | 2055-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                    | FGLMC 4.5 Z40273 10-01-48                                          | CUSIP: 3132FCJS5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    556805 | PA      | $561887.87     | 0.00%             | 2048-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 4.5 FS9792 12-01-50                                      | CUSIP: 3140XR3A1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    133541 | PA      | $134601.67     | 0.00%             | 2050-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 FS8795 08-01-54                                      | CUSIP: 3140XQXZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2473660 | PA      | $2540762.96    | 0.01%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 CB9821 01-01-55                                      | CUSIP: 3140QV4F8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  10905763 | PA      | $11255183.96   | 0.05%             | 2055-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 BU5358 12-01-54                                      | CUSIP: 3140M65U3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3243626 | PA      | $3349264.12    | 0.01%             | 2054-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.5 QX6698 02-01-55                                      | CUSIP: 31426CNQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    277962 | PA      | $290139.08     | 0.00%             | 2055-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | FSWP: OIS RECFIX USD 3.43574% 06-17-26/06-17-31 LCH                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $907140.12     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | FSWP: OIS RECFIX USD 4.13862% 06-17-26/06-17-56 LCH                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $1041376.45    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | FSWP: OIS RECFIX USD 4.07464% 06-17-26/06-17-56 LCH                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $741441.09     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | FSWP: OIS RECFIX USD 3.403% 06-17-26/06-17-31 LCH                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $754753.09     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | FSWP: OIS PAYFIX USD 3.73632% 06-17-26/06-17-36 LCH                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $-1592456.80   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS PAYFIX USD 3.4225% 09-22-25/09-22-32 LCH                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $-727356.10    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS PAYFIX USD 3.846% 02-09-26/02-09-36 LCH                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $-1861032.83   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS PAYFIX USD 3.8045% 02-09-26/02-09-36 LCH                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $-1617446.79   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS PAYFIX USD 3.817% 02-10-26/02-10-36 LCH                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $-2523414.80   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CME CHICAGO MERCANTILE EXCHANGE                           | SOFR 90DAY FUT OPT SFRH6C C @ 96.8125 03-13-26                     | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              |  | US        |     18350 | NC      | $-114687.50    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CME CHICAGO MERCANTILE EXCHANGE                           | SOFR 90DAY FUT OPT SFRH6C C @ 96.625 03-13-26                      | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              |  | US        |     30850 | NC      | $385625.00     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CME CHICAGO MERCANTILE EXCHANGE                           | UST 5YR FUT OPT 2IH6C C @ 109.5 03-13-26                           | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              |  | US        |      3485 | NC      | $-2477617.19   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| CME CHICAGO MERCANTILE EXCHANGE                           | UST 5YR FUT OPT 2IH6P P @ 109.5 03-13-26                           | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              |  | US        |      3485 | NC      | $-245039.06    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CME CHICAGO MERCANTILE EXCHANGE                           | FED FUND 30DAY FUT FFG6 02-27-26                                   | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |      5645 | NC      | $-1380225.49   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| CME CHICAGO MERCANTILE EXCHANGE                           | SOFR 90DAY FUT SFRH6 06-16-26                                      | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |       193 | NC      | $-302361.47    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CME CHICAGO MERCANTILE EXCHANGE                           | SOFR 90DAY FUT SFRM6 09-15-26                                      | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |       338 | NC      | $-212771.68    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CME CHICAGO MERCANTILE EXCHANGE                           | SOFR 90DAY FUT SFRZ5 03-17-26                                      | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |        23 | NC      | $-4773.19      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CME CHICAGO MERCANTILE EXCHANGE                           | UST 10YR FUT ULTRA UXYM6 06-18-26                                  | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |       790 | NC      | $490487.30     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CME CHICAGO MERCANTILE EXCHANGE                           | UST 30YR FUT ULTRA WNM6 06-18-26                                   | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |      7186 | NC      | $10258319.49   | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| CME CHICAGO MERCANTILE EXCHANGE                           | UST 10YR FUT TYM6 06-18-26                                         | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |      8829 | NC      | $-6240010.51   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| CME CHICAGO MERCANTILE EXCHANGE                           | UST 20YR FUT USM6 06-18-26                                         | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |      2872 | NC      | $2607898.07    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| CME CHICAGO MERCANTILE EXCHANGE                           | UST 2YR FUT TUM6 06-30-26                                          | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |     55236 | NC      | $17863737.07   | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| CME CHICAGO MERCANTILE EXCHANGE                           | UST 5YR FUT FVM6 06-30-26                                          | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |     26494 | NC      | $13540922.28   | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY BILL 0.0% 05-07-26                          | CUSIP: 912797SP3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 130000000 | PA      | $129143183.00  | 0.52%             | 2026-05-07      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.0% 11-15-35                          | CUSIP: 91282CPJ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  13119700 | PA      | $13169923.52   | 0.05%             | 2035-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 3.125% 11-15-41                        | CUSIP: 912810QT8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    100000 | PA      | $85257.86      | 0.00%             | 2041-11-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 2.75% 11-15-42                         | CUSIP: 912810QY7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  30021400 | PA      | $23832518.41   | 0.10%             | 2042-11-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY INFLATION INDEXED BONDS I/L 0.625% 02-15-43 | CUSIP: 912810RA8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  47772700 | PA      | $36921223.27   | 0.15%             | 2043-02-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 2.875% 05-15-43                        | CUSIP: 912810RB6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10880000 | PA      | $8727339.78    | 0.04%             | 2043-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 3.0% 05-15-45                          | CUSIP: 912810RM2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3350000 | PA      | $2669073.98    | 0.01%             | 2045-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 5.0% 05-15-37                          | CUSIP: 912810PU6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1500000 | PA      | $1636992.15    | 0.01%             | 2037-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 2.5% 02-15-46                          | CUSIP: 912810RQ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   8997000 | PA      | $6504096.84    | 0.03%             | 2046-02-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 3.0% 08-15-48                          | CUSIP: 912810SD1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  27802000 | PA      | $21361850.19   | 0.09%             | 2048-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 2.25% 08-15-49                         | CUSIP: 912810SJ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  13076200 | PA      | $8535554.93    | 0.03%             | 2049-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 1.375% 08-31-26                        | CUSIP: 912828YD6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2500000 | PA      | $2472314.50    | 0.01%             | 2026-08-31      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 1.5% 01-31-27                          | CUSIP: 912828Z78<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  13500000 | PA      | $13253730.30   | 0.05%             | 2027-01-31      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 0.5% 06-30-27                          | CUSIP: 912828ZV5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  14000000 | PA      | $13466296.20   | 0.05%             | 2027-06-30      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 1.375% 08-15-50                        | CUSIP: 912810SP4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  71480000 | PA      | $36811170.69   | 0.15%             | 2050-08-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 0.625% 08-15-30                        | CUSIP: 91282CAE1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  14510000 | PA      | $12808442.77   | 0.05%             | 2030-08-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 0.5% 08-31-27                          | CUSIP: 91282CAH4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  33320000 | PA      | $31910953.84   | 0.13%             | 2027-08-31      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 0.375% 09-30-27                        | CUSIP: 91282CAL5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  45000000 | PA      | $42913998.00   | 0.17%             | 2027-09-30      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 0.5% 10-31-27                          | CUSIP: 91282CAU5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  18790000 | PA      | $17912369.83   | 0.07%             | 2027-10-31      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 0.625% 11-30-27                        | CUSIP: 91282CAY7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3100000 | PA      | $2955331.68    | 0.01%             | 2027-11-30      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 1.25% 03-31-28                         | CUSIP: 91282CBS9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    390000 | PA      | $373440.25     | 0.00%             | 2028-03-31      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 0.75% 04-30-26                         | CUSIP: 91282CBW0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  11220000 | PA      | $11167626.16   | 0.05%             | 2026-04-30      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 MA5011 05-01-53                                      | CUSIP: 31418ER93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        | 109274244 | PA      | $113093378.61  | 0.46%             | 2053-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 SD8325 05-01-53                                      | CUSIP: 3132DWHA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  76468100 | PA      | $79008140.63   | 0.32%             | 2053-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCT UMBS 2.0 MA4407 08-01-41                                      | CUSIP: 31418D3R1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  85726204 | PA      | $76054145.27   | 0.31%             | 2041-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCT UMBS 2.0 FM7690 07-01-41                                      | CUSIP: 3140XBRL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  11454725 | PA      | $10243937.36   | 0.04%             | 2041-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCT UMBS 2.0 SC0175 09-01-41                                      | CUSIP: 3132D9FQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   7239299 | PA      | $6475169.38    | 0.03%             | 2041-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCT UMBS 2.0 FM8120 08-01-41                                      | CUSIP: 3140XCAW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   7810881 | PA      | $7004703.93    | 0.03%             | 2041-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCT UMBS 2.0 SC0169 06-01-41                                      | CUSIP: 3132D9FJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3858608 | PA      | $3446493.15    | 0.01%             | 2041-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCT UMBS 2.0 BT5941 07-01-41                                      | CUSIP: 3140LUS77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   4542017 | PA      | $4058918.96    | 0.02%             | 2041-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCT UMBS 2.0 MA4093 08-01-40                                      | CUSIP: 31418DRP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2261034 | PA      | $2047140.13    | 0.01%             | 2040-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCT UMBS 2.0 SC0113 12-01-40                                      | CUSIP: 3132D9DS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2133513 | PA      | $1914687.45    | 0.01%             | 2040-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 MA5040 06-01-53                                      | CUSIP: 31418ES68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  48080460 | PA      | $49612591.80   | 0.20%             | 2053-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.0 MA5038 06-01-53                                      | CUSIP: 31418ES43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     80085 | PA      | $80883.91      | 0.00%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 SD8332 06-01-53                                      | CUSIP: 3132DWHH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        | 186986273 | PA      | $193122227.66  | 0.78%             | 2053-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.5 MA5039 06-01-53                                      | CUSIP: 31418ES50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  43431814 | PA      | $44321253.76   | 0.18%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.5 CB6491 06-01-53                                      | CUSIP: 3140QSF97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  21704137 | PA      | $22736646.38   | 0.09%             | 2053-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.5 CB6468 06-01-53                                      | CUSIP: 3140QSFJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   6339103 | PA      | $6636869.72    | 0.03%             | 2053-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.5 CB6490 06-01-53                                      | CUSIP: 3140QSF89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   7991537 | PA      | $8321706.93    | 0.03%             | 2053-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 CB6486 06-01-53                                      | CUSIP: 3140QSF48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  20722563 | PA      | $21410904.71   | 0.09%             | 2053-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 CB6465 06-01-53                                      | CUSIP: 3140QSFF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  15045779 | PA      | $15578820.57   | 0.06%             | 2053-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 CB6485 06-01-53                                      | CUSIP: 3140QSF30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  32624426 | PA      | $33642960.97   | 0.14%             | 2053-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.5 RA9287 06-01-53                                      | CUSIP: 3133KRJ88<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   4831707 | PA      | $5135287.49    | 0.02%             | 2053-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 RA9279 06-01-53                                      | CUSIP: 3133KRJY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   4713028 | PA      | $4916592.81    | 0.02%             | 2053-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.5 RA9288 06-01-53                                      | CUSIP: 3133KRJ96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   7116770 | PA      | $7553270.02    | 0.03%             | 2053-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.5 CB8226 03-01-54                                      | CUSIP: 3140QUD86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  26285418 | PA      | $27431041.54   | 0.11%             | 2054-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.5 SD6530 08-01-54                                      | CUSIP: 3132DUHF7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  44183363 | PA      | $46618661.94   | 0.19%             | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.5 RJ0108 10-01-53                                      | CUSIP: 3142GQDN9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  28982941 | PA      | $30544251.85   | 0.12%             | 2053-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                         | GNSF 6.0 782365 07-15-38                                           | CUSIP: 36241KTW8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     80071 | PA      | $84535.80      | 0.00%             | 2038-07-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                         | GNSF 5.5 700778 10-15-38                                           | CUSIP: 36296TQ71<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     31149 | PA      | $32055.89      | 0.00%             | 2038-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                         | GNSF 5.0 698406 07-15-39                                           | CUSIP: 36296Q3P2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    168093 | PA      | $173815.09     | 0.00%             | 2039-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2SF 4.5 004636 02-20-40                                           | CUSIP: 36202FEH5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    296598 | PA      | $301183.68     | 0.00%             | 2040-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                         | GNSF 4.0 741910 02-15-39                                           | CUSIP: 3620AWGT1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     86333 | PA      | $85615.70      | 0.00%             | 2039-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                         | GNSF 5.0 736084 100% MOD 06-15-40                                  | CUSIP: 3620APXM2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     93073 | PA      | $95046.18      | 0.00%             | 2040-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                         | GNSF 736089 06-15-40                                               | CUSIP: 3620APXS9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    116379 | PA      | $118388.28     | 0.00%             | 2040-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2SF MA5332 07-20-48                                               | CUSIP: 36179T4R3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      8390 | PA      | $8560.73       | 0.00%             | 2048-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2SF 5.0 MA6042 07-20-49                                           | CUSIP: 36179UWB4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     16384 | PA      | $16730.68      | 0.00%             | 2049-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2SF 6.5 738836 11-20-38                                           | CUSIP: 3620ASY94<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     54518 | PA      | $56457.10      | 0.00%             | 2038-11-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2SF 6.5 754287 11-20-38                                           | CUSIP: 36230NXQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     49019 | PA      | $50763.89      | 0.00%             | 2038-11-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2 6.5 005112 07-20-41                                             | CUSIP: 36202FVD5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     43410 | PA      | $45036.66      | 0.00%             | 2041-07-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2SF 4.0 754591 01-20-42                                           | CUSIP: 36230PC40<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    837687 | PA      | $824335.26     | 0.00%             | 2042-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2SF 3.5 754636 11-20-41                                           | CUSIP: 36230PEH9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    397679 | PA      | $375172.75     | 0.00%             | 2041-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2SF 4.0 754637 01-20-42                                           | CUSIP: 36230PEJ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    341423 | PA      | $335430.55     | 0.00%             | 2042-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2SF 6.5 754319 01-20-37                                           | CUSIP: 36230NYQ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     54931 | PA      | $57553.76      | 0.00%             | 2037-01-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2SF 6.5 754314 01-20-39                                           | CUSIP: 36230NYK5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    344121 | PA      | $364488.47     | 0.00%             | 2039-01-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2SF 6.5 754334 10-20-32                                           | CUSIP: 36230NY74<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    132512 | PA      | $136458.91     | 0.00%             | 2032-10-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2SF 6.5 754335 08-20-29                                           | CUSIP: 36230NY82<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     36635 | PA      | $37263.44      | 0.00%             | 2029-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2 5.0 005040 04-20-41                                             | CUSIP: 36202FS56<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     24728 | PA      | $25218.19      | 0.00%             | 2041-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2 5.5 004182 07-20-38                                             | CUSIP: 36202EUF4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     10173 | PA      | $10226.16      | 0.00%             | 2038-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2 5.5 005187 09-20-41                                             | CUSIP: 36202FXQ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     58388 | PA      | $58693.58      | 0.00%             | 2041-09-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2 4.0 005157 08-20-41                                             | CUSIP: 36202FWS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     76590 | PA      | $73454.74      | 0.00%             | 2041-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 FS8866 09-01-54                                      | CUSIP: 3140XQZ83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   4873745 | PA      | $5034681.16    | 0.02%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 FS8758 08-01-54                                      | CUSIP: 3140XQWU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2549486 | PA      | $2624443.05    | 0.01%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.5 RJ1535 05-01-54                                      | CUSIP: 3142GRV56<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  12049117 | PA      | $12698058.79   | 0.05%             | 2054-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.0 MA5530 11-01-54                                      | CUSIP: 31418FEC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  11305055 | PA      | $11373506.75   | 0.05%             | 2054-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 CB9432 11-01-54                                      | CUSIP: 3140QVPS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  11048813 | PA      | $11422119.66   | 0.05%             | 2054-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 4.5 RJ2851 11-01-54                                      | CUSIP: 3142GTEZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   7705054 | PA      | $7628258.15    | 0.03%             | 2054-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 5.0 RJ2860 11-01-54                                      | CUSIP: 3142GTFA9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   4613760 | PA      | $4643472.97    | 0.02%             | 2054-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 5.5 RJ2917 11-01-54                                      | CUSIP: 3142GTG34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  10773505 | PA      | $10968225.31   | 0.04%             | 2054-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 5.5 SD8493 12-01-54                                      | CUSIP: 3132DWNJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2313854 | PA      | $2353703.31    | 0.01%             | 2054-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 SD8432 05-01-54                                      | CUSIP: 3132DWLM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      7835 | PA      | $8041.35       | 0.00%             | 2054-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.5 CB0844 06-01-51                                      | CUSIP: 3140QK5E4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    726642 | PA      | $630643.22     | 0.00%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.5 CB7242 10-01-53                                      | CUSIP: 3140QTBL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   7133232 | PA      | $7429895.46    | 0.03%             | 2053-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 5.0 RJ3017 12-01-54                                      | CUSIP: 3142GTK70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  10799622 | PA      | $10866514.85   | 0.04%             | 2054-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 5.0 RJ3012 12-01-54                                      | CUSIP: 3142GTK21<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3519364 | PA      | $3561748.00    | 0.01%             | 2054-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.5 FS9025 09-01-54                                      | CUSIP: 3140XRA39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3862619 | PA      | $3973588.66    | 0.02%             | 2054-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.0 MA5552 12-01-54                                      | CUSIP: 31418FE29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  10959733 | PA      | $11025820.62   | 0.04%             | 2054-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 4.5 FS9508 03-01-54                                      | CUSIP: 3140XRR64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  17874409 | PA      | $17737687.60   | 0.07%             | 2054-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.5 MA5531 11-01-54                                      | CUSIP: 31418FED5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   4713578 | PA      | $4794995.43    | 0.02%             | 2054-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 5.0 RJ3163 12-01-54                                      | CUSIP: 3142GTQR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   8258652 | PA      | $8348910.94    | 0.03%             | 2054-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.5 CB9616 12-01-54                                      | CUSIP: 3140QVVJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   4936099 | PA      | $5044875.55    | 0.02%             | 2054-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.5 BU5234 12-01-54                                      | CUSIP: 3140M6Y80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2662779 | PA      | $2721524.97    | 0.01%             | 2054-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 5.5 SD8469 10-01-54                                      | CUSIP: 3132DWMS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   4760305 | PA      | $4843010.07    | 0.02%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.5 MA5472 09-01-54                                      | CUSIP: 31418FCJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   5695663 | PA      | $5917224.43    | 0.02%             | 2054-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 2.5 QC3551 07-01-51                                      | CUSIP: 3133AM5L6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3566798 | PA      | $3115812.30    | 0.01%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.5 DC1349 09-01-54                                      | CUSIP: 3140ANQB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   5227093 | PA      | $5435120.50    | 0.02%             | 2054-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 5.5 SD8475 11-01-54                                      | CUSIP: 3132DWMY6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  40544671 | PA      | $41244999.52   | 0.17%             | 2054-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.5 QX0923 12-01-54                                      | CUSIP: 31425VAZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3406395 | PA      | $3540746.21    | 0.01%             | 2054-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 4.0 CB5400 12-01-52                                      | CUSIP: 3140QRAA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    393954 | PA      | $384765.63     | 0.00%             | 2052-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 4.0 CB6455 06-01-53                                      | CUSIP: 3140QSE56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     66997 | PA      | $65339.36      | 0.00%             | 2053-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 4.0 BW8874 09-01-52                                      | CUSIP: 3140N12G7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     52372 | PA      | $51079.16      | 0.00%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 4.0 FS6257 06-01-53                                      | CUSIP: 3140XM5T9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    239588 | PA      | $233699.01     | 0.00%             | 2053-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.0 BU5361 12-01-54                                      | CUSIP: 3140M65X7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   6334520 | PA      | $6403749.50    | 0.03%             | 2054-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 QX1881 12-01-54                                      | CUSIP: 31425WCT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2959393 | PA      | $3053173.16    | 0.01%             | 2054-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 5.0 QX1743 12-01-54                                      | CUSIP: 31425V5D1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   5504525 | PA      | $5565108.14    | 0.02%             | 2054-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 5.0 QX2834 12-01-54                                      | CUSIP: 31425XEG0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1825478 | PA      | $1845383.15    | 0.01%             | 2054-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 5.5 RJ2200 08-01-54                                      | CUSIP: 3142GSNS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   4984193 | PA      | $5079680.61    | 0.02%             | 2054-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.0 BQ6356 11-01-50                                      | CUSIP: 3140KSB22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1969374 | PA      | $1635098.51    | 0.01%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.0 BT2177 02-01-52                                      | CUSIP: 3140LQM31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2020255 | PA      | $1676393.28    | 0.01%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 5.5 RJ2243 08-01-54                                      | CUSIP: 3142GSP51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2896646 | PA      | $2961434.78    | 0.01%             | 2054-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 5.5 RJ2203 08-01-54                                      | CUSIP: 3142GSNV6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    525883 | PA      | $538100.64     | 0.00%             | 2054-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.0 FM6332 02-01-51                                      | CUSIP: 3140XABA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    605020 | PA      | $501956.60     | 0.00%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.0 CB2927 02-01-52                                      | CUSIP: 3140QNHD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   4241747 | PA      | $3523148.78    | 0.01%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 2.0 SD4071 03-01-52                                      | CUSIP: 3132E0QY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   6916251 | PA      | $5737902.03    | 0.02%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 2.0 QB7061 12-01-50                                      | CUSIP: 3133ADZ25<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3405492 | PA      | $2830273.79    | 0.01%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.0 FS7385 02-01-51                                      | CUSIP: 3140XPF38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2326902 | PA      | $1935331.09    | 0.01%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 2.0 QC3423 06-01-51                                      | CUSIP: 3133AMYU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    516914 | PA      | $428850.68     | 0.00%             | 2051-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.0 BT0519 05-01-51                                      | CUSIP: 3140LNSH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    550096 | PA      | $456381.47     | 0.00%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.0 FM8827 10-01-51                                      | CUSIP: 3140XCYZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    689431 | PA      | $571973.12     | 0.00%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 2.0 QB7053 12-01-50                                      | CUSIP: 3133ADZS8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    314771 | PA      | $261147.36     | 0.00%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.0 BT7309 09-01-51                                      | CUSIP: 3140LWDP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    171479 | PA      | $142262.63     | 0.00%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 2.0 QD7087 02-01-52                                      | CUSIP: 3133B42U8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    435263 | PA      | $361099.29     | 0.00%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 2.0 SD1406 08-01-52                                      | CUSIP: 