# EDGAR Filing Document

**Accession Number:** 0000809707
**File Stem:** 0002071691-25-009345
**Filing Date:** 2025-12
**Character Count:** 533910
**Document Hash:** 8253038937176cf76ac1d1fc5dc63c77
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0002071691-25-009345.hdr.sgml**: 20251223

**ACCESSION NUMBER**: 0002071691-25-009345

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20251031

**FILED AS OF DATE**: 20251223

**DATE AS OF CHANGE**: 20251223

**PERIOD START**: 20251031

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** Franklin Investors Securities Trust
- **CENTRAL INDEX KEY:** 0000809707

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **STATE OF INCORPORATION:** FL
- **FISCAL YEAR END:** 1031

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-04986
- **FILM NUMBER:** 251595246

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

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

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

## Series and Classes Contracts Data

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

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

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

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

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

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

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

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

  - **City:** San Mateo

  - **State:** CA

  - **Foreign country:** US

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

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

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

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

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

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

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

- **a. Date of fiscal year-end:** 2025-10-31

- **b. Date as of which information is reported:** 2025-10-31

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $380913910.97

**Total Liabilities:** $1909787.02

**Net Assets:** $379004123.95

**Cash Not Reported:** $517331.37

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -906.98000000 | **1-Year:** -5795.64000000 | **5-Year:** -4735.92000000 | **10-Year:** -47152.85000000 | **30-Year:** -22925.40000000

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

- **3-Month:** 0.00000000 | **1-Year:** -14692.70000000 | **5-Year:** -3958.07000000 | **10-Year:** 2034.57000000 | **30-Year:** -9782.12000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000064441 | 0.68%                | 0.38%                | 0.29%                |
| Class ID C000140480 | 0.67%                | 0.38%                | 0.28%                |
| Class ID C000018509 | 0.79%                | 0.23%                | 0.40%                |
| Class ID C000133492 | 0.68%                | 0.38%                | 0.29%                |
| Class ID C000018510 | 0.62%                | 0.33%                | 0.23%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $108.10                  | $811592.17                                 |
| Month 2  | $0.00                    | $232420.61                                 |
| Month 3  | $0.00                    | $-25791.93                                 |