3132DNR39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1579356 | PA      | $1310658.67    | 0.01%             | 2052-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.0 FM7943 07-01-51                                      | CUSIP: 3140XBZH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    519486 | PA      | $430983.14     | 0.00%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 2.0 QB7230 01-01-51                                      | CUSIP: 3133AEA79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     27153 | PA      | $22527.36      | 0.00%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.0 FM5848 02-01-51                                      | CUSIP: 3140X9QA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2887467 | PA      | $2415559.81    | 0.01%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.0 CB3040 03-01-52                                      | CUSIP: 3140QNLW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  15831648 | PA      | $13166057.33   | 0.05%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 2.0 QB9090 02-01-51                                      | CUSIP: 3133AGC31<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     77968 | PA      | $64685.30      | 0.00%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.0 CB2850 02-01-52                                      | CUSIP: 3140QNEY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   4237279 | PA      | $3515327.02    | 0.01%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 RJ2216 08-01-54                                      | CUSIP: 3142GSPA0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  15462029 | PA      | $15916628.03   | 0.06%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.5 RJ2228 08-01-54                                      | CUSIP: 3142GSPN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   4552426 | PA      | $4746199.80    | 0.02%             | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.0 FS0490 01-01-52                                      | CUSIP: 3140XFRL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     47832 | PA      | $39682.56      | 0.00%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 2.0 QD6951 02-01-52                                      | CUSIP: 3133B4WL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     32471 | PA      | $26938.58      | 0.00%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.0 BU7817 12-01-51                                      | CUSIP: 3140M9VK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    555076 | PA      | $460501.81     | 0.00%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.0 FS6605 06-01-52                                      | CUSIP: 3140XNKT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    248429 | PA      | $206191.10     | 0.00%             | 2052-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 2.0 QB7858 01-01-51                                      | CUSIP: 3133AEWT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    527153 | PA      | $437349.81     | 0.00%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.0 CB3095 03-01-52                                      | CUSIP: 3140QNNM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   9870647 | PA      | $8188807.56    | 0.03%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 2.0 SD0477 11-01-50                                      | CUSIP: 3132DMQ65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1989391 | PA      | $1654202.86    | 0.01%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 MA5587 01-01-55                                      | CUSIP: 31418FF51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   8296706 | PA      | $8515631.03    | 0.03%             | 2055-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 2.0 RA6816 02-01-52                                      | CUSIP: 3133KNSD6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1447769 | PA      | $1201090.92    | 0.00%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 4.5 MA5612 02-01-55                                      | CUSIP: 31418FGW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      1901 | PA      | $1881.88       | 0.00%             | 2055-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.625% 02-15-40                        | CUSIP: 912810QE1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    580000 | PA      | $601098.20     | 0.00%             | 2040-02-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.75% 02-15-41                         | CUSIP: 912810QN1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6330000 | PA      | $6609951.85    | 0.03%             | 2041-02-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.5 RJ2222 08-01-54                                      | CUSIP: 3142GSPG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  24086866 | PA      | $25196861.01   | 0.10%             | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.5 CB9071 08-01-54                                      | CUSIP: 3140QVCH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  11762123 | PA      | $12293712.12   | 0.05%             | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 4.5 RJ3264 02-01-55                                      | CUSIP: 3142GTTW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  18723199 | PA      | $18579966.16   | 0.08%             | 2055-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.5 MA5631 02-01-55                                      | CUSIP: 31418FHH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1081574 | PA      | $1123648.00    | 0.00%             | 2055-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 2.5% 02-15-45                          | CUSIP: 912810RK6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  60100000 | PA      | $44127391.28   | 0.18%             | 2045-02-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCT UMBS 6.5 256708 03-01-27                                      | CUSIP: 31371NDM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |       394 | PA      | $408.98        | 0.00%             | 2027-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 SD8507 02-01-55                                      | CUSIP: 3132DWNY5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  29246342 | PA      | $30018065.02   | 0.12%             | 2055-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 5.5 SD8506 02-01-55                                      | CUSIP: 3132DWNX7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     10039 | PA      | $10211.15      | 0.00%             | 2055-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.5 ZI5486 09-01-36                                      | CUSIP: 3131WJCX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      1588 | PA      | $1671.70       | 0.00%             | 2036-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCT UMBS 6.5 AD0329 09-01-28                                      | CUSIP: 31418MLK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |       661 | PA      | $685.33        | 0.00%             | 2028-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.5 MA5648 03-01-55                                      | CUSIP: 31418FH26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   4586307 | PA      | $4764718.55    | 0.02%             | 2055-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 SD8516 03-01-55                                      | CUSIP: 3132DWN90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   9187557 | PA      | $9429988.89    | 0.04%             | 2055-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.5 MA4919 02-01-53                                      | CUSIP: 31418EPD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  13579818 | PA      | $13862061.34   | 0.06%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.5 BX2476 12-01-52                                      | CUSIP: 3140N6XE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    689019 | PA      | $702827.03     | 0.00%             | 2052-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 4.0 CB5378 09-01-52                                      | CUSIP: 3140QQ6Q3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     37983 | PA      | $37099.74      | 0.00%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCT UMBS 6.5 AL5156 02-01-29                                      | CUSIP: 3138EMWS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     43198 | PA      | $44802.24      | 0.00%             | 2029-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.5 BX7703 02-01-53                                      | CUSIP: 3140NCRZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2623887 | PA      | $2733759.25    | 0.01%             | 2053-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 MA4942 03-01-53                                      | CUSIP: 31418EP46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1233502 | PA      | $1274970.09    | 0.01%             | 2053-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.5 SD8526 04-01-55                                      | CUSIP: 3132DWPK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  16449979 | PA      | $17089899.89   | 0.07%             | 2055-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.5 QX6697 02-01-55                                      | CUSIP: 31426CNP5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     24545 | PA      | $25600.79      | 0.00%             | 2055-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 CB5778 12-01-52                                      | CUSIP: 3140QRM42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    201588 | PA      | $208162.62     | 0.00%             | 2052-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 QF6121 01-01-53                                      | CUSIP: 3133BTYS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    408214 | PA      | $420908.42     | 0.00%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 SD8534 05-01-55                                      | CUSIP: 3132DWPT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  44222056 | PA      | $45388987.41   | 0.18%             | 2055-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.5 QY2186 04-01-55                                      | CUSIP: 31426LNC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1772119 | PA      | $1841428.21    | 0.01%             | 2055-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.5 FS1080 02-01-52                                      | CUSIP: 3140XGFW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1251312 | PA      | $1086373.80    | 0.00%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 4.0 BW6960 12-01-52                                      | CUSIP: 3140MYWW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    977663 | PA      | $953211.55     | 0.00%             | 2052-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.0 FM7751 05-01-51                                      | CUSIP: 3140XBTH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    233129 | PA      | $193413.16     | 0.00%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.0 BR7191 04-01-51                                      | CUSIP: 3140L57D2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    274731 | PA      | $227929.44     | 0.00%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 4.0 BW8736 10-01-52                                      | CUSIP: 3140N1V67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1057737 | PA      | $1032310.12    | 0.00%             | 2052-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCI UMBS 2.5 MA4583 04-01-37                                      | CUSIP: 31418ECV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    605549 | PA      | $577759.68     | 0.00%             | 2037-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.5 CB6106 04-01-53                                      | CUSIP: 3140QRYC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   4096468 | PA      | $4339138.90    | 0.02%             | 2053-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 5.5 SD8324 05-01-53                                      | CUSIP: 3132DWG98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  13761080 | PA      | $14039742.35   | 0.06%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 2.0 RA4982 04-01-51                                      | CUSIP: 3133KLRB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   4081932 | PA      | $3386522.23    | 0.01%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.0 BU1450 01-01-52                                      | CUSIP: 3140M2TG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2621750 | PA      | $2182368.05    | 0.01%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 5.0 SD8323 05-01-53                                      | CUSIP: 3132DWG80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2572798 | PA      | $2598601.06    | 0.01%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.0 MA5009 05-01-53                                      | CUSIP: 31418ER77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   5154576 | PA      | $5194086.02    | 0.02%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.0 FM6556 03-01-51                                      | CUSIP: 3140XAJA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    903219 | PA      | $749360.94     | 0.00%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.5 CB8018 02-01-54                                      | CUSIP: 3140QT4C0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     24581 | PA      | $25713.84      | 0.00%             | 2054-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.5 MA5010 05-01-53                                      | CUSIP: 31418ER85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   9219338 | PA      | $9408140.75    | 0.04%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH FHMS_K751 | FHMS K751 A2 (MF) 4.412% 03-25-30                                  | CUSIP: 3137HA4B9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |  50000000 | PA      | $51085750.00   | 0.21%             | 2030-03-25      | Fixed         | 4.41%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.5 DC2758 04-01-55                                      | CUSIP: 3140AQB43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     26051 | PA      | $27072.92      | 0.00%             | 2055-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.5 MA5762 07-01-55                                      | CUSIP: 31418FML8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  11071291 | PA      | $11501986.49   | 0.05%             | 2055-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.5 BR2095 07-01-51                                      | CUSIP: 3140L0KH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  16260794 | PA      | $14262781.52   | 0.06%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 MA4980 04-01-53                                      | CUSIP: 31418ERA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   8491775 | PA      | $8754179.22    | 0.04%             | 2053-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.5 DD2617 03-01-55                                      | CUSIP: 3140B24B7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    829689 | PA      | $862002.95     | 0.00%             | 2055-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.5 RQ0029 07-01-55                                      | CUSIP: 3142J6A78<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1821918 | PA      | $1893013.01    | 0.01%             | 2055-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.5 RA9289 06-01-53                                      | CUSIP: 3133KRKA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   7260177 | PA      | $7690270.00    | 0.03%             | 2053-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.5 RA9290 06-01-53                                      | CUSIP: 3133KRKB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   4155550 | PA      | $4399247.57    | 0.02%             | 2053-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.5 FS8786 07-01-54                                      | CUSIP: 3140XQXQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1978716 | PA      | $2079736.96    | 0.01%             | 2054-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.5 RQ0015 06-01-55                                      | CUSIP: 3142J6AR4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        | 112867209 | PA      | $117257855.80  | 0.48%             | 2055-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 RJ2212 08-01-54                                      | CUSIP: 3142GSN61<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1445085 | PA      | $1508489.13    | 0.01%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.5 SD4693 01-01-54                                      | CUSIP: 3132DSGA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3497627 | PA      | $3643810.80    | 0.01%             | 2054-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNGT 1999-T2 A1 FRN 01-19-39                                       | CUSIP: 31359VYH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGA              | US        |     59083 | PA      | $61050.29      | 0.00%             | 2039-01-19      | Variable      | 7.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 DB5214 07-01-54                                      | CUSIP: 3140AEYL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2380979 | PA      | $2447664.99    | 0.01%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 DB2495 05-01-54                                      | CUSIP: 3140ABXZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    965990 | PA      | $992449.34     | 0.00%             | 2054-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.5 SD6034 08-01-54                                      | CUSIP: 3132DTV31<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   8262261 | PA      | $8643002.34    | 0.04%             | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.5 SD6047 08-01-54                                      | CUSIP: 3132DTWG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3036164 | PA      | $3201115.45    | 0.01%             | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 DB7792 08-01-54                                      | CUSIP: 3140AHUS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    589383 | PA      | $604934.25     | 0.00%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 BU4707 07-01-54                                      | CUSIP: 3140M6GR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1017168 | PA      | $1045236.71    | 0.00%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.5 SD6035 08-01-54                                      | CUSIP: 3132DTV49<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1987667 | PA      | $2087137.89    | 0.01%             | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.5 RJ2320 09-01-54                                      | CUSIP: 3142GSSJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3182735 | PA      | $3332256.94    | 0.01%             | 2054-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 RJ2309 09-01-54                                      | CUSIP: 3142GSR75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3246985 | PA      | $3342449.54    | 0.01%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 RJ2306 09-01-54                                      | CUSIP: 3142GSR42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   5330507 | PA      | $5567603.02    | 0.02%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 RJ2308 09-01-54                                      | CUSIP: 3142GSR67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   5385033 | PA      | $5621306.22    | 0.02%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 RJ2312 09-01-54                                      | CUSIP: 3142GSSA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   5601236 | PA      | $5786194.85    | 0.02%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.5 SD5221 04-01-54                                      | CUSIP: 3132DSYS5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3855369 | PA      | $4069986.27    | 0.02%             | 2054-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.5 FS7653 03-01-54                                      | CUSIP: 3140XPQF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2719387 | PA      | $2870766.76    | 0.01%             | 2054-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.5 FS6767 01-01-54                                      | CUSIP: 3140XNQV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  13824161 | PA      | $14570803.45   | 0.06%             | 2054-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.5 RJ0326 11-01-53                                      | CUSIP: 3142GQLG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   4941031 | PA      | $5148984.44    | 0.02%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 FS8756 08-01-54                                      | CUSIP: 3140XQWS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2076519 | PA      | $2145087.47    | 0.01%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 SD6029 08-01-54                                      | CUSIP: 3132DTVW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3119611 | PA      | $3222623.19    | 0.01%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 BU4916 08-01-54                                      | CUSIP: 3140M6PA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2239669 | PA      | $2305515.62    | 0.01%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 SD5813 07-01-54                                      | CUSIP: 3132DTN63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   5004465 | PA      | $5157662.00    | 0.02%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 FS8757 08-01-54                                      | CUSIP: 3140XQWT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   5072886 | PA      | $5283228.65    | 0.02%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 BU4968 08-01-54                                      | CUSIP: 3140M6QW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    382210 | PA      | $392494.10     | 0.00%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 RJ3240 01-01-55                                      | CUSIP: 3142GTS64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  41724059 | PA      | $43240227.61   | 0.18%             | 2055-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 RJ3305 01-01-55                                      | CUSIP: 3142GTU79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  12104357 | PA      | $12544302.20   | 0.05%             | 2055-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.0 CB9737 01-01-55                                      | CUSIP: 3140QVZB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  12232620 | PA      | $12366004.26   | 0.05%             | 2055-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.0 BR3319 03-01-51                                      | CUSIP: 3140L1VM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    479461 | PA      | $397781.87     | 0.00%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 2.0 QD2900 12-01-51                                      | CUSIP: 3133B0GH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     48024 | PA      | $39841.33      | 0.00%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 2.0 SD0838 01-01-52                                      | CUSIP: 3132DM4X0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    734311 | PA      | $609204.54     | 0.00%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 SD8496 01-01-55                                      | CUSIP: 3132DWNM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  36620822 | PA      | $37587135.79   | 0.15%             | 2055-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 MA5615 02-01-55                                      | CUSIP: 31418FGZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  10740511 | PA      | $11027164.97   | 0.04%             | 2055-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 MA5647 03-01-55                                      | CUSIP: 31418FHZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3609970 | PA      | $3706407.13    | 0.02%             | 2055-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.5 SD8517 03-01-55                                      | CUSIP: 3132DWPA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  29193103 | PA      | $30328744.19   | 0.12%             | 2055-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.5 DA0030 09-01-53                                      | CUSIP: 3140A0A82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    109301 | PA      | $114617.94     | 0.00%             | 2053-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.0 BT0136 06-01-51                                      | CUSIP: 3140LNEJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     43209 | PA      | $35847.37      | 0.00%             | 2051-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 2.0 QB6579 12-01-50                                      | CUSIP: 3133ADJY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   4348582 | PA      | $3607774.79    | 0.01%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.5 DD7303 06-01-55                                      | CUSIP: 3140B8DH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    821730 | PA      | $835816.53     | 0.00%             | 2055-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.0 CB1186 07-01-51                                      | CUSIP: 3140QLJ80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  18866632 | PA      | $15734261.89   | 0.06%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 MA5761 07-01-55                                      | CUSIP: 31418FMK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  13598979 | PA      | $13957828.60   | 0.06%             | 2055-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 2.0 SL0316 05-01-52                                      | CUSIP: 31427MK67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   9819634 | PA      | $8169356.50    | 0.03%             | 2052-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.0 FM2793 03-01-50                                      | CUSIP: 3140X6C74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     37818 | PA      | $34309.12      | 0.00%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.0 CA8871 02-01-51                                      | CUSIP: 3140QG2D8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   6754570 | PA      | $6117364.40    | 0.02%             | 2051-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.0 CB1408 08-01-51                                      | CUSIP: 3140QLR65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    642964 | PA      | $582299.39     | 0.00%             | 2051-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.0 CB3496 05-01-52                                      | CUSIP: 3140QN3E0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     21295 | PA      | $19319.69      | 0.00%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 3.0 QB0758 06-01-50                                      | CUSIP: 3133A6ZX2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    939313 | PA      | $852153.22     | 0.00%             | 2050-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.0 FM9350 11-01-51                                      | CUSIP: 3140XDL87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    768815 | PA      | $696746.23     | 0.00%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 3.0 SL1763 10-01-53                                      | CUSIP: 31427N5Z8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2036737 | PA      | $1845831.78    | 0.01%             | 2053-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.0 BU3024 12-01-51                                      | CUSIP: 3140M4LE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2806570 | PA      | $2543203.93    | 0.01%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 5.5 SD8515 03-01-55                                      | CUSIP: 3132DWN82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    358642 | PA      | $364791.26     | 0.00%             | 2055-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.5 DC2313 09-01-54                                      | CUSIP: 3140APSB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     38273 | PA      | $38932.98      | 0.00%             | 2054-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 SL0796 04-01-55                                      | CUSIP: 31427M3E9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2236314 | PA      | $2295887.02    | 0.01%             | 2055-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.0 BK5659 10-01-50                                      | CUSIP: 3140HKJD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3290632 | PA      | $2736881.57    | 0.01%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.0 BQ9314 12-01-50                                      | CUSIP: 3140KVK41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1962206 | PA      | $1627928.76    | 0.01%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 2.0 QD4465 01-01-52                                      | CUSIP: 3133B16A4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     24858 | PA      | $20622.08      | 0.00%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 3.5 SD8537 05-01-55                                      | CUSIP: 3132DWPW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1992027 | PA      | $1879650.94    | 0.01%             | 2055-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 FA0287 12-01-54                                      | CUSIP: 3140W0J97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1692678 | PA      | $1737340.93    | 0.01%             | 2054-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 RQ0028 07-01-55                                      | CUSIP: 3142J6A60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        | 201324495 | PA      | $206637045.98  | 0.84%             | 2055-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 QJ0957 07-01-54                                      | CUSIP: 3133CRB28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    674590 | PA      | $693609.74     | 0.00%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.5 FS2824 12-01-51                                      | CUSIP: 3140XJD67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2529529 | PA      | $2195322.86    | 0.01%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.5 FS1978 03-01-52                                      | CUSIP: 3140XHFU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  13023217 | PA      | $11302433.37   | 0.05%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 QJ3296 08-01-54                                      | CUSIP: 3133CTUV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    968806 | PA      | $995829.72     | 0.00%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 DC3459 09-01-54                                      | CUSIP: 3140AQZZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    914070 | PA      | $938453.31     | 0.00%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 DC3262 09-01-54                                      | CUSIP: 3140AQTU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1804973 | PA      | $1852599.35    | 0.01%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 RQ0050 09-01-55                                      | CUSIP: 3142J6BU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2890090 | PA      | $2965677.31    | 0.01%             | 2055-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 FS9004 09-01-54                                      | CUSIP: 3140XRAE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1075995 | PA      | $1109903.11    | 0.00%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.5 BU5049 10-01-54                                      | CUSIP: 3140M6TF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2962346 | PA      | $3108606.00    | 0.01%             | 2054-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.0 BV4199 03-01-52                                      | CUSIP: 3140MHUZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  13253370 | PA      | $12008865.49   | 0.05%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.0 FS0674 02-01-52                                      | CUSIP: 3140XFXC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    681280 | PA      | $617419.66     | 0.00%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.0 MA4999 03-01-53                                      | CUSIP: 31418ERV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    986390 | PA      | $893571.09     | 0.00%             | 2053-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.0 CB2096 11-01-51                                      | CUSIP: 3140QMKJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    972767 | PA      | $880981.57     | 0.00%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.0 FS5083 03-01-52                                      | CUSIP: 3140XLUH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    956634 | PA      | $871612.01     | 0.00%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.0 BV4201 03-01-52                                      | CUSIP: 3140MHU31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   5914531 | PA      | $5360451.73    | 0.02%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.0 FS6788 06-01-52                                      | CUSIP: 3140XNRJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   8475947 | PA      | $7679623.21    | 0.03%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.0 FM6471 02-01-51                                      | CUSIP: 3140XAFM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   8865612 | PA      | $7355346.14    | 0.03%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 2.0 QD7144 01-01-52                                      | CUSIP: 3133B45D3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     32372 | PA      | $26856.41      | 0.00%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.0 FM6824 04-01-51                                      | CUSIP: 3140XASN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    475993 | PA      | $394901.82     | 0.00%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 2.0 QC0085 02-01-51                                      | CUSIP: 3133AJCW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    223965 | PA      | $185952.60     | 0.00%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2RF 5.197 AG8189 09-20-64                                         | CUSIP: 36182DC29<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |       682 | PA      | $685.58        | 0.00%             | 2064-09-20      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2SF 4.0 MA9776 07-20-54                                           | CUSIP: 36179Y2H6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  13689247 | PA      | $13237583.53   | 0.05%             | 2054-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2SF 4.0 MB0144 01-20-55                                           | CUSIP: 3618N5ES4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  43183902 | PA      | $41597239.24   | 0.17%             | 2055-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2SF 5.5 MB0485 07-20-55                                           | CUSIP: 3618N5RF8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  21095056 | PA      | $21390787.60   | 0.09%             | 2055-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2SF 5.5 MB0147 01-20-55                                           | CUSIP: 3618N5EV7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   5734074 | PA      | $5826082.46    | 0.02%             | 2055-01-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 BU5048 09-01-54                                      | CUSIP: 3140M6TE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3869606 | PA      | $4002244.85    | 0.02%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 SD6578 09-01-54                                      | CUSIP: 3132DUJX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2412041 | PA      | $2516981.32    | 0.01%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 MA5498 10-01-54                                      | CUSIP: 31418FDC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    