**Designated Index Information**

- **Index Name:** Bloomberg US Aggregate Government (1-3 Y) Index

- **Index Identifier:** BM2542

### Schedule of Portfolio Investments

| Name                                                     | Title                                                                            | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405BD32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4937 | PA      | $5090.94      | 0.00%             | 2034-12-01      | Variable      | 6.32%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31379MDU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4325 | PA      | $4449.86      | 0.00%             | 2038-05-01      | Variable      | 6.31%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407BWE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     56536 | PA      | $57648.67     | 0.02%             | 2035-06-01      | Variable      | 6.18%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403DTE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     44109 | PA      | $45610.27     | 0.01%             | 2034-04-01      | Variable      | 6.59%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407FL24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     39646 | PA      | $40523.17     | 0.01%             | 2035-10-01      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31400QX32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1783 | PA      | $1807.45      | 0.00%             | 2033-04-01      | Variable      | 6.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31414F7E5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4678 | PA      | $4769.28      | 0.00%             | 2038-09-01      | Variable      | 6.08%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31408G4X2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     59237 | PA      | $59971.64     | 0.02%             | 2036-01-01      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31409AFG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42190 | PA      | $42911.14     | 0.01%             | 2036-02-01      | Variable      | 6.52%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31389AZY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28261 | PA      | $27502.54     | 0.01%             | 2035-03-01      | Variable      | 4.31%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31409ARH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11347 | PA      | $11647.27     | 0.00%             | 2036-02-01      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405DM79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       973 | PA      | $990.21       | 0.00%             | 2034-07-01      | Variable      | 6.46%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31412CFG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5016 | PA      | $5063.53      | 0.00%             | 2037-01-01      | Variable      | 5.85%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405RNC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5207 | PA      | $5355.25      | 0.00%             | 2034-08-01      | Variable      | 6.24%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31404WPZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     87108 | PA      | $88520.29     | 0.02%             | 2034-06-01      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31389AZ30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4949 | PA      | $4910.10      | 0.00%             | 2037-12-01      | Variable      | 4.71%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31385XLL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13580 | PA      | $13787.71     | 0.00%             | 2033-04-01      | Variable      | 6.88%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31409AC80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5901 | PA      | $6121.64      | 0.00%             | 2035-10-01      | Variable      | 7.18%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31416B5M6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6891 | PA      | $7064.69      | 0.00%             | 2035-05-01      | Variable      | 6.34%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31416B5B0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    507951 | PA      | $521821.64    | 0.14%             | 2036-02-01      | Variable      | 6.33%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406PC56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33156 | PA      | $34131.17     | 0.01%             | 2035-05-01      | Variable      | 6.51%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31391RTR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19270 | PA      | $19578.89     | 0.01%             | 2032-08-01      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406DJV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22034 | PA      | $22210.94     | 0.01%             | 2034-11-01      | Variable      | 6.17%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405BMC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4434 | PA      | $4440.65      | 0.00%             | 2034-05-01      | Variable      | 6.05%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31414HDB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5422 | PA      | $5554.72      | 0.00%             | 2037-12-01      | Variable      | 6.41%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402RD55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19406 | PA      | $19852.74     | 0.01%             | 2035-02-01      | Variable      | 6.51%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA, 30 Year                                                                    | CUSIP: 31418FMK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1736142 | PA      | $1776342.65   | 0.47%             | 2055-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31408BUF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15159 | PA      | $15420.78     | 0.00%             | 2033-11-01      | Variable      | 7.13%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 31300MMM2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    169230 | PA      | $172053.99    | 0.05%             | 2041-11-01      | Variable      | 6.55%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407GYF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3665 | PA      | $3776.65      | 0.00%             | 2035-06-01      | Variable      | 6.69%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31385Y2D6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34970 | PA      | $35268.03     | 0.01%             | 2040-06-01      | Variable      | 5.51%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 3138EQTE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    268295 | PA      | $276974.29    | 0.07%             | 2040-03-01      | Variable      | 6.45%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31416CAU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    113262 | PA      | $117089.03    | 0.03%             | 2037-09-01      | Variable      | 6.56%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 31288QGM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1395995 | PA      | $1450097.86   | 0.38%             | 2043-10-01      | Variable      | 6.53%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31362RD87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       266 | PA      | $264.06       | 0.00%             | 2027-11-01      | Variable      | 4.53%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402TH24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6105 | PA      | $6216.31      | 0.00%             | 2033-08-01      | Variable      | 6.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31385HFW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11196 | PA      | $11182.45     | 0.00%             | 2030-02-01      | Variable      | 6.04%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406VD86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    110797 | PA      | $112628.97    | 0.03%             | 2035-05-01      | Variable      | 6.64%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406GD55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     51472 | PA      | $51909.13     | 0.01%             | 2035-02-01      | Variable      | 6.30%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC, Series 5568, Class FG                                                     | CUSIP: 3137HMN89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1845128 | PA      | $1851267.02   | 0.49%             | 2055-08-25      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403NG92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14712 | PA      | $14870.53     | 0.00%             | 2033-11-01      | Variable      | 5.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 3138EG7K4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    501681 | PA      | $514408.36    | 0.14%             | 2035-06-01      | Variable      | 6.55%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407BCV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21443 | PA      | $21968.45     | 0.01%             | 2035-07-01      | Variable      | 6.16%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405MA23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12802 | PA      | $12952.65     | 0.00%             | 2034-07-01      | Variable      | 6.26%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31362S5F8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         5 | PA      | $4.85         | 0.00%             | 2029-01-01      | Variable      | 4.56%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31404YDK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       612 | PA      | $623.66       | 0.00%             | 2034-07-01      | Variable      | 6.17%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 3128QPKE1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    162302 | PA      | $166120.77    | 0.04%             | 2036-09-01      | Variable      | 6.56%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31385XHB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       103 | PA      | $103.35       | 0.00%             | 2033-05-01      | Variable      | 6.45%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407KGP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7442 | PA      | $7564.67      | 0.00%             | 2035-09-01      | Variable      | 6.09%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403TPB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34978 | PA      | $35233.65     | 0.01%             | 2033-11-01      | Variable      | 5.96%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406P3R8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3082 | PA      | $3183.97      | 0.00%             | 2035-02-01      | Variable      | 6.31%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31411UKA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4813 | PA      | $4977.71      | 0.00%             | 2037-04-01      | Variable      | 6.68%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 3128NHWJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    355901 | PA      | $363605.77    | 0.10%             | 2036-11-01      | Variable      | 6.70%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31414CZH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15938 | PA      | $16338.16     | 0.00%             | 2038-04-01      | Variable      | 6.60%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402NGF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23170 | PA      | $23571.33     | 0.01%             | 2033-08-01      | Variable      | 6.18%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31378FMK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1364 | PA      | $1350.68      | 0.00%             | 2027-04-01      | Variable      | 3.56%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 31288QBT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1526930 | PA      | $1584663.49   | 0.42%             | 2043-07-01      | Variable      | 6.60%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402HBN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     64380 | PA      | $66096.80     | 0.02%             | 2034-02-01      | Variable      | 6.46%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31400BWF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3437 | PA      | $3501.90      | 0.00%             | 2033-02-01      | Variable      | 6.69%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406VJY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33170 | PA      | $33702.41     | 0.01%             | 2035-05-01      | Variable      | 6.73%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31418MYA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    176881 | PA      | $179359.49    | 0.05%             | 2038-06-01      | Variable      | 6.11%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31381JU75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    575525 | PA      | $582848.25    | 0.15%             | 2037-09-01      | Variable      | 6.39%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31401Y6N0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12119 | PA      | $12422.27     | 0.00%             | 2033-09-01      | Variable      | 6.39%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31412BPZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14936 | PA      | $15066.30     | 0.00%             | 2036-02-01      | Variable      | 6.87%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402RKA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6992 | PA      | $7175.35      | 0.00%             | 2035-06-01      | Variable      | 6.32%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406UUZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    515728 | PA      | $530089.25    | 0.14%             | 2035-03-01      | Variable      | 6.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31411JGW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26063 | PA      | $26226.94     | 0.01%             | 2036-12-01      | Variable      | 6.20%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31386TRN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1838 | PA      | $1831.39      | 0.00%             | 2041-02-01      | Variable      | 5.31%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 3128QS3L8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     30867 | PA      | $31484.54     | 0.01%             | 2036-10-01      | Variable      | 6.36%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 31349UH50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    377298 | PA      | $393079.07    | 0.10%             | 2034-08-01      | Variable      | 7.69%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31386MLW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2549 | PA      | $2556.63      | 0.00%             | 2040-12-01      | Variable      | 5.51%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406X7G1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4480 | PA      | $4575.73      | 0.00%             | 2035-04-01      | Variable      | 6.69%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410FXX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3266 | PA      | $3346.59      | 0.00%             | 2035-02-01      | Variable      | 6.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402CSA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       464 | PA      | $471.85       | 0.00%             | 2032-12-01      | Variable      | 6.29%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31384PDG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       121 | PA      | $120.75       | 0.00%             | 2027-12-01      | Variable      | 6.33%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407VFN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8247 | PA      | $8484.29      | 0.00%             | 2035-09-01      | Variable      | 6.52%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405WSY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2533 | PA      | $2556.20      | 0.00%             | 2034-07-01      | Variable      | 6.10%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407B3T4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    290955 | PA      | $294683.73    | 0.08%             | 2035-07-01      | Variable      | 6.05%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406H3E5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1299662 | PA      | $1333798.90   | 0.35%             | 2034-12-01      | Variable      | 6.04%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31411EME4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1610 | PA      | $1644.16      | 0.00%             | 2036-12-01      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410SHK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26984 | PA      | $27420.27     | 0.01%             | 2036-04-01      | Variable      | 6.19%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II                                                                          | CUSIP: 36225C4D5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4017 | PA      | $4043.15      | 0.00%             | 2034-01-20      | Variable      | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402C6L1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    132891 | PA      | $137348.66    | 0.04%             | 2034-05-01      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 3138EGBF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     69587 | PA      | $71992.39     | 0.02%             | 2035-09-01      | Variable      | 6.59%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                                                  | CUSIP: 3618N5RG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2900393 | PA      | $2954083.37   | 0.78%             | 2055-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405PZ86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10552 | PA      | $10813.58     | 0.00%             | 2034-09-01      | Variable      | 6.22%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 3128S5QX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    208252 | PA      | $214898.50    | 0.06%             | 2038-10-01      | Variable      | 6.60%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403DSD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     46074 | PA      | $46805.08     | 0.01%             | 2035-12-01      | Variable      | 6.23%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410WFR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     77991 | PA      | $79945.37     | 0.02%             | 2038-01-01      | Variable      | 6.29%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407PWM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23774 | PA      | $24070.89     | 0.01%             | 2035-10-01      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                               | FHLMC Pool, 30 Year                                                              | CUSIP: 3132DWHA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1716116 | PA      | $1762669.99   | 0.47%             | 2053-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31385WVC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       748 | PA      | $751.35       | 0.00%             | 2027-09-01      | Variable      | 5.99%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406L3E6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3486 | PA      | $3563.25      | 0.00%             | 2035-11-01      | Variable      | 6.05%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31385WWT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       582 | PA      | $581.33       | 0.00%             | 2030-08-01      | Variable      | 6.46%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II                                                                          | CUSIP: 36225DNG5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     32791 | PA      | $33115.13     | 0.01%             | 2035-03-20      | Variable      | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407X4W8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32438 | PA      | $32943.77     | 0.01%             | 2035-11-01      | Variable      | 5.68%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402EM39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14102 | PA      | $14228.01     | 0.00%             | 2033-05-01      | Variable      | 6.18%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410GD34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     50864 | PA      | $51508.87     | 0.01%             | 2033-06-01      | Variable      | 6.55%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402CVF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31543 | PA      | $32520.08     | 0.01%             | 2034-02-01      | Variable      | 6.56%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407PP28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2384 | PA      | $2437.21      | 0.00%             | 2035-10-01      | Variable      | 5.95%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA, Series 2024-103, Class FB                                                  | CUSIP: 3136BUQG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2368538 | PA      | $2373383.20   | 0.63%             | 2055-01-25      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31409BAN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       834 | PA      | $857.49       | 0.00%             | 2036-03-01      | Variable      | 6.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31409EL90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        49 | PA      | $50.02        | 0.00%             | 2036-05-01      | Variable      | 6.81%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407DUE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    342425 | PA      | $349978.56    | 0.09%             | 2035-05-01      | Variable      | 6.11%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406N6M1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2106 | PA      | $2125.94      | 0.00%             | 2035-04-01      | Variable      | 5.94%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31384VYA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        70 | PA      | $70.86        | 0.00%             | 2028-10-01      | Variable      | 6.23%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402NY36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     86200 | PA      | $87290.67     | 0.02%             | 2033-06-01      | Variable      | 6.10%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31414CPN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     46167 | PA      | $47425.30     | 0.01%             | 2035-06-01      | Variable      | 6.53%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407T2T6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5420 | PA      | $5566.54      | 0.00%             | 2035-09-01      | Variable      | 6.48%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410GML4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2741 | PA      | $2766.54      | 0.00%             | 2037-10-01      | Variable      | 5.86%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407WTA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30425 | PA      | $31018.27     | 0.01%             | 2035-09-01      | Variable      | 6.26%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 3128JQBR8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    271583 | PA      | $278744.58    | 0.07%             | 2040-04-01      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403Y2E2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5240 | PA      | $5280.72      | 0.00%             | 2034-01-01      | Variable      | 6.11%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 31288QF70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2723497 | PA      | $2815303.65   | 0.74%             | 2046-10-01      | Variable      | 6.47%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403K4Q3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7572 | PA      | $7788.64      | 0.00%             | 2034-05-01      | Variable      | 6.21%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 3128JNDN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    260895 | PA      | $267694.92    | 0.07%             | 2035-06-01      | Variable      | 6.52%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31404XJY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     45454 | PA      | $46370.81     | 0.01%             | 2034-12-01      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31391FFE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16798 | PA      | $16748.86     | 0.00%             | 2027-08-01      | Variable      | 5.26%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31414UQH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    223893 | PA      | $229748.10    | 0.06%             | 2037-04-01      | Variable      | 6.28%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403DW96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4841 | PA      | $4991.54      | 0.00%             | 2036-11-01      | Variable      | 6.47%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31413GK90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11925 | PA      | $12092.08     | 0.00%             | 2037-08-01      | Variable      | 6.07%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407PJH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     44962 | PA      | $46160.25     | 0.01%             | 2035-10-01      | Variable      | 6.17%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403DVS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23215 | PA      | $23782.08     | 0.01%             | 2036-09-01      | Variable      | 6.44%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402DQT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2508 | PA      | $2574.27      | 0.00%             | 2034-11-01      | Variable      | 6.07%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31411HGV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5478 | PA      | $5582.46      | 0.00%             | 2037-04-01      | Variable      | 6.77%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31412CBE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    127780 | PA      | $129051.08    | 0.03%             | 2034-12-01      | Variable      | 6.63%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410MHH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9325 | PA      | $9428.32      | 0.00%             | 2036-04-01      | Variable      | 6.07%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406TLM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5295 | PA      | $5415.91      | 0.00%             | 2035-03-01      | Variable      | 6.72%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402HAQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1035 | PA      | $1055.36      | 0.00%             | 2033-09-01      | Variable      | 6.34%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31414HVC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       297 | PA      | $303.75       | 0.00%             | 2037-12-01      | Variable      | 6.61%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410B3M4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4073 | PA      | $4185.98      | 0.00%             | 2036-06-01      | Variable      | 6.47%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405JMH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16603 | PA      | $16897.24     | 0.00%             | 2034-09-01      | Variable      | 6.20%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402DBW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       977 | PA      | $981.85       | 0.00%             | 2033-09-01      | Variable      | 6.72%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403DVG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34136 | PA      | $34624.30     | 0.01%             | 2033-04-01      | Variable      | 6.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31404XJG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5755 | PA      | $5869.33      | 0.00%             | 2034-11-01      | Variable      | 5.87%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406LDC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23120 | PA      | $23371.58     | 0.01%             | 2044-11-01      | Variable      | 5.31%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410QPW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    132928 | PA      | $138091.28    | 0.04%             | 2036-10-01      | Variable      | 7.45%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 3136056A0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         9 | PA      | $9.25         | 0.00%             | 2025-12-01      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406DJR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2276 | PA      | $2290.90      | 0.00%             | 2034-11-01      | Variable      | 6.02%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31409CCW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    463743 | PA      | $473090.68    | 0.12%             | 2036-01-01      | Variable      | 6.43%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31412EPK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20343 | PA      | $20664.67     | 0.01%             | 2037-01-01      | Variable      | 6.23%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410WFS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35086 | PA      | $35869.77     | 0.01%             | 2037-05-01      | Variable      | 6.31%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402C5W8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2188 | PA      | $2222.36      | 0.00%             | 2033-08-01      | Variable      | 6.53%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31401D6G1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3217 | PA      | $3289.56      | 0.00%             | 2033-05-01      | Variable      | 6.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31411E4K0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       582 | PA      | $599.42       | 0.00%             | 2037-01-01      | Variable      | 6.73%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402DHR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1539 | PA      | $1569.13      | 0.00%             | 2038-03-01      | Variable      | 6.34%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 31288QEM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1365575 | PA      | $1423377.10   | 0.38%             | 2043-07-01      | Variable      | 6.59%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 3138ELR88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    690864 | PA      | $715022.40    | 0.19%             | 2037-03-01      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402RTY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1825 | PA      | $1864.99      | 0.00%             | 2038-03-01      | Variable      | 6.32%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II                                                                          | CUSIP: 36225CZW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2360 | PA      | $2380.45      | 0.00%             | 2033-09-20      | Variable      | 5.