323850 | PA      | $332563.98     | 0.00%             | 2054-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.5 FS7879 07-01-52                                      | CUSIP: 3140XPXH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   8695834 | PA      | $7546896.83    | 0.03%             | 2052-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 SD8463 09-01-54                                      | CUSIP: 3132DWML4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1867890 | PA      | $1918560.01    | 0.01%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 2.5 QC9123 10-01-51                                      | CUSIP: 3133AUD47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    493785 | PA      | $428547.32     | 0.00%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.5 CB3050 03-01-52                                      | CUSIP: 3140QNL83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    152059 | PA      | $132443.49     | 0.00%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.5 FM9086 10-01-51                                      | CUSIP: 3140XDCY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    152245 | PA      | $132418.09     | 0.00%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 5.5 RQ0027 07-01-55                                      | CUSIP: 3142J6A52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  15018493 | PA      | $15275624.61   | 0.06%             | 2055-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.5 SD8535 05-01-55                                      | CUSIP: 3132DWPU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1127395 | PA      | $1171252.93    | 0.00%             | 2055-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 2.5 QE0849 02-01-52                                      | CUSIP: 3133B95J9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    171581 | PA      | $148919.47     | 0.00%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.5 FM7195 09-01-50                                      | CUSIP: 3140XA7H9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    419131 | PA      | $364482.58     | 0.00%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 2.5 SD2962 02-01-52                                      | CUSIP: 3132DQJF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     48403 | PA      | $42169.72      | 0.00%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 2.5 QC1187 04-01-51                                      | CUSIP: 3133AKJ84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  17002244 | PA      | $14798021.98   | 0.06%             | 2051-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.5 FS5613 01-01-52                                      | CUSIP: 3140XMGX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     23642 | PA      | $20565.36      | 0.00%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.5 BT6607 02-01-52                                      | CUSIP: 3140LVKV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    150694 | PA      | $131013.68     | 0.00%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.5 BQ1607 09-01-50                                      | CUSIP: 3140KLYD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    146687 | PA      | $127491.16     | 0.00%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 2.5 RA5435 06-01-51                                      | CUSIP: 3133KMBC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    694331 | PA      | $602599.14     | 0.00%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.5 RA9381 07-01-53                                      | CUSIP: 3133KRM68<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  18096141 | PA      | $19095210.64   | 0.08%             | 2053-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.5 BU5165 11-01-54                                      | CUSIP: 3140M6W33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   7646577 | PA      | $7816056.01    | 0.03%             | 2054-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.5 CB8507 05-01-54                                      | CUSIP: 3140QUNZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  19443455 | PA      | $20490640.66   | 0.08%             | 2054-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.5 RJ1792 06-01-54                                      | CUSIP: 3142GR7E4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  29663393 | PA      | $31326649.17   | 0.13%             | 2054-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 2.0 QB7255 01-01-51                                      | CUSIP: 3133AEBY9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    510353 | PA      | $423421.79     | 0.00%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.0 BQ9224 01-01-51                                      | CUSIP: 3140KVHA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    141976 | PA      | $118728.74     | 0.00%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 2.0 RA3808 10-01-50                                      | CUSIP: 3133KKGR4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    996952 | PA      | $827415.99     | 0.00%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.0 FM5086 12-01-50                                      | CUSIP: 3140X8UL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     65646 | PA      | $54878.63      | 0.00%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 2.0 SD0467 12-01-50                                      | CUSIP: 3132DMQU2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    703403 | PA      | $585395.93     | 0.00%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.5 DD4930 04-01-55                                      | CUSIP: 3140B5PQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   8826668 | PA      | $8978998.71    | 0.04%             | 2055-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.5 MA5945 01-01-56                                      | CUSIP: 31418FTB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  12853110 | PA      | $13073116.43   | 0.05%             | 2056-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.5 DD0223 03-01-55                                      | CUSIP: 3140B0G93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     84040 | PA      | $85487.77      | 0.00%             | 2055-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2SF 5.5 MB0205 02-20-55                                           | CUSIP: 3618N5GP8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1933803 | PA      | $1961365.66    | 0.01%             | 2055-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2SF 5.5 MB0424 06-20-55                                           | CUSIP: 3618N5PJ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  18213475 | PA      | $18468809.40   | 0.07%             | 2055-06-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER SCRT_19-2                   | SCRT 2019-2 MT 3.5% 08-25-58                                       | CUSIP: 35563PKF5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   8358721 | PA      | $7714906.89    | 0.03%             | 2058-08-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| STRUCTURED AGENCY CREDIT RISK STACR_19-3SC                | SCRT 2019-3 MA 3.5% 10-25-58                                       | CUSIP: 35563PLH0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    325740 | PA      | $320122.97     | 0.00%             | 2058-10-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.5 SL1315 05-01-55                                      | CUSIP: 31427NN96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   4899741 | PA      | $5093276.21    | 0.02%             | 2055-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 5.5 RQ0056 10-01-55                                      | CUSIP: 3142J6B28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    319561 | PA      | $324957.53     | 0.00%             | 2055-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER SCRT_19-1                   | SCRT 2019-1 MT 3.5% 07-25-58                                       | CUSIP: 35563PJE0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   7270555 | PA      | $6720253.72    | 0.03%             | 2058-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                               | FNCI 2.5 UMBS TBA 04-01-41                                         | CUSIP: 01F022444<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   5473596 | PA      | $5222243.00    | 0.02%             | 2041-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CAPITAL GROUP CENTRAL CASH FUND                           | CAPITAL GROUP CENTRAL CASH FUND                                    | CUSIP: 14020B102<br>LEI: 549300YD0SRETB6WWP29 | Long             | STIV             | RF                | US        |  11042263 | NS      | $1104226321.00 | 4.48%             |  |  |  | No            |                  1 | On Loan: No      |
| RISKLESS ISSUER                                           | FSWP: OIS RECFIX USD 3.16% 06-20-23/06-20-28 LCH                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $-34816.32     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | FSWP: OIS PAYFIX USD 3.528% 01-29-25/01-29-30 LCH                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $-646364.48    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | FSWP: OIS RECFIX USD 3.7645% 02-20-25/02-20-27 LCH                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $1008980.16    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | FSWP: OIS RECFIX USD 3.761% 02-20-25/02-20-27 LCH                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $499690.84     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | FSWP: OIS RECFIX USD 3.6475% 02-27-26/02-27-28 LCH                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $2228839.63    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | FSWP: OIS RECFIX USD 3.488% 06-17-26/06-17-31 LCH                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $970111.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | FSWP: OIS PAYFIX USD 3.801% 06-17-26/06-17-36 LCH                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $-1887529.23   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | FSWP: OIS RECFIX USD 4.097% 06-17-26/06-17-56 LCH                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $746870.16     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | FSWP: OIS PAYFIX USD 3.79168% 06-17-26/06-17-36 LCH                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $-2100766.51   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.5 RJ0325 11-01-53                                      | CUSIP: 3142GQLF7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     54847 | PA      | $57127.60      | 0.00%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.5 DA5064 11-01-53                                      | CUSIP: 3140A5TW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    572878 | PA      | $604988.18     | 0.00%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.5 QJ4654 09-01-54                                      | CUSIP: 3133CVE34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     11667 | PA      | $12234.50      | 0.00%             | 2054-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS RECFIX USD 3.29% 05-19-23/05-19-30 LCH                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $133340.39     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS RECFIX USD 4.0135% 08-21-23/08-21-33 LCH                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $618045.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.5 QH0857 09-01-53                                      | CUSIP: 3133CC5S1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     38031 | PA      | $39527.03      | 0.00%             | 2053-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.5 QX6931 02-01-55                                      | CUSIP: 31426CVZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    168169 | PA      | $174812.06     | 0.00%             | 2055-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS PAYFIX USD 4.1615% 11-10-23/05-15-33 LCH                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $-227332.80    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.5 DA3541 10-01-53                                      | CUSIP: 3140A35B5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    662313 | PA      | $699741.86     | 0.00%             | 2053-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.5 QJ3334 09-01-54                                      | CUSIP: 3133CTV30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2049057 | PA      | $2131513.61    | 0.01%             | 2054-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.5 QH8689 01-01-54                                      | CUSIP: 3133CMUN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2471852 | PA      | $2600282.33    | 0.01%             | 2054-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.5 QI9079 06-01-54                                      | CUSIP: 3133WGCQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1630081 | PA      | $1706413.02    | 0.01%             | 2054-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.5 QH7176 12-01-53                                      | CUSIP: 3133CK6M5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     49588 | PA      | $51584.63      | 0.00%             | 2053-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCT UMBS 6.5 DC2376 08-01-44                                      | CUSIP: 3140APUA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    941277 | PA      | $979267.05     | 0.00%             | 2044-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCT UMBS 6.5 RB5317 10-01-44                                      | CUSIP: 3133KY4A4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    646002 | PA      | $671675.53     | 0.00%             | 2044-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCT UMBS 6.5 MA5482 09-01-44                                      | CUSIP: 31418FCU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2129398 | PA      | $2214661.02    | 0.01%             | 2044-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 MA5674 04-01-55                                      | CUSIP: 31418FJU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  13458010 | PA      | $13813140.48   | 0.06%             | 2055-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 5.0 RJ2664 10-01-54                                      | CUSIP: 3142GS6A1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    174373 | PA      | $175611.76     | 0.00%             | 2054-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 5.0 RJ2836 11-01-54                                      | CUSIP: 3142GTEJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    109892 | PA      | $110520.31     | 0.00%             | 2054-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 SD8525 04-01-55                                      | CUSIP: 3132DWPJ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  80623298 | PA      | $82757799.67   | 0.34%             | 2055-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 DC7035 12-01-54                                      | CUSIP: 3140AUY98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1245754 | PA      | $1278766.30    | 0.01%             | 2054-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 QX4065 01-01-55                                      | CUSIP: 31425YQT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    772061 | PA      | $792510.14     | 0.00%             | 2055-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 DD0835 01-01-55                                      | CUSIP: 3140B04V7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1227642 | PA      | $1260160.28    | 0.01%             | 2055-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.5 MA5737 06-01-55                                      | CUSIP: 31418FLT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   6766164 | PA      | $7029374.45    | 0.03%             | 2055-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 2.5 SL2621 07-01-52                                      | CUSIP: 31427P4F8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  39704612 | PA      | $34458719.88   | 0.14%             | 2052-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.5 FA2839 07-01-52                                      | CUSIP: 3140W3EM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  26445320 | PA      | $22960408.61   | 0.09%             | 2052-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 DD9889 07-01-55                                      | CUSIP: 3140BA7B6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     76507 | PA      | $78550.29      | 0.00%             | 2055-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 3.5 SL0707 08-01-53                                      | CUSIP: 31427MYD7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     47359 | PA      | $44691.74      | 0.00%             | 2053-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.5 MA5131 07-01-53                                      | CUSIP: 31418EVZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     43520 | PA      | $41056.59      | 0.00%             | 2053-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 3.5 RQ0017 06-01-55                                      | CUSIP: 3142J6AT0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    253108 | PA      | $238829.08     | 0.00%             | 2055-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.5 FP0128 06-01-54                                      | CUSIP: 3140XTEA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  10853353 | PA      | $11275537.11   | 0.05%             | 2054-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.5 FA2842 07-01-55                                      | CUSIP: 3140W3EQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  67991357 | PA      | $70676879.63   | 0.29%             | 2055-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 FA1162 04-01-55                                      | CUSIP: 3140W1JG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2197278 | PA      | $2255260.08    | 