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31385XMD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5916 | PA      | $6044.49      | 0.00%             | 2033-08-01      | Variable      | 6.36%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402RHU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10218 | PA      | $10277.30     | 0.00%             | 2042-08-01      | Variable      | 5.31%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407MSU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2772 | PA      | $2801.54      | 0.00%             | 2035-07-01      | Variable      | 6.13%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31390WQV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31696 | PA      | $31882.64     | 0.01%             | 2033-09-01      | Variable      | 6.04%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31391MDC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     57412 | PA      | $57852.72     | 0.02%             | 2032-11-01      | Variable      | 5.93%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410YNX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     46165 | PA      | $47443.10     | 0.01%             | 2036-09-01      | Variable      | 6.55%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410EKC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12852 | PA      | $13320.00     | 0.00%             | 2036-09-01      | Variable      | 6.33%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31404U2U3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     45144 | PA      | $45917.52     | 0.01%             | 2034-06-01      | Variable      | 6.28%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31418MVS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    440328 | PA      | $450974.03    | 0.12%             | 2038-08-01      | Variable      | 6.31%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405N7D1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14052 | PA      | $14357.34     | 0.00%             | 2034-10-01      | Variable      | 6.21%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31411BAT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        17 | PA      | $17.36        | 0.00%             | 2036-11-01      | Variable      | 6.57%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31413YWH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     48941 | PA      | $49767.26     | 0.01%             | 2037-11-01      | Variable      | 6.14%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 3138EKTS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     47312 | PA      | $48696.36     | 0.01%             | 2038-07-01      | Variable      | 6.43%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402Q4W8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25083 | PA      | $25194.34     | 0.01%             | 2034-05-01      | Variable      | 5.95%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31388X3J1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5108 | PA      | $5091.87      | 0.00%             | 2029-04-01      | Variable      | 5.31%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31385Y6D2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27971 | PA      | $28251.30     | 0.01%             | 2030-11-01      | Variable      | 6.06%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405RNA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       624 | PA      | $631.88       | 0.00%             | 2034-08-01      | Variable      | 6.23%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31391A7F0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1240 | PA      | $1259.61      | 0.00%             | 2032-09-01      | Variable      | 6.44%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31385JFR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9431 | PA      | $9550.68      | 0.00%             | 2032-02-01      | Variable      | 6.46%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402CWE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30128 | PA      | $30877.72     | 0.01%             | 2034-02-01      | Variable      | 6.43%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA, Series 2019-38, Class CF                                                   | CUSIP: 3136B5EY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1186054 | PA      | $1163067.88   | 0.31%             | 2049-07-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31412DZV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7550 | PA      | $7827.80      | 0.00%             | 2037-01-01      | Variable      | 6.36%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402CXQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       533 | PA      | $541.03       | 0.00%             | 2036-08-01      | Variable      | 6.35%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407DNH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       331 | PA      | $337.53       | 0.00%             | 2035-01-01      | Variable      | 6.08%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31411SVN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     96257 | PA      | $99499.35     | 0.03%             | 2047-03-01      | Variable      | 6.82%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31385HKE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    353864 | PA      | $351104.77    | 0.09%             | 2034-04-01      | Variable      | 4.76%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31404V2S6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       576 | PA      | $592.98       | 0.00%             | 2034-08-01      | Variable      | 6.42%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 31288QQJ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3422886 | PA      | $3559423.80   | 0.94%             | 2047-08-01      | Variable      | 6.45%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402RSX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8733 | PA      | $9018.36      | 0.00%             | 2034-10-01      | Variable      | 6.45%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31400SJL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42099 | PA      | $43171.45     | 0.01%             | 2033-04-01      | Variable      | 6.52%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406NBG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     72468 | PA      | $73855.63     | 0.02%             | 2035-04-01      | Variable      | 6.57%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406UNY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15439 | PA      | $15775.89     | 0.00%             | 2035-04-01      | Variable      | 6.80%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31385HUG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3310 | PA      | $3331.87      | 0.00%             | 2029-02-01      | Variable      | 6.45%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31381JNU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20940 | PA      | $20863.02     | 0.01%             | 2033-06-01      | Variable      | 5.68%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402DKW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36332 | PA      | $37191.46     | 0.01%             | 2034-08-01      | Variable      | 6.68%                 | No            |                  2 | On Loan: No      |
| United States of America                                 | U.S. Treasury Notes                                                              | CUSIP: 91282CKE0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  11000000 | PA      | $11086796.82  | 2.93%             | 2027-03-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31404QLK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2673 | PA      | $2713.05      | 0.00%             | 2034-05-01      | Variable      | 6.51%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402NY44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6852 | PA      | $6896.12      | 0.00%             | 2033-07-01      | Variable      | 6.05%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 31300MHK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1063599 | PA      | $1104386.82   | 0.29%             | 2040-11-01      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406GW47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     40915 | PA      | $41783.85     | 0.01%             | 2035-03-01      | Variable      | 6.63%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407CCN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15460 | PA      | $15729.05     | 0.00%             | 2035-07-01      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410RM30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    114857 | PA      | $117855.31    | 0.03%             | 2036-08-01      | Variable      | 6.52%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 3138EJJ66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3010 | PA      | $3060.63      | 0.00%             | 2035-09-01      | Variable      | 6.28%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31404FPY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27073 | PA      | $27815.41     | 0.01%             | 2034-08-01      | Variable      | 6.34%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31408C2W5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     40126 | PA      | $41360.87     | 0.01%             | 2035-10-01      | Variable      | 6.26%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403AHD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6592 | PA      | $6691.87      | 0.00%             | 2033-10-01      | Variable      | 6.32%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31391TU30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21938 | PA      | $22221.74     | 0.01%             | 2032-12-01      | Variable      | 6.26%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405MA80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3495 | PA      | $3535.12      | 0.00%             | 2034-07-01      | Variable      | 6.10%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31411EWY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       115 | PA      | $116.95       | 0.00%             | 2037-01-01      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402M4P2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    123913 | PA      | $126394.83    | 0.03%             | 2033-08-01      | Variable      | 6.28%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407GYA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4768 | PA      | $4902.65      | 0.00%             | 2035-06-01      | Variable      | 6.13%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407DUF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       619 | PA      | $628.94       | 0.00%             | 2035-05-01      | Variable      | 6.18%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31416CG75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    344713 | PA      | $351149.09    | 0.09%             | 2036-08-01      | Variable      | 6.21%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402A4W3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1805 | PA      | $1843.99      | 0.00%             | 2033-06-01      | Variable      | 6.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406KAA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18376 | PA      | $18949.47     | 0.00%             | 2035-05-01      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402RPT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29789 | PA      | $29802.79     | 0.01%             | 2034-10-01      | Variable      | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402DSC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8563 | PA      | $8798.56      | 0.00%             | 2033-07-01      | Variable      | 6.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410G3Q4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2298 | PA      | $2327.59      | 0.00%             | 2037-04-01      | Variable      | 6.56%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403CWU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31611 | PA      | $32370.76     | 0.01%             | 2035-09-01      | Variable      | 6.29%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31385XK63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9351 | PA      | $9545.79      | 0.00%             | 2033-08-01      | Variable      | 6.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402XXU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37560 | PA      | $37831.58     | 0.01%             | 2033-11-01      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405JWZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7307 | PA      | $7455.67      | 0.00%             | 2034-09-01      | Variable      | 6.40%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 3128S4EN3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     99268 | PA      | $101045.87    | 0.03%             | 2036-04-01      | Variable      | 6.52%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31388JK53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6300 | PA      | $6363.68      | 0.00%             | 2031-09-01      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31408EQJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15002 | PA      | $15239.65     | 0.00%             | 2036-01-01      | Variable      | 6.37%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31386CLJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4436 | PA      | $4446.09      | 0.00%             | 2030-03-01      | Variable      | 6.23%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406VLK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24531 | PA      | $24751.96     | 0.01%             | 2035-05-01      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31378QJU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1166 | PA      | $1202.34      | 0.00%             | 2038-04-01      | Variable      | 6.58%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403CWP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1101 | PA      | $1129.73      | 0.00%             | 2035-09-01      | Variable      | 6.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403DET2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3416 | PA      | $3502.79      | 0.00%             | 2033-04-01      | Variable      | 6.48%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31391RTQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    107955 | PA      | $111286.52    | 0.03%             | 2032-09-01      | Variable      | 7.43%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403JRR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24934 | PA      | $25744.94     | 0.01%             | 2033-10-01      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31385XUU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1052 | PA      | $1048.53      | 0.00%             | 2033-11-01      | Variable      | 5.22%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 313612HK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       516 | PA      | $511.80       | 0.00%             | 2027-04-01      | Variable      | 4.39%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA, Series 2024-98, Class FA                                                   | CUSIP: 3136BUCU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    857566 | PA      | $860474.57    | 0.23%             | 2053-12-25      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407AZX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25974 | PA      | $26622.02     | 0.01%             | 2035-05-01      | Variable      | 6.21%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407AZQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8842 | PA      | $8906.32      | 0.00%             | 2035-05-01      | Variable      | 6.18%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410QKA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19280 | PA      | $19554.31     | 0.01%             | 2036-10-01      | Variable      | 5.86%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31404JQS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8816 | PA      | $8998.90      | 0.00%             | 2034-03-01      | Variable      | 6.49%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA, Series 2010-12, Class FD                                                   | CUSIP: 38376TAF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    453706 | PA      | $453564.17    | 0.12%             | 2040-01-16      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 31342AZT9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    101032 | PA      | $103173.21    | 0.03%             | 2033-08-01      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31385JPQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30135 | PA      | $30229.33     | 0.01%             | 2028-08-01      | Variable      | 6.21%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31401G5B6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     80458 | PA      | $81208.41     | 0.02%             | 2033-04-01      | Variable      | 6.10%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402RD89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    196048 | PA      | $197787.45    | 0.05%             | 2035-04-01      | Variable      | 5.97%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402RTR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20220 | PA      | $20738.93     | 0.01%             | 2035-09-01      | Variable      | 6.36%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407DNZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13118 | PA      | $13481.67     | 0.00%             | 2034-07-01      | Variable      | 6.56%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31408FN88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22280 | PA      | $22610.61     | 0.01%             | 2035-09-01      | Variable      | 6.09%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407DUK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2724 | PA      | $2755.22      | 0.00%             | 2035-05-01      | Variable      | 6.17%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 3138EGR63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    424583 | PA      | $437013.40    | 0.12%             | 2035-08-01      | Variable      | 6.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31412V7C6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13445 | PA      | $13551.89     | 0.00%             | 2037-04-01      | Variable      | 5.73%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31404GPK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     69706 | PA      | $70397.15     | 0.02%             | 2034-05-01      | Variable      | 6.11%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406YCH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     54136 | PA      | $54303.15     | 0.01%             | 2035-07-01      | Variable      | 6.46%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31391SHX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       882 | PA      | $903.40       | 0.00%             | 2032-12-01      | Variable      | 6.54%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC, Multi-family Structured Pass-Through Certificates, Series KF163, Class AS | CUSIP: 3137HDPJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2887392 | PA      | $2890633.28   | 0.76%             | 2034-04-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31401CV83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3093 | PA      | $3136.40      | 0.00%             | 2033-05-01      | Variable      | 6.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 3140JBHL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5233123 | PA      | $5413064.33   | 1.43%             | 2038-09-01      | Variable      | 6.43%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31409WCN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5464 | PA      | $5570.27      | 0.00%             | 2036-01-01      | Variable      | 6.19%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31404HVC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31929 | PA      | $32582.10     | 0.01%             | 2034-02-01      | Variable      | 6.31%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31389TGC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     73602 | PA      | $75513.55     | 0.02%             | 2032-03-01      | Variable      | 6.69%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407WSB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       786 | PA      | $807.72       | 0.00%             | 2035-03-01      | Variable      | 6.28%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402MM72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9322 | PA      | $9559.88      | 0.00%             | 2033-08-01      | Variable      | 6.34%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403DQ36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    174764 | PA      | $179305.70    | 0.05%             | 2035-08-01      | Variable      | 6.27%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403DK81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1245 | PA      | $1266.73      | 0.00%             | 2036-05-01      | Variable      | 6.69%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31404TAR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10162 | PA      | $10398.10     | 0.00%             | 2034-04-01      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402RNB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6532 | PA      | $6673.17      | 0.00%             | 2033-11-01      | Variable      | 6.45%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31412BTN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10579 | PA      | $10934.44     | 0.00%             | 2036-08-01      | Variable      | 6.92%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406DAD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     46306 | PA      | $46488.50     | 0.01%             | 2034-10-01      | Variable      | 5.31%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA, Series 2021-8, Class YF                                                    | CUSIP: 3136BFFR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7597000 | PA      | $7571441.24   | 2.00%             | 2061-03-25      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II                                                                          | CUSIP: 36225C2Y1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     66961 | PA      | $68512.04     | 0.02%             | 2033-12-20      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31401D3F6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3729 | PA      | $3823.05      | 0.00%             | 2033-05-01      | Variable      | 6.29%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31391SGL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10910 | PA      | $11184.10     | 0.00%             | 2033-01-01      | Variable      | 6.46%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407MSQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     39680 | PA      | $40835.40     | 0.01%             | 2035-07-01      | Variable      | 6.19%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402RKW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     87241 | PA      | $89520.83     | 0.02%             | 2035-06-01      | Variable      | 6.68%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 3128LUK88<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    469353 | PA      | $485532.45    | 0.13%             | 2037-03-01      | Variable      | 6.78%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 31300MGN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    237723 | PA      | $245586.92    | 0.06%             | 2036-11-01      | Variable      | 6.43%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA, Series 2020-54, Class WF                                                   | CUSIP: 3136BBGN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2538960 | PA      | $2442410.63   | 0.64%             | 2050-08-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA, Series 2021-36, Class YF                                                   | CUSIP: 3136BHPA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3763708 | PA      | $3775976.73   | 1.00%             | 2061-06-25      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406CT32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21133 | PA      | $21910.51     | 0.01%             | 2035-01-01      | Variable      | 7.41%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31362JUN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       173 | PA      | $170.56       | 0.00%             | 2028-06-01      | Variable      | 4.36%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31400PAT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     97294 | PA      | $98875.11     | 0.03%             | 2033-02-01      | Variable      | 6.52%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31401CR21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       550 | PA      | $561.42       | 0.00%             | 2033-05-01      | Variable      | 6.10%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405D4L8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5186 | PA      | $5228.83      | 0.00%             | 2034-08-01      | Variable      | 5.98%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31416CDW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15392 | PA      | $15651.40     | 0.00%             | 2038-04-01      | Variable      | 6.28%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405ARB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    156771 | PA      | $160962.46    | 0.04%             | 2035-01-01      | Variable      | 6.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406PKY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11838 | PA      | $12145.04     | 0.00%             | 2035-02-01      | Variable      | 6.42%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402CRK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       900 | PA      | $905.99       | 0.00%             | 2033-11-01      | Variable      | 5.96%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407XWX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5334 | PA      | $5426.32      | 0.00%             | 2035-11-01      | Variable      | 5.88%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31404AUY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21012 | PA      | $21576.37     | 0.01%             | 2033-09-01      | Variable      | 6.65%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31411YBW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    105883 | PA      | $108401.90    | 0.03%             | 2037-05-01      | Variable      | 6.59%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402DHF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3564 | PA      | $3629.68      | 0.00%             | 2034-04-01      | Variable      | 6.36%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405WHT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33510 | PA      | $34117.26     | 0.01%             | 2034-09-01      | Variable      | 6.36%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402DNA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       716 | PA      | $734.18       | 0.00%             | 2034-09-01      | Variable      | 6.33%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410KXH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16252 | PA      | $16636.01     | 0.00%             | 2038-10-01      | Variable      | 6.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31409UUT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    373994 | PA      | $384091.37    | 0.10%             | 2036-05-01      | Variable      | 6.52%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31413DTG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1948 | PA      | $1986.42      | 0.00%             | 2037-08-01      | Variable      | 6.27%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 3128S5QL1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    273618 | PA      | $283357.61    | 0.07%             | 2037-04-01      | Variable      | 6.37%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405PLR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    124444 | PA      | $127697.62    | 0.03%             | 2034-10-01      | Variable      | 6.07%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31380ADC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       162 | PA      | $160.97       | 0.00%             | 2027-12-01      | Variable      | 6.42%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405MCX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12273 | PA      | $12626.50     | 0.00%             | 2034-08-01      | Variable      | 6.43%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406L3Q9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29139 | PA      | $29796.43     | 0.01%             | 2036-09-01      | Variable      | 6.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406X2J0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19385 | PA      | $19700.01     | 0.01%             | 2035-02-01      | Variable      | 6.15%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31418M6F4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     40232 | PA      | $41301.07     | 0.01%             | 2036-12-01      | Variable      | 6.41%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405PDD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32272 | PA      | $33071.78     | 0.01%             | 2034-10-01      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402Q4F5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       870 | PA      | $886.44       | 0.00%             | 2034-07-01      | Variable      | 6.21%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402C3F7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24445 | PA      | $24799.71     | 0.01%             | 2030-09-01      | Variable      | 5.92%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405KMH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29990 | PA      | $30704.61     | 0.01%             | 2034-10-01      | Variable      | 6.27%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 3138EQBQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     75547 | PA      | $78295.52     | 0.02%             | 2036-08-01      | Variable      | 6.41%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405PKE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14521 | PA      | $14722.50     | 0.00%             | 2034-10-01      | Variable      | 5.99%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402DLW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9907 | PA      | $10079.11     | 0.00%             | 2037-02-01      | Variable      | 6.10%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410KD27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    217527 | PA      | $221583.32    | 0.06%             | 2034-05-01      | Variable      | 6.46%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406UDS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29071 | PA      | $29988.70     | 0.01%             | 2034-11-01      | Variable      | 6.63%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402RHA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2057 | PA      | $2097.57      | 0.00%             | 2034-01-01      | Variable      | 6.42%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 3128QGFA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    101336 | PA      | $103302.72    | 0.03%             | 2036-04-01      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410EM88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2331 | PA      | $2362.55      | 0.00%             | 2036-06-01      | Variable      | 6.18%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403DHM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1651404 | PA      | $1707606.40   | 0.45%             | 2035-03-01      | Variable      | 6.47%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31400U3Z5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21391 | PA      | $21999.05     | 0.01%             | 2033-03-01      | Variable      | 6.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 3138EJPA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    268456 | PA      | $275601.59    | 0.07%             | 2039-09-01      | Variable      | 6.27%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406MA71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1115 | PA      | $1123.69      | 0.00%             | 2035-01-01      | Variable      | 6.01%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403LLM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8858 | PA      | $9047.73      | 0.00%             | 2033-10-01      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406X2K7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4528 | PA      | $4560.79      | 0.00%             | 2035-01-01      | Variable      | 6.02%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410MHD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    454994 | PA      | $466424.43    | 0.12%             | 2036-04-01      | Variable      | 6.36%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31381JFR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30804 | PA      | $30433.07     | 0.01%             | 2034-11-01      | Variable      | 6.22%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31404WC38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19818 | PA      | $20386.60     | 0.01%             | 2034-07-01      | Variable      | 6.27%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407WSP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22753 | PA      | $22994.35     | 0.01%             | 2035-09-01      | Variable      | 6.15%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31414KPM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2562 | PA      | $2637.61      | 0.00%             | 2038-01-01      | Variable      | 6.51%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA, 30 Year                                                                    | CUSIP: 31418E3E8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1847797 | PA      | $1870380.19   | 0.49%             | 2054-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402Q4R9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7065 | PA      | $7222.64      | 0.00%             | 2034-08-01      | Variable      | 6.21%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31401L5Z2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     46828 | PA      | $47853.89     | 0.01%             | 2033-06-01      | Variable      | 6.15%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31391SJK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       180 | PA      | $183.11       | 0.00%             | 2033-02-01      | Variable      | 6.54%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31409JU99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12732 | PA      | $13159.76     | 0.00%             | 2036-06-01      | Variable      | 6.77%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405UMM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5845 | PA      | $5952.02      | 0.00%             | 2034-10-01      | Variable      | 6.21%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402BTK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12183 | PA      | $12448.16     | 0.00%             | 2033-08-01      | Variable      | 6.14%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31404VKH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26213 | PA      | $26710.48     | 0.01%             | 2034-06-01      | Variable      | 6.28%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407WSA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6490 | PA      | $6564.03      | 0.00%             | 2034-12-01      | Variable      | 6.24%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31401EWC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25688 | PA      | $25794.19     | 0.01%             | 2031-01-01      | Variable      | 6.19%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31416B5H7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    194390 | PA      | $199200.65    | 0.05%             | 2035-09-01      | Variable      | 6.24%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407BVH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12418 | PA      | $12598.58     | 0.00%             | 2035-07-01      | Variable      | 6.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31413RBC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5657 | PA      | $5818.97      | 0.00%             | 2037-09-01      | Variable      | 6.41%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 3128S6AS1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    290317 | PA      | $299617.73    | 0.08%             | 2038-05-01      | Variable      | 6.60%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 3128JMV38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    806593 | PA      | $834098.07    | 0.22%             | 2036-02-01      | Variable      | 6.65%                 | No            |                  2 | On Loan: No      |