0.01%             | 2055-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 DD4459 04-01-55                                      | CUSIP: 3140B45V8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1359443 | PA      | $1395691.41    | 0.01%             | 2055-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.5 FS3546 06-01-52                                      | CUSIP: 3140XJ5G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    664816 | PA      | $627640.24     | 0.00%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.5 MA5572 11-01-54                                      | CUSIP: 31418FFN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    571007 | PA      | $538683.77     | 0.00%             | 2054-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.5 SL2781 09-01-55                                      | CUSIP: 31427QCT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  33644684 | PA      | $35410222.23   | 0.14%             | 2055-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.5 SL2647 09-01-55                                      | CUSIP: 31427P5H3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  20878876 | PA      | $21995666.49   | 0.09%             | 2055-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 DC8604 01-01-55                                      | CUSIP: 3140AWR27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    602695 | PA      | $618666.22     | 0.00%             | 2055-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.0 MA4750 07-01-52                                      | CUSIP: 31418EH45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1299138 | PA      | $1079422.68    | 0.00%             | 2052-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.5 SL2445 09-01-54                                      | CUSIP: 31427PWF7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  14926111 | PA      | $15581068.32   | 0.06%             | 2054-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.5 SL0673 03-01-55                                      | CUSIP: 31427MXB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  52476698 | PA      | $55268668.03   | 0.22%             | 2055-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.5 CB6766 07-01-53                                      | CUSIP: 3140QSQU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   8982698 | PA      | $9486231.82    | 0.04%             | 2053-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.5 FA2843 03-01-55                                      | CUSIP: 3140W3ER6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  14158286 | PA      | $14730195.91   | 0.06%             | 2055-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 7.0 MA5649 03-01-55                                      | CUSIP: 31418FH34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1999801 | PA      | $2100333.19    | 0.01%             | 2055-03-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 7.0 SL2928 01-01-55                                      | CUSIP: 31427QHE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  13881076 | PA      | $14579266.64   | 0.06%             | 2055-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 2.0 RA6499 12-01-51                                      | CUSIP: 3133KNGG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     44082 | PA      | $36570.94      | 0.00%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.0 FS6474 03-01-51                                      | CUSIP: 3140XNFQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    440625 | PA      | $365901.31     | 0.00%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 QJ3870 09-01-54                                      | CUSIP: 3133CUJP2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   7694265 | PA      | $7906372.75    | 0.03%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 BU4791 07-01-54                                      | CUSIP: 3140M6KD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    317192 | PA      | $325877.68     | 0.00%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.0 DD8109 04-01-55                                      | CUSIP: 3140B9AK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    108147 | PA      | $111127.80     | 0.00%             | 2055-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 SL1416 04-01-55                                      | CUSIP: 31427NSE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    243664 | PA      | $250105.64     | 0.00%             | 2055-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 3.5 SD8483 11-01-54                                      | CUSIP: 3132DWM83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    371812 | PA      | $350764.40     | 0.00%             | 2054-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 3.5 SD0740 10-01-51                                      | CUSIP: 3132DMZD0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    991645 | PA      | $940933.94     | 0.00%             | 2051-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2RM FRN 892950 07-20-60                                           | CUSIP: 3620E0DY9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     14116 | PA      | $14195.29      | 0.00%             | 2060-07-20      | Variable      | 4.59%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2RF 4.895 AG8150 07-20-64                                         | CUSIP: 36182DBT1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      1144 | PA      | $1155.24       | 0.00%             | 2064-07-20      | Fixed         | 4.89%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.5 BV6044 09-01-55                                      | CUSIP: 3140MKWE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1993577 | PA      | $1880655.00    | 0.01%             | 2055-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.5 FS8588 07-01-54                                      | CUSIP: 3140XQRJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  34303345 | PA      | $36169103.46   | 0.15%             | 2054-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2RF 5.198 AG8155 07-20-64                                         | CUSIP: 36182DBY0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |       704 | PA      | $707.58        | 0.00%             | 2064-07-20      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS RECFIX USD 3.342% 04-19-23/04-19-30 LCH                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $181331.76     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS PAYFIX USD 3.0875% 04-19-23/04-19-53 LCH                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $1463454.30    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS PAYFIX USD 3.326% 09-19-25/09-19-32 LCH                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $60386.71      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 5.0 SD8288 01-01-53                                      | CUSIP: 3132DWF57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        | 184321626 | PA      | $186189173.02  | 0.76%             | 2053-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 2.5 SD1852 06-01-51                                      | CUSIP: 3132DPBV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1707259 | PA      | $1484899.02    | 0.01%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.0 BV5578 05-01-52                                      | CUSIP: 3140MKFU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    756218 | PA      | $685961.60     | 0.00%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 4.5 SD1895 11-01-52                                      | CUSIP: 3132DPC89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  16503359 | PA      | $16619773.74   | 0.07%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.5 MA4820 10-01-52                                      | CUSIP: 31418ELA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    208218 | PA      | $217312.35     | 0.00%             | 2052-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.5 SD8281 12-01-52                                      | CUSIP: 3132DWFW8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  47769106 | PA      | $49823130.23   | 0.20%             | 2052-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.5 CB2555 01-01-52                                      | CUSIP: 3140QMZV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   4957056 | PA      | $4302119.51    | 0.02%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 4.5 SD1608 09-01-52                                      | CUSIP: 3132DNYD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1463399 | PA      | $1453787.64    | 0.01%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 2.5 QD6127 01-01-52                                      | CUSIP: 3133B3YY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1197907 | PA      | $1039631.31    | 0.00%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.5 BT6033 11-01-51                                      | CUSIP: 3140LUV32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    638013 | PA      | $553720.32     | 0.00%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCT UMBS 6.5 AL9870 02-01-28                                      | CUSIP: 3138ER6G0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      1884 | PA      | $1954.15       | 0.00%             | 2028-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.5 FA0643 02-01-55                                      | CUSIP: 3140W0WD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  30958461 | PA      | $32352520.82   | 0.13%             | 2055-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.5 SL2362 02-01-54                                      | CUSIP: 31427PTU8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  55250578 | PA      | $58258584.91   | 0.24%             | 2054-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 2.5 RA5995 10-01-51                                      | CUSIP: 3133KMUU7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1345241 | PA      | $1167509.41    | 0.00%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 2.5 QD9973 03-01-52                                      | CUSIP: 3133B8CJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    715812 | PA      | $621224.83     | 0.00%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2SF 2.5 785847 01-20-52                                           | CUSIP: 3622ABL42<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  15548131 | PA      | $13623801.35   | 0.06%             | 2052-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2RF 4.72 710074 04-20-61                                          | CUSIP: 36297E2F1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      1528 | PA      | $1524.14       | 0.00%             | 2061-04-20      | Fixed         | 4.72%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 4.0 BX1202 10-01-52                                      | CUSIP: 3140N5KQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     85475 | PA      | $83611.33      | 0.00%             | 2052-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 4.0 BW7794 09-01-52                                      | CUSIP: 3140N0UU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    435954 | PA      | $425027.57     | 0.00%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 5.0 SD8258 10-01-52                                      | CUSIP: 3132DWE74<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  13365499 | PA      | $13507079.59   | 0.05%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 3.0 SD8220 06-01-52                                      | CUSIP: 3132DWDZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  20081358 | PA      | $18213008.71   | 0.07%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 5.5 SD8251 08-01-52                                      | CUSIP: 3132DWEY5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    706937 | PA      | $721741.58     | 0.00%             | 2052-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 3.0 SD8225 07-01-52                                      | CUSIP: 3132DWD67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  29413939 | PA      | $26673530.46   | 0.11%             | 2052-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 5.5 MA4842 12-01-52                                      | CUSIP: 31418ELY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  10832176 | PA      | $11070548.72   | 0.04%             | 2052-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 7.0 DD8649 05-01-55                                      | CUSIP: 3140B9TF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2635051 | PA      | $2774113.16    | 0.01%             | 2055-05-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 7.0 DE1088 06-01-55                                      | CUSIP: 3140BDF62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    408902 | PA      | $430292.26     | 0.00%             | 2055-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 7.0 DD1917 01-01-55                                      | CUSIP: 3140B2DX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2023439 | PA      | $2128188.21    | 0.01%             | 2055-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2RF 4.7 710077 05-20-61                                           | CUSIP: 36297E2J3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      9875 | PA      | $9943.34       | 0.00%             | 2061-05-20      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2RM FRN AG8156 07-20-64                                           | CUSIP: 36182DBZ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      1918 | PA      | $1941.65       | 0.00%             | 2064-07-20      | Variable      | 4.65%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2SF 3.75 AH5901 11-20-34                                          | CUSIP: 36182NRW5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    552498 | PA      | $544941.40     | 0.00%             | 2034-11-20      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2RF 4.694 AL7438 01-20-65                                         | CUSIP: 36184EHP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |       797 | PA      | $793.06        | 0.00%             | 2065-01-20      | Fixed         | 4.69%                 | No            |                  2 | On Loan: No      |
| SEASONED LOANS STRUCTURED TRANSACTION TRUST SLST_20-1     | SLST 2020-1 A1D 2.0% 07-25-30                                      | CUSIP: 35564CEV5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |  10924802 | PA      | $10285821.18   | 0.04%             | 2030-07-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| SEASONED LOANS STRUCTURED TRANSACTION TRUST SLST_20-1     | SLST 2020-1 A2D 2.0% 07-25-30                                      | CUSIP: 35564CEZ6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   4381000 | PA      | $4049840.21    | 0.02%             | 2030-07-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| SEASONED LOANS STRUCTURED TRANSACTION TRUST SLST_22-1     | SLST 2022-1 A1 3.5% 05-25-32                                       | CUSIP: 35564CLZ8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |  40093972 | PA      | $39346259.55   | 0.16%             | 2032-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                               | FNCL 6.5 UMBS TBA 03-01-56                                         | CUSIP: 01F062630<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  53112974 | PA      | $55171898.44   | 0.22%             | 2056-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                               | FNCL 3.5 UMBS TBA 03-01-56                                         | CUSIP: 01F032633<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  41631586 | PA      | $39238394.28   | 0.16%             | 2056-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                               | FNCL 2.0 UMBS TBA 03-01-56                                         | CUSIP: 01F020638<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   2995146 | PA      | $2482086.48    | 0.01%             | 2056-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 2.5 RA5355 05-01-51                                      | CUSIP: 3133KL5Q6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   4976162 | PA      | $4351778.27    | 0.02%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 2.5 RA5937 09-01-51                                      | CUSIP: 3133KMS22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2987080 | PA      | $2609011.00    | 0.01%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                               | FNCL 7.0 UMBS TBA 03-01-56                                         | CUSIP: 01F070633<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        | 159340148 | PA      | $167387781.51  | 0.68%             | 2056-03-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                               | FNCL 2.5 UMBS TBA 03-01-56                                         | CUSIP: 01F022634<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     34000 | PA      | $29464.57      | 0.00%             | 2056-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                               | FNCL 5.5 UMBS TBA 03-01-56                                         | CUSIP: 01F052631<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   2068000 | PA      | $2101478.85    | 0.01%             | 2056-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                               | FNCL 3.0 UMBS TBA 03-01-56                                         | CUSIP: 01F030637<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  10756732 | PA      | $9729474.85    | 0.04%             | 2056-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 7.0 RQ0030 07-01-55                                      | CUSIP: 3142J6A86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1999801 | PA      | $2100337.18    | 0.01%             | 2055-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 7.0 RQ0052 09-01-55                                      | CUSIP: 3142J6BW2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  11559847 | PA      | $12158300.22   | 0.05%             | 2055-09-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.0 