| United States of America                                 | U.S. Treasury Notes                                                              | CUSIP: 91282CKJ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  15000000 | PA      | $15178710.90  | 4.00%             | 2027-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 3138ELXF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    167365 | PA      | $169900.35    | 0.04%             | 2037-01-01      | Variable      | 6.28%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31408BT65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    131637 | PA      | $136269.49    | 0.04%             | 2035-12-01      | Variable      | 7.13%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31416CGR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     54947 | PA      | $56569.57     | 0.01%             | 2037-01-01      | Variable      | 6.41%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31387TZK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1658 | PA      | $1657.80      | 0.00%             | 2028-06-01      | Variable      | 6.77%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31411JU79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    442389 | PA      | $455637.59    | 0.12%             | 2037-02-01      | Variable      | 6.78%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31361HL57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       531 | PA      | $528.19       | 0.00%             | 2026-08-01      | Variable      | 4.22%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31409JLH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3683 | PA      | $3782.16      | 0.00%             | 2036-06-01      | Variable      | 6.71%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402QWK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        15 | PA      | $15.11        | 0.00%             | 2033-07-01      | Variable      | 6.48%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31400JMH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3904 | PA      | $4008.24      | 0.00%             | 2033-04-01      | Variable      | 6.37%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402DHG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14767 | PA      | $14826.27     | 0.00%             | 2034-08-01      | Variable      | 5.89%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403QMV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29433 | PA      | $29906.65     | 0.01%             | 2033-10-01      | Variable      | 6.19%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31404GV40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1207 | PA      | $1241.64      | 0.00%             | 2034-01-01      | Variable      | 6.27%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31417SC24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36450 | PA      | $37209.14     | 0.01%             | 2039-12-01      | Variable      | 6.43%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410F6X8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1647 | PA      | $1690.36      | 0.00%             | 2038-03-01      | Variable      | 6.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 3138EGJB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    112935 | PA      | $115616.74    | 0.03%             | 2035-07-01      | Variable      | 6.52%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402RRV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       848 | PA      | $864.17       | 0.00%             | 2034-08-01      | Variable      | 6.28%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403VQK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13660 | PA      | $13870.86     | 0.00%             | 2034-01-01      | Variable      | 6.54%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405N7J8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2994 | PA      | $3055.57      | 0.00%             | 2034-10-01      | Variable      | 6.03%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 3138EHG55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20270 | PA      | $20823.50     | 0.01%             | 2041-11-01      | Variable      | 6.37%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403C4Q1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1428 | PA      | $1481.47      | 0.00%             | 2035-10-01      | Variable      | 6.89%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31385XPZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         4 | PA      | $3.52         | 0.00%             | 2027-08-01      | Variable      | 6.22%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC, Series 4215, Class KF                                                     | CUSIP: 3137B34M7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    954863 | PA      | $931002.31    | 0.25%             | 2040-02-15      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 3138EH7E6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35477 | PA      | $35627.64     | 0.01%             | 2034-08-01      | Variable      | 6.05%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31416BNZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3686 | PA      | $3783.70      | 0.00%             | 2037-11-01      | Variable      | 6.21%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31362GM40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       630 | PA      | $624.25       | 0.00%             | 2028-01-01      | Variable      | 4.39%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405BD57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6822 | PA      | $6996.82      | 0.00%             | 2034-12-01      | Variable      | 6.46%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31386C3H3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32645 | PA      | $32657.33     | 0.01%             | 2040-09-01      | Variable      | 5.51%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31416B4U9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1876 | PA      | $1895.90      | 0.00%             | 2037-11-01      | Variable      | 5.91%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402RCM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       463 | PA      | $477.07       | 0.00%             | 2038-05-01      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410QQR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7142 | PA      | $7276.01      | 0.00%             | 2036-10-01      | Variable      | 6.29%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31408BQB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     91378 | PA      | $93002.80     | 0.02%             | 2035-12-01      | Variable      | 6.36%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402CR61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1431 | PA      | $1472.59      | 0.00%             | 2034-01-01      | Variable      | 6.41%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406PDR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     83183 | PA      | $85478.59     | 0.02%             | 2035-05-01      | Variable      | 6.46%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31408DCA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2466 | PA      | $2513.55      | 0.00%             | 2035-11-01      | Variable      | 6.49%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405HB80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13779 | PA      | $14144.80     | 0.00%             | 2034-06-01      | Variable      | 6.15%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31414UQ27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     73355 | PA      | $73997.75     | 0.02%             | 2037-06-01      | Variable      | 5.91%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 3128S5W75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    567419 | PA      | $581437.68    | 0.15%             | 2037-11-01      | Variable      | 6.56%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31391NM40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1160 | PA      | $1180.92      | 0.00%             | 2032-11-01      | Variable      | 6.15%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31385WZK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13832 | PA      | $14158.43     | 0.00%             | 2033-01-01      | Variable      | 6.41%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402DFN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    256694 | PA      | $261141.24    | 0.07%             | 2034-07-01      | Variable      | 6.42%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 3138EHVL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     43819 | PA      | $44385.19     | 0.01%             | 2037-07-01      | Variable      | 6.05%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 31300LN50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    881034 | PA      | $910255.98    | 0.24%             | 2035-03-01      | Variable      | 6.33%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31384VSV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26597 | PA      | $26065.43     | 0.01%             | 2036-05-01      | Variable      | 4.36%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405XYA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    109539 | PA      | $109987.99    | 0.03%             | 2034-08-01      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406TTN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       882 | PA      | $902.16       | 0.00%             | 2035-03-01      | Variable      | 6.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31401CU76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4445 | PA      | $4516.27      | 0.00%             | 2033-05-01      | Variable      | 6.13%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407AZR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25122 | PA      | $25465.18     | 0.01%             | 2035-05-01      | Variable      | 6.58%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407MGQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     49295 | PA      | $50449.22     | 0.01%             | 2035-07-01      | Variable      | 6.36%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31409ASN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4122 | PA      | $4214.50      | 0.00%             | 2036-02-01      | Variable      | 6.42%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31401CXK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3440 | PA      | $3494.76      | 0.00%             | 2033-05-01      | Variable      | 6.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | U.S. Treasury Long Bonds                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       -11 | NC      | $-27516.39    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410GJK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       167 | PA      | $168.52       | 0.00%             | 2032-01-01      | Variable      | 6.53%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405QYJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7891 | PA      | $8104.75      | 0.00%             | 2034-11-01      | Variable      | 6.41%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31404DTS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28197 | PA      | $28779.90     | 0.01%             | 2034-02-01      | Variable      | 6.65%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31385XEK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14418 | PA      | $14736.12     | 0.00%             | 2033-05-01      | Variable      | 6.44%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 3128S4A49<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    196699 | PA      | $204326.11    | 0.05%             | 2036-02-01      | Variable      | 6.60%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31401KL29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19957 | PA      | $20486.57     | 0.01%             | 2033-06-01      | Variable      | 6.26%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 3128S4GM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17483 | PA      | $17761.14     | 0.00%             | 2036-02-01      | Variable      | 6.36%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406V3E4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       914 | PA      | $932.85       | 0.00%             | 2035-06-01      | Variable      | 6.20%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402RBC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2899 | PA      | $2964.41      | 0.00%             | 2035-02-01      | Variable      | 6.36%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406AKA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9919 | PA      | $10100.23     | 0.00%             | 2034-10-01      | Variable      | 6.15%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31375DHB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3084 | PA      | $3078.73      | 0.00%             | 2036-05-01      | Variable      | 6.45%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403NBV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2393 | PA      | $2447.05      | 0.00%             | 2033-11-01      | Variable      | 6.13%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402EM70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6018 | PA      | $6042.80      | 0.00%             | 2033-01-01      | Variable      | 6.14%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405KMW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6131 | PA      | $6281.50      | 0.00%             | 2034-08-01      | Variable      | 6.17%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31411EZA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       692 | PA      | $709.09       | 0.00%             | 2037-01-01      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31373CSC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3303261 | PA      | $3271382.72   | 0.86%             | 2034-04-01      | Variable      | 4.36%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 3128S5EK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    103265 | PA      | $105572.50    | 0.03%             | 2037-10-01      | Variable      | 6.69%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405VG76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11288 | PA      | $11319.23     | 0.00%             | 2034-08-01      | Variable      | 5.93%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31412DPT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13128 | PA      | $13360.35     | 0.00%             | 2037-04-01      | Variable      | 6.46%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31400WR77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16057 | PA      | $16280.30     | 0.00%             | 2033-04-01      | Variable      | 6.37%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31400ARQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        55 | PA      | $56.26        | 0.00%             | 2033-04-01      | Variable      | 6.37%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31408DRK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36620 | PA      | $37425.69     | 0.01%             | 2035-12-01      | Variable      | 5.84%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31375PW51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       776 | PA      | $774.95       | 0.00%             | 2026-03-01      | Variable      | 6.17%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31404ULA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10546 | PA      | $10826.60     | 0.00%             | 2034-05-01      | Variable      | 6.28%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31404MPD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14306 | PA      | $14641.18     | 0.00%             | 2034-03-01      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407YRJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     50386 | PA      | $51390.23     | 0.01%             | 2035-11-01      | Variable      | 5.98%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC, Series 4794, Class WF                                                     | CUSIP: 3137F5MJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2720633 | PA      | $2680719.80   | 0.71%             | 2043-03-15      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410QEE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4659 | PA      | $4781.06      | 0.00%             | 2036-10-01      | Variable      | 6.01%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407FUV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1544 | PA      | $1590.87      | 0.00%             | 2035-07-01      | Variable      | 6.31%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31419BA21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    131360 | PA      | $136299.01    | 0.04%             | 2038-07-01      | Variable      | 6.53%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405YPX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     69252 | PA      | $70094.16     | 0.02%             | 2044-09-01      | Variable      | 5.31%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31409UWF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3192 | PA      | $3230.56      | 0.00%             | 2036-01-01      | Variable      | 6.22%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406MAP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5113 | PA      | $5223.71      | 0.00%             | 2035-01-01      | Variable      | 6.19%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410FZH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     84322 | PA      | $85505.82     | 0.02%             | 2035-06-01      | Variable      | 6.42%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407T2S8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17742 | PA      | $18169.85     | 0.00%             | 2035-09-01      | Variable      | 6.48%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402QZV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30940 | PA      | $31822.69     | 0.01%             | 2034-11-01      | Variable      | 6.27%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31412SKY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2057 | PA      | $2102.12      | 0.00%             | 2038-03-01      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31386M2G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2458 | PA      | $2477.46      | 0.00%             | 2030-09-01      | Variable      | 5.92%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31400BWB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5977 | PA      | $6080.13      | 0.00%             | 2033-02-01      | Variable      | 6.58%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31414R5F8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17256 | PA      | $17648.11     | 0.00%             | 2038-03-01      | Variable      | 6.56%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31414DPA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7659 | PA      | $7892.04      | 0.00%             | 2038-05-01      | Variable      | 6.91%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403DTT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4379 | PA      | $4490.53      | 0.00%             | 2035-04-01      | Variable      | 6.39%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407EM67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     92214 | PA      | $94292.33     | 0.02%             | 2035-06-01      | Variable      | 6.36%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31378VKP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1266 | PA      | $1267.20      | 0.00%             | 2027-06-01      | Variable      | 6.37%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31411DUK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     63338 | PA      | $65216.69     | 0.02%             | 2036-11-01      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31374T2E8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37606 | PA      | $36861.89     | 0.01%             | 2036-05-01      | Variable      | 4.41%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402DM98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1343 | PA      | $1371.69      | 0.00%             | 2038-03-01      | Variable      | 6.29%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 3138ERS68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    145476 | PA      | $149073.27    | 0.04%             | 2038-07-01      | Variable      | 6.39%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31411GTW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     72089 | PA      | $74629.29     | 0.02%             | 2037-03-01      | Variable      | 6.74%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC, Series 4988, Class AF                                                     | CUSIP: 3137FUN26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3086804 | PA      | $3044840.24   | 0.80%             | 2037-10-15      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 3128JRJB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     95604 | PA      | $97736.61     | 0.03%             | 2035-11-01      | Variable      | 6.61%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 3128S5VZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    162336 | PA      | $165988.57    | 0.04%             | 2038-03-01      | Variable      | 6.70%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31404P6G1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22664 | PA      | $23097.04     | 0.01%             | 2034-04-01      | Variable      | 6.20%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 31347AVZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1278914 | PA      | $1324220.96   | 0.35%             | 2045-05-01      | Variable      | 6.49%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31413YLY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3030 | PA      | $3052.73      | 0.00%             | 2037-11-01      | Variable      | 5.86%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406XXN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11903 | PA      | $12262.12     | 0.00%             | 2035-06-01      | Variable      | 6.31%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402RKL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    317922 | PA      | $325651.72    | 0.09%             | 2034-12-01      | Variable      | 6.24%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402CWB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    284986 | PA      | $291010.25    | 0.08%             | 2034-02-01      | Variable      | 6.52%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31414EKD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4950 | PA      | $5093.75      | 0.00%             | 2038-06-01      | Variable      | 6.54%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31375VEU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1350 | PA      | $1348.17      | 0.00%             | 2036-07-01      | Variable      | 6.20%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403DMZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    184919 | PA      | $190139.24    | 0.05%             | 2036-05-01      | Variable      | 6.10%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403DQN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     41065 | PA      | $42221.19     | 0.01%             | 2036-08-01      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31401HJF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19588 | PA      | $20059.83     | 0.01%             | 2033-06-01      | Variable      | 6.35%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403DPE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9859 | PA      | $9934.24      | 0.00%             | 2034-03-01      | Variable      | 6.17%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 3128QGMT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     90742 | PA      | $91499.95     | 0.02%             | 2037-01-01      | Variable      | 6.14%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407YMC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2648 | PA      | $2702.99      | 0.00%             | 2035-12-01      | Variable      | 6.18%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 3138EJZS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    767446 | PA      | $792826.76    | 0.21%             | 2036-06-01      | Variable      | 6.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406DG67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8934 | PA      | $9223.62      | 0.00%             | 2034-11-01      | Variable      | 6.24%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31386CXW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       716 | PA      | $717.50       | 0.00%             | 2028-06-01      | Variable      | 6.42%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402G7D9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11696 | PA      | $11982.62     | 0.00%             | 2033-08-01      | Variable      | 6.27%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402CXP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        70 | PA      | $70.50        | 0.00%             | 2032-06-01      | Variable      | 6.18%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31409XZY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    143774 | PA      | $147062.20    | 0.04%             | 2036-02-01      | Variable      | 6.59%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31387MAU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     78221 | PA      | $78645.31     | 0.02%             | 2031-04-01      | Variable      | 6.48%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407SKU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    198247 | PA      | $202906.53    | 0.05%             | 2035-12-01      | Variable      | 6.60%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405XQU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1789 | PA      | $1830.60      | 0.00%             | 2034-11-01      | Variable      | 6.35%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31413RTG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20884 | PA      | $21436.97     | 0.01%             | 2037-10-01      | Variable      | 6.28%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406MER3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42791 | PA      | $43978.09     | 0.01%             | 2035-01-01      | Variable      | 6.19%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31371L4X4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3608 | PA      | $3679.94      | 0.00%             | 2035-01-01      | Variable      | 6.63%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31416BT40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    565458 | PA      | $582922.23    | 0.15%             | 2036-02-01      | Variable      | 6.42%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31404A3G7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14207 | PA      | $14513.97     | 0.00%             | 2033-10-01      | Variable      | 5.98%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407UMR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     47901 | PA      | $49865.09     | 0.01%             | 2034-11-01      | Variable      | 6.47%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31385H4F6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2944 | PA      | $2989.54      | 0.00%             | 2040-07-01      | Variable      | 6.27%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407JNN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    150524 | PA      | $155023.29    | 0.04%             | 2035-07-01      | Variable      | 6.44%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410GGV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14621 | PA      | $15063.94     | 0.00%             | 2037-08-01      | Variable      | 6.45%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410ABX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9276 | PA      | $9454.13      | 0.00%             | 2036-07-01      | Variable      | 6.19%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402RUB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34821 | PA      | $35718.44     | 0.01%             | 2035-09-01      | Variable      | 6.39%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31412EJ23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1265 | PA      | $1287.21      | 0.00%             | 2037-02-01      | Variable      | 6.09%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31401DMN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6687 | PA      | $6859.13      | 0.00%             | 2033-05-01      | Variable      | 6.52%                 | No            |                  2 | On Loan: No      |
| United States of America                                 | U.S. Treasury Notes                                                              | CUSIP: 9128286F2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2162000 | PA      | $2152561.77   | 0.57%             | 2026-02-28      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31419ACA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    555426 | PA      | $576801.55    | 0.15%             | 2040-05-01      | Variable      | 6.72%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31412CFL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2975 | PA      | $3018.04      | 0.00%             | 2037-01-01      | Variable      | 5.95%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 3128S5AJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    189992 | PA      | $193851.58    | 0.05%             | 2037-01-01      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31391KQN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       549 | PA      | $556.90       | 0.00%             | 2032-10-01      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31404XR71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     90538 | PA      | $92180.05     | 0.02%             | 2034-11-01      | Variable      | 6.15%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407XT92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    412555 | PA      | $418448.34    | 0.11%             | 2035-11-01      | Variable      | 6.08%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31404FPT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27756 | PA      | $28464.00     | 0.01%             | 2034-06-01      | Variable      | 6.22%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402VZW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5219 | PA      | $5297.64      | 0.00%             | 2033-08-01      | Variable      | 6.26%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402Q4J7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       523 | PA      | $536.47       | 0.00%             | 2033-11-01      | Variable      | 6.13%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403UYK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10227 | PA      | $10373.50     | 0.00%             | 2033-11-01      | Variable      | 6.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406NBL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16599 | PA      | $16941.35     | 0.00%             | 2035-04-01      | Variable      | 6.37%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31416CBD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12514 | PA      | $12883.51     | 0.00%             | 2035-12-01      | Variable      | 6.31%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402LGC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    108543 | PA      | $109427.85    | 0.03%             | 2033-09-01      | Variable      | 6.16%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31409ENJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13410 | PA      | $13832.98     | 0.00%             | 2036-05-01      | Variable      | 6.77%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410KF41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    177691 | PA      | $181603.75    | 0.05%             | 2035-08-01      | Variable      | 6.54%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410UXH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36221 | PA      | $37612.18     | 0.01%             | 2036-09-01      | Variable      | 6.26%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403QMT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22311 | PA      | $22674.05     | 0.01%             | 2033-10-01      | Variable      | 6.11%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31409VAS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    375053 | PA      | $386589.74    | 0.10%             | 2036-02-01      | Variable      | 6.79%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410Q3N9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     56360 | PA      | $57706.73     | 0.02%             | 2036-03-01      | Variable      | 6.63%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31363XDF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18569 | PA      | $18347.18     | 0.00%             | 2028-11-01      | Variable      | 4.