BV2616 07-01-52                                      | CUSIP: 3140MF4A8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      8814 | PA      | $7987.18       | 0.00%             | 2052-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 7.0 MA5639 02-01-55                                      | CUSIP: 31418FHR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    130951 | PA      | $137540.24     | 0.00%             | 2055-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                               | FNCL 6.0 UMBS TBA 03-01-56                                         | CUSIP: 01F060634<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  40152481 | PA      | $41190221.87   | 0.17%             | 2056-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                               | FNCI 2.0 UMBS TBA 03-01-41                                         | CUSIP: 01F020430<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  16840325 | PA      | $15697136.38   | 0.06%             | 2041-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2SF 2.0 TBA 03-01-56                                              | CUSIP: 21H020634<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  38742387 | PA      | $32833863.04   | 0.13%             | 2056-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2SF 4.0 4367 02-20-39                                             | CUSIP: 36202EZ85<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      9757 | PA      | $9675.35       | 0.00%             | 2039-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                               | FNCI 2.5 UMBS TBA 03-01-41                                         | CUSIP: 01F022436<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   9947180 | PA      | $9487282.08    | 0.04%             | 2041-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                               | FNCI 5.0 UMBS TBA 03-01-41                                         | CUSIP: 01F050437<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  10000000 | PA      | $10152430.00   | 0.04%             | 2041-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                        | G2RF 4.228 AG8194 09-20-64                                         | CUSIP: 36182DC78<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      4082 | PA      | $4065.70       | 0.00%             | 2064-09-20      | Fixed         | 4.23%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                  | GNR 2012-H23 FI IO FRN 10-20-62                                    | CUSIP: 38375BXS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     62220 | PA      | $747.57        | 0.00%             | 2062-10-20      | Variable      | 0.88%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                  | GNR 2003-46 NB PAC1 5.0% 06-20-33                                  | CUSIP: 38373Q3R0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     27370 | PA      | $27298.85      | 0.00%             | 2033-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                               | FNCI 4.0 UMBS TBA 03-01-41                                         | CUSIP: 01F040438<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  16000000 | PA      | $15865568.00   | 0.06%             | 2041-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                               | FNCL 2.0 UMBS TBA 04-01-56                                         | CUSIP: 01F020646<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        | 119070952 | PA      | $98674455.14   | 0.40%             | 2056-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                               | FNCL 4.0 UMBS TBA 04-01-56                                         | CUSIP: 01F040644<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  14581999 | PA      | $14131677.71   | 0.06%             | 2056-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                               | FNCL 3.0 UMBS TBA 04-01-56                                         | CUSIP: 01F030645<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  20915133 | PA      | $18908765.21   | 0.08%             | 2056-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                               | FNCL 4.0 UMBS TBA 05-01-56                                         | CUSIP: 01F040651<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  19551677 | PA      | $18932612.25   | 0.08%             | 2056-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                               | FNCI 2.0 UMBS TBA 04-01-41                                         | CUSIP: 01F020448<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  12259675 | PA      | $11426961.09   | 0.05%             | 2041-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | FSWP: OIS PAYFIX USD 3.1% 06-20-23/06-20-33 LCH                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $388200.28     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | FSWP: OIS PAYFIX USD 3.175% 02-01-28/02-01-38 LCH                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $4085683.20    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | FSWP: OIS RECFIX USD 3.5405% 01-23-25/01-23-27 LCH                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $96728.76      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | FSWP: OIS RECFIX USD 3.535% 01-23-25/01-23-27 LCH                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $96257.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | FSWP: OIS RECFIX USD 3.53% 01-23-25/01-23-27 LCH                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $49397.04      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | FSWP: OIS PAYFIX USD 3.5485% 01-29-25/01-29-30 LCH                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $-910973.52    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | FSWP: OIS PAYFIX USD 3.529% 01-29-25/01-29-30 LCH                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $-791801.60    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS PAYFIX USD 3.1035% 04-19-23/04-19-53 LCH                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $1435104.30    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS RECFIX USD 3.353% 04-19-23/04-19-30 LCH                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $195455.04     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS PAYFIX USD 3.0895% 04-20-23/04-20-53 LCH                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $1459923.15    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS RECFIX USD 3.344% 04-20-23/04-20-30 LCH                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $183708.88     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS RECFIX USD 3.128% 04-28-23/04-28-30 LCH                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $-95665.80     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS PAYFIX USD 2.9405% 04-28-23/04-28-53 LCH                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $1741004.42    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS RECFIX USD 3.259% 05-01-23/05-01-30 LCH                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $73151.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS PAYFIX USD 3.0535% 05-01-23/05-01-53 LCH                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $3063519.55    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS RECFIX USD 3.285% 05-01-23/05-01-30 LCH                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $106993.64     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS PAYFIX USD 3.085% 05-09-23/05-09-53 LCH                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $1483303.58    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS RECFIX USD 3.186% 05-09-23/05-09-30 LCH                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $-22461.66     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS RECFIX USD 3.215% 05-10-23/05-10-30 LCH                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $15029.64      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS PAYFIX USD 3.1135% 05-10-23/05-10-53 LCH                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $1432476.58    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS PAYFIX USD 4.15% 11-10-23/05-15-33 LCH                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $-537640.20    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS PAYFIX USD 3.6038% 01-08-24/01-08-34 LCH                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $-813280.16    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS PAYFIX USD 3.6815% 02-20-24/02-20-54 LCH                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $1090808.06    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS PAYFIX USD 3.7205% 02-21-24/02-21-54 LCH                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $755798.80     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS RECFIX USD 4.568% 03-01-24/03-01-26 LCH                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $21778.35      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS RECFIX USD 4.56% 03-01-24/03-01-26 LCH                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $21900.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS RECFIX USD 4.6275% 03-20-24/03-20-26 LCH                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $312324.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS RECFIX USD 4.9005% 04-17-24/04-17-26 LCH                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $286492.16     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS RECFIX USD 4.5895% 05-06-24/05-06-27 LCH                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $4430087.26    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS RECFIX USD 4.815% 05-06-24/05-06-26 LCH                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $827923.50     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS RECFIX USD 4.723% 05-07-24/05-07-26 LCH                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $741150.49     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS RECFIX USD 4.659% 05-17-24/05-17-26 LCH                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $1067168.34    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS PAYFIX USD 3.47875% 08-05-24/08-05-54 LCH                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $3947811.00    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS RECFIX USD 3.616% 08-05-24/08-05-44 LCH                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $-2317602.60   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS RECFIX USD 3.561% 08-09-24/08-09-44 LCH                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $-2432249.64   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS PAYFIX USD 3.415% 08-09-24/08-09-54 LCH                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $3882844.08    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS PAYFIX USD 4.186% 02-18-25/02-18-27 LCH                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $-4844685.24   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS PAYFIX USD 3.8045% 06-04-25/12-15-26 LCH                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $-55059.58     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                           | OIS PAYFIX USD 3.848% 06-04-25/11-15-26 LCH                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $-97894.26     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 8.0 735571 11-01-31                                      | CUSIP: 31402RFL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      5445 | PA      | $5543.91       | 0.00%             | 2031-11-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| US DEPARTMENT OF HOUSING AND URBAN DEVELOPMENT            | HUD 15-A 13 3.15% 08-01-27                                         | CUSIP: 911759MJ4<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   3430000 | PA      | $3394121.86    | 0.01%             | 2027-08-01      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| US DEPARTMENT OF HOUSING AND URBAN DEVELOPMENT            | HUD 15-A 12 3.10% 08-01-26                                         | CUSIP: 911759MH8<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    747000 | PA      | $743866.93     | 0.00%             | 2026-08-01      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| US DEPARTMENT OF HOUSING AND URBAN DEVELOPMENT            | HUD 15-A 18 3.60% 08-01-32                                         | CUSIP: 911759MP0<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    720000 | PA      | $693980.64     | 0.00%             | 2032-08-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| US DEPARTMENT OF HOUSING AND URBAN DEVELOPMENT            | HUD 15-A 15 3.35% 08-01-29                                         | CUSIP: 911759ML9<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    650000 | PA      | $642189.86     | 0.00%             | 2029-08-01      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 2.625% 07-31-29                        | CUSIP: 91282CFC0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  63533200 | PA      | $61925790.98   | 0.25%             | 2029-07-31      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 2.75% 07-31-27                         | CUSIP: 91282CFB2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  56000000 | PA      | $55467031.20   | 0.23%             | 2027-07-31      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 2.75% 08-15-32                         | CUSIP: 91282CFF3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7514000 | PA      | $7113796.85    | 0.03%             | 2032-08-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 3.375% 08-15-42                        | CUSIP: 912810TK4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2850000 | PA      | $2484620.31    | 0.01%             | 2042-08-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.125% 09-30-27                        | CUSIP: 91282CFM8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3100000 | PA      | $3133225.49    | 0.01%             | 2027-09-30      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 3.875% 09-30-29                        | CUSIP: 91282CFL0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   9600000 | PA      | $9741205.44    | 0.04%             | 2029-09-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 3.875% 12-31-29                        | CUSIP: 91282CGB1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6000000 | PA      | $6090396.00    | 0.02%             | 2029-12-31      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 3.5% 01-31-30                          | CUSIP: 91282CGJ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  74905000 | PA      | $75030121.31   | 0.30%             | 2030-01-31      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 3.625% 02-15-53                        | CUSIP: 912810TN8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7855200 | PA      | $6596682.27    | 0.03%             | 2053-02-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 3.875% 02-15-43                        | CUSIP: 912810TQ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  11970400 | PA      | $11094471.97   | 0.05%             | 2043-02-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.0% 02-28-30                          | CUSIP: 91282CGQ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 126000000 | PA      | $128506429.80  | 0.52%             | 2030-02-28      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 3.875% 05-15-43                        | CUSIP: 912810TS7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  19984700 | PA      | $18480341.72   | 0.07%             | 2043-05-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 3.75% 05-31-30                         | CUSIP: 91282CHF1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  35000000 | PA      | $35367633.00   | 0.14%             | 2030-05-31      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 3.625% 05-31-28                        | CUSIP: 91282CHE4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  53200000 | PA      | $53471697.72   | 0.22%             | 2028-05-31      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.0% 06-30-28                          | CUSIP: 91282CHK0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  84653100 | PA      | $85840224.28   | 0.35%             | 2028-06-30      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.125% 07-31-28                        | CUSIP: 91282CHQ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 224000000 | PA      | $227876252.80  | 0.92%             | 2028-07-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.125% 08-15-53                        | CUSIP: 912810TT5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  36908400 | PA      | $33871311.11   | 0.14%             | 2053-08-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 3.875% 08-15-33                        | CUSIP: 91282CHT1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  44840900 | PA      | $45169274.39   | 0.18%             | 2033-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.375% 08-31-28                        | CUSIP: 91282CHX2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  16000000 | PA      | $16375345.60   | 0.07%             | 2028-08-31      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.625% 09-30-30                        | CUSIP: 91282CHZ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 193819500 | PA      | $202947429.35  | 0.82%             | 2030-09-30      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.625% 11-15-26                        | CUSIP: 91282CJK8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  27500000 | PA      | $27692285.50   | 0.11%             | 2026-11-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.75% 11-15-53                         | CUSIP: 912810TV0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  70653000 | PA      | $71813574.44   | 0.29%             | 2053-11-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.375% 11-30-28                        | CUSIP: 91282CJN2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 220840000 | PA      | $226507659.84  | 0.92%             | 2028-11-30      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 3.75% 12-31-30                         | CUSIP: 91282CJQ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1956000 | PA      | $1975800.00    | 0.01%             | 2030-12-31      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.0% 01-31-29                          | CUSIP: 91282CJW2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1417200 | PA      | $1441059.84    | 0.01%             | 2029-01-31      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.0% 02-15-34                          | CUSIP: 91282CJZ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  34005900 | PA      | $34457539.16   | 0.14%             | 2034-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.625% 02-28-26                        | CUSIP: 91282CKB6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 130000000 | PA      | $130000000.00  | 0.53%             | 2026-02-28      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.25% 02-28-31                         | CUSIP: 91282CKC4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   8000000 | PA      | $8261249.60    | 0.03%             | 2031-02-28      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY INFLATION INDEXED BONDS I/L 2.125% 02-15-54 | CUSIP: 912810TY4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  13630977 | PA      | $12735381.32   | 0.05%             | 2054-02-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.5% 03-31-26                          | CUSIP: 91282CKH3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  20000000 | PA      | $20012890.00   | 0.08%             | 2026-03-31      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.5% 04-15-27                          | CUSIP: 91282CKJ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  65261000 | PA      | $65976593.39   | 0.27%             | 2027-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.875% 04-30-26                        | CUSIP: 91282CKK6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 130000000 | PA      | $130253903.00  | 0.53%             | 2026-04-30      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.625% 04-30-29                        | CUSIP: 91282CKP5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  12620000 | PA      | $13078460.62   | 0.05%             | 2029-04-30      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.375% 05-15-34                        | CUSIP: 91282CKQ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  36116200 | PA      | $37501350.17   | 0.15%             | 2034-05-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.625% 05-15-54                        | CUSIP: 912810UA4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  40042200 | PA      | $39923206.59   | 0.16%             | 2054-05-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.5% 05-31-29                          | CUSIP: 91282CKT7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 208643000 | PA      | $215598010.08  | 0.87%             | 2029-05-31      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.25% 06-30-31                         | CUSIP: 91282CKW0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 120000000 | PA      | $123984372.00  | 0.50%             | 2031-06-30      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.375% 07-15-27                        | CUSIP: 91282CKZ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10360000 | PA      | $10488287.88   | 0.04%             | 2027-07-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.0% 07-31-29                          | CUSIP: 91282CLC3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 188000000 | PA      | $191512385.20  | 0.78%             | 2029-07-31      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 4.375% 07-31-26                        | CUSIP: 91282CLB5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 595000000 | PA      | $596801303.00  | 2.42%             | 2026-07-31      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY INFLATION INDEXED BONDS I/L 1.875% 07-15-34 | CUSIP: 91282CLE9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  88516102 | PA      | $91040224.10   | 0.37%             | 2034-07-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                    | UNITED STATES TREASURY NOTE 3.875% 08-15-34                        | CUSIP: 91282CLF6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  26013600 | PA      | $26054246.25   | 0.11%             | 2034-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| FHLMC MULTIFAMILY STRUCTURED PASS THROUGH FHMS_K065       | FHMS K065 A2 (MF) 3.243% 04-25-27                                  | CUSIP: 3137F1G44<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   1370000 | PA      | $1361604.64    | 0.01%             | 2027-04-25      | Fixed         | 3.24%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNIONP 7.0 888698 10-01-37                                         | CUSIP: 31410GKK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     28507 | PA      | $30050.27      | 0.00%             | 2037-10-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.5 CA0770 11-01-47                                      | CUSIP: 3140Q72C0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   6989287 | PA      | $6683896.75    | 0.03%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC MULTIFAMILY STRUCTURED PASS THROUGH FHMS_K074       | FHMS K074 A2 (MF) 3.6% 01-25-28                                    | CUSIP: 3137F4D41<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    557444 | PA      | $556165.65     | 0.00%             | 2028-01-25      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FHARM FRN 1H1354 11-01-36                                          | CUSIP: 3128NGE35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     35153 | PA      | $36438.14      | 0.00%             | 2036-11-01      | Variable      | 6.26%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNIONP 7.0 889388 03-01-38                                         | CUSIP: 31410KCZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     99505 | PA      | $104831.64     | 0.00%             | 2038-03-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.5 BD2440 01-01-47                                      | CUSIP: 3140F9WA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    307377 | PA      | $295344.06     | 0.00%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                    | FGLMC Z40130 01-01-46                                              | CUSIP: 3132FCEB7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1113839 | PA      | $1055513.18    | 0.00%             | 2046-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                    | FGLMC 3.0 G61082 07-01-43                                          | CUSIP: 31335BFX9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   2493661 | PA      | $2355350.11    | 0.01%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCI UMBS 3.0 CA1442 03-01-33                                      | CUSIP: 3140Q8S89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    259333 | PA      | $254658.58     | 0.00%             | 2033-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCI UMBS 3.0 BJ5302 03-01-33                                      | CUSIP: 3140H63L1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    216703 | PA      | $211487.61     | 0.00%             | 2033-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCI UMBS 4.0 BN1085 01-01-34                                      | CUSIP: 3140JHF32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      3797 | PA      | $3824.13       | 0.00%             | 2034-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 3.5 ZT0538 03-01-48                                      | CUSIP: 3132ACS35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    893042 | PA      | $856237.05     | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 4.5 BN1172 11-01-48                                      | CUSIP: 3140JHJS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    131869 | PA      | $131894.33     | 0.00%             | 2048-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FHLMC POOL #760015 ARH5 FRN 01-01-47                               | CUSIP: 31342WAQ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1139827 | PA      | $1127409.31    | 0.00%             | 2047-01-01      | Variable      | 4.10%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 6.5 888873 08-01-37                                      | CUSIP: 31410GQ22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |       269 | PA      | $284.52        | 0.00%             | 2037-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FHARM FRN 760012 04-01-45                                          | CUSIP: 31342WAM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    493180 | PA      | $503320.49     | 0.00%             | 2045-04-01      | Variable      | 5.15%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FHARM FRN 760013 04-01-45                                          | CUSIP: 31342WAN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    382978 | PA      | $389413.42     | 0.00%             | 2045-04-01      | Variable      | 5.15%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER SCRT_18-3                   | SCRT 2018-3 MA FRN 08-25-57                                        | CUSIP: 35563PGG8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   2632759 | PA      | $2599617.71    | 0.01%             | 2057-08-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.0 FM1505 09-01-49                                      | CUSIP: 3140X4U79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   8317279 | PA      | $7664747.22    | 0.03%             | 2049-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.5 AJ9327 01-01-42                                      | CUSIP: 3138E2LH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     16957 | PA      | $16503.41      | 0.00%             | 2042-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCI UMBS 2.5 BO6247 12-01-34                                      | CUSIP: 3140K15H5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2591985 | PA      | $2486641.60    | 0.01%             | 2034-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                    | FGLMC 4.0 G67711 03-01-48                                          | CUSIP: 3132XCR80<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  14398798 | PA      | $14203219.44   | 0.06%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 3.5 RA1580 10-01-49                                      | CUSIP: 3133KGXH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2930790 | PA      | $2820457.50    | 0.01%             | 2049-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS ZA6700 04-01-49                                          | CUSIP: 31329QNR8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   4717645 | PA      | $4502609.87    | 0.02%             | 2049-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 3.0 RA1339 09-01-49                                      | CUSIP: 3133KGPY8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1333450 | PA      | $1230222.38    | 0.00%             | 2049-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 3.5 SD7502 07-01-49                                      | CUSIP: 3132DVKP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3864562 | PA      | $3688414.79    | 0.01%             | 2049-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.5 FM2656 01-01-49                                      | CUSIP: 3140X55S8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1268527 | PA      | $1218626.69    | 0.00%             | 2049-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.5 FM2389 02-01-50                                      | CUSIP: 3140X5UP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1011612 | PA      | $969236.92     | 0.00%             | 2050-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 3.5 QA1442 08-01-49                                      | CUSIP: 31334XS75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2221721 | PA      | $2127909.08    | 0.01%             | 2049-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.5 FM1220 07-01-49                                      | CUSIP: 3140X4LA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1728383 | PA      | $1655185.85    | 0.01%             | 2049-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.0 BO2890 11-01-49                                      | CUSIP: 3140JXF86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1787537 | PA      | $1649680.10    | 0.01%             | 2049-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS AS8804 02-01-47                                          | CUSIP: 3138WJYA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   4698224 | PA      | $4476538.21    | 0.02%             | 2047-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.0 FM2822 03-01-50                                      | CUSIP: 3140X6D40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   5745592 | PA      | $5296005.14    | 0.02%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 3.5 SD7513 04-01-50                                      | CUSIP: 3132DVK20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  39592040 | PA      | $37760709.86   | 0.15%             | 2050-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCT UMBS 4.0 MA3099 08-01-37                                      | CUSIP: 31418CNR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2003709 | PA      | $2004452.34    | 0.01%             | 2037-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER SCRT_18-2                   | SCRT 2018-2 MA 3.5% 11-25-57                                       | CUSIP: 35563PFG9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   2058313 | PA      | $2036128.28    | 0.01%             | 2057-11-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.0 MA4237 01-01-51                                      | CUSIP: 31418DV74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    862533 | PA      | $721845.46     | 0.00%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCN UMBS 1.5 QS0124 11-01-30                                      | CUSIP: 3133HMD55<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    190101 | PA      | $182511.27     | 0.00%             | 2030-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 5.5 SD3369 05-01-53                                      | CUSIP: 3132DQW69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   4484025 | PA      | $4560777.73    | 0.02%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 4.5 RA8647 05-01-53                                      | CUSIP: 3133KQTC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    990395 | PA      | $983788.00     | 0.00%             | 2053-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 4.5 SD2465 10-01-52                                      | CUSIP: 3132DPW20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    947697 | PA      | $941765.55     | 0.00%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 4.5 QE9497 09-01-52                                      | CUSIP: 3133BKRS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2290122 | PA      | $2282812.03    | 0.01%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 4.5 QE8579 08-01-52                                      | CUSIP: 3133BJQ88<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2272610 | PA      | $2265624.18    | 0.01%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 4.5 QF0212 09-01-52                                      | CUSIP: 3133BMGV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   9935186 | PA      | $9874025.29    | 0.04%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 4.5 FS5554 11-01-52                                      | CUSIP: 3140XME44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  37119347 | PA      | $36880929.11   | 0.15%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 6.0 SD8350 08-01-53                                      | CUSIP: 3132DWH30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        | 210621668 | PA      | $217160627.84  | 0.88%             | 2053-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 3.5 MA5026 04-01-53                                      | CUSIP: 31418ESQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     58258 | PA      | $54975.92      | 0.00%             | 2053-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 4.5 CB6853 08-01-53                                      | CUSIP: 3140QSTK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   5903125 | PA      | $5858881.06    | 0.02%             | 2053-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 4.5 CB6719 07-01-53                                      | CUSIP: 3140QSPD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3712670 | PA      | $3684843.82    | 0.01%             | 2053-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 4.0 SD1502 07-01-52                                      | CUSIP: 3132DNU35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     46309 | PA      | $45248.06      | 0.00%             | 2052-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                     | FNCL UMBS 2.5 FS4919 05-01-53                                      | CUSIP: 3140XLPD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    198447 | PA      | $172850.13     | 0.00%             | 2053-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                           | FNCL UMBS 2.0 RA6114 02-01-52                                      | CUSIP: 3133KMYK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    369498 | PA      | $306616.62     | 0.00%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |

### Signature

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

**Name of Applicant:** AMERICAN FUNDS INCOME SERIES

**Signature:** Scott Lewis

**Name of Signer:** Scott Lewis

**Title:** Compliance Specialist Senior