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 3138EGEG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     39131 | PA      | $40418.12     | 0.01%             | 2036-09-01      | Variable      | 6.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31404EZ90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33557 | PA      | $34066.91     | 0.01%             | 2034-03-01      | Variable      | 6.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31412SVV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        64 | PA      | $65.60        | 0.00%             | 2038-07-01      | Variable      | 6.37%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410PYG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25673 | PA      | $26471.47     | 0.01%             | 2036-09-01      | Variable      | 6.68%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402C2J0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       667 | PA      | $682.97       | 0.00%             | 2038-05-01      | Variable      | 6.34%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31404JSQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18791 | PA      | $19171.45     | 0.01%             | 2034-03-01      | Variable      | 6.27%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403CWW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2576 | PA      | $2618.04      | 0.00%             | 2035-03-01      | Variable      | 6.53%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC, Series 343, Class F4                                                      | CUSIP: 31351DEC1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2850009 | PA      | $2814282.52   | 0.74%             | 2037-10-15      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31384V7K2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5310 | PA      | $5305.37      | 0.00%             | 2040-10-01      | Variable      | 5.51%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31404CVT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     84980 | PA      | $87296.87     | 0.02%             | 2034-01-01      | Variable      | 6.49%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31404FPR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     53659 | PA      | $55028.49     | 0.01%             | 2034-05-01      | Variable      | 6.22%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402KU28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1562 | PA      | $1599.60      | 0.00%             | 2033-08-01      | Variable      | 6.28%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC, Series 4891, Class AF                                                     | CUSIP: 3137FM2A9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4472831 | PA      | $4529538.61   | 1.20%             | 2042-07-15      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407FU40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4637 | PA      | $4774.56      | 0.00%             | 2035-08-01      | Variable      | 6.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31404X3H5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36157 | PA      | $37221.25     | 0.01%             | 2034-05-01      | Variable      | 6.56%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31401H6Q0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1000 | PA      | $1015.69      | 0.00%             | 2033-06-01      | Variable      | 6.14%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410XDA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24896 | PA      | $25960.73     | 0.01%             | 2036-10-01      | Variable      | 6.79%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31400SXU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19757 | PA      | $20232.65     | 0.01%             | 2033-05-01      | Variable      | 6.46%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31384V7B2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        22 | PA      | $22.08        | 0.00%             | 2030-03-01      | Variable      | 5.64%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31391EUJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7693 | PA      | $7837.02      | 0.00%             | 2032-10-01      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402G6M0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9948 | PA      | $10189.58     | 0.00%             | 2033-08-01      | Variable      | 6.22%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407MWS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5390 | PA      | $5498.25      | 0.00%             | 2035-05-01      | Variable      | 7.08%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31412V6Z6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9163 | PA      | $9378.64      | 0.00%             | 2037-04-01      | Variable      | 5.64%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31388NR99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4995 | PA      | $4988.21      | 0.00%             | 2030-03-01      | Variable      | 6.34%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31390CLB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       661 | PA      | $672.32       | 0.00%             | 2032-03-01      | Variable      | 6.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31412CE30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9500 | PA      | $9707.40      | 0.00%             | 2037-01-01      | Variable      | 6.01%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406L2Y3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     50315 | PA      | $51630.83     | 0.01%             | 2035-07-01      | Variable      | 6.31%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402DHP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5691 | PA      | $5703.82      | 0.00%             | 2032-10-01      | Variable      | 6.23%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406VQ74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5867 | PA      | $5892.98      | 0.00%             | 2035-05-01      | Variable      | 6.04%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402J4L8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     62300 | PA      | $63684.49     | 0.02%             | 2033-08-01      | Variable      | 6.46%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 31349SRM7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     94605 | PA      | $96967.11     | 0.03%             | 2034-04-01      | Variable      | 6.48%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403DTQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1679 | PA      | $1721.98      | 0.00%             | 2035-11-01      | Variable      | 6.27%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410EPE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    149658 | PA      | $153294.00    | 0.04%             | 2036-06-01      | Variable      | 6.36%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402XWP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     45172 | PA      | $45535.04     | 0.01%             | 2033-10-01      | Variable      | 5.73%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402D4C1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9941 | PA      | $10043.31     | 0.00%             | 2033-07-01      | Variable      | 6.06%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31373KHT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    185191 | PA      | $181834.28    | 0.05%             | 2034-09-01      | Variable      | 4.22%                 | No            |                  2 | On Loan: No      |
| United States of America                                 | U.S. Treasury Notes                                                              | CUSIP: 9128286A3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10000000 | PA      | $9969546.50   | 2.63%             | 2026-01-31      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406RA70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2704 | PA      | $2708.40      | 0.00%             | 2035-07-01      | Variable      | 6.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402RBH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7052 | PA      | $7255.03      | 0.00%             | 2034-11-01      | Variable      | 6.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406GLR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    111453 | PA      | $112364.47    | 0.03%             | 2035-02-01      | Variable      | 6.22%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31391MQR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    134613 | PA      | $135049.57    | 0.04%             | 2033-01-01      | Variable      | 6.16%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407JNQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3907 | PA      | $4023.95      | 0.00%             | 2035-07-01      | Variable      | 6.17%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 3138EHJB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     48018 | PA      | $49852.35     | 0.01%             | 2037-08-01      | Variable      | 6.36%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31419APP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    288426 | PA      | $294771.96    | 0.08%             | 2038-11-01      | Variable      | 6.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410GG31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2666 | PA      | $2730.30      | 0.00%             | 2038-03-01      | Variable      | 6.42%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31409AK81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       879 | PA      | $898.24       | 0.00%             | 2036-02-01      | Variable      | 6.52%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402RN62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4915 | PA      | $5015.74      | 0.00%             | 2035-07-01      | Variable      | 6.21%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31408GX28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4068 | PA      | $4205.61      | 0.00%             | 2035-09-01      | Variable      | 6.34%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403CZ95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7988 | PA      | $8202.68      | 0.00%             | 2035-09-01      | Variable      | 6.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406WEE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    199318 | PA      | $202699.83    | 0.05%             | 2035-06-01      | Variable      | 6.17%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402RPM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3754 | PA      | $3855.56      | 0.00%             | 2035-06-01      | Variable      | 6.26%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410GJN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    231522 | PA      | $235542.34    | 0.06%             | 2037-08-01      | Variable      | 6.19%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31409X3V9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34290 | PA      | $34576.75     | 0.01%             | 2036-04-01      | Variable      | 6.04%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410RM48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27837 | PA      | $28655.80     | 0.01%             | 2036-08-01      | Variable      | 6.55%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31385HUF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       623 | PA      | $626.70       | 0.00%             | 2038-03-01      | Variable      | 6.23%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410FW50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14227 | PA      | $14489.58     | 0.00%             | 2037-01-01      | Variable      | 6.63%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 3128S4GC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     32864 | PA      | $33551.60     | 0.01%             | 2037-01-01      | Variable      | 6.37%                 | No            |                  2 | On Loan: No      |
| United States of America                                 | U.S. Treasury Notes                                                              | CUSIP: 91282CKK6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  18238000 | PA      | $18329219.91  | 4.84%             | 2026-04-30      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410F3M5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       642 | PA      | $648.38       | 0.00%             | 2037-04-01      | Variable      | 6.04%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 3128JRG26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    100965 | PA      | $103023.92    | 0.03%             | 2035-06-01      | Variable      | 6.85%                 | No            |                  2 | On Loan: No      |
| FHLMC, Multi-family Structured Pass-Through Certificate  | FHLMC, Multi-family Structured Pass-Through Certificates, Series KF164, Class AS | CUSIP: 3137HHUV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3849126 | PA      | $3853367.03   | 1.02%             | 2034-10-25      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 3128S5DY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    398305 | PA      | $407702.37    | 0.11%             | 2037-04-01      | Variable      | 6.39%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403DVD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2990 | PA      | $3074.62      | 0.00%             | 2038-05-01      | Variable      | 6.41%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 31347ASU9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    315225 | PA      | $324266.13    | 0.09%             | 2036-01-01      | Variable      | 6.46%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31400AMQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1496 | PA      | $1525.55      | 0.00%             | 2033-01-01      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405RXF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7868 | PA      | $8042.72      | 0.00%             | 2034-10-01      | Variable      | 6.22%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31391QW34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1186 | PA      | $1214.36      | 0.00%             | 2032-12-01      | Variable      | 6.42%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31404ECQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15883 | PA      | $16223.99     | 0.00%             | 2034-02-01      | Variable      | 6.60%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31401CXL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8027 | PA      | $8188.88      | 0.00%             | 2033-05-01      | Variable      | 6.46%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31391SSW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1943 | PA      | $1980.61      | 0.00%             | 2032-12-01      | Variable      | 6.21%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31409HGL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42694 | PA      | $43854.95     | 0.01%             | 2036-05-01      | Variable      | 6.55%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31401PEH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    189619 | PA      | $191389.76    | 0.05%             | 2033-04-01      | Variable      | 6.15%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 3138ETM29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3360039 | PA      | $3479911.06   | 0.92%             | 2036-05-01      | Variable      | 6.29%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410AH33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2483 | PA      | $2556.09      | 0.00%             | 2036-07-01      | Variable      | 6.64%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31400FEQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     48339 | PA      | $49495.94     | 0.01%             | 2033-07-01      | Variable      | 6.21%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31400VP89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       266 | PA      | $265.98       | 0.00%             | 2028-03-01      | Variable      | 5.78%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31413KMQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    103054 | PA      | $104222.22    | 0.03%             | 2037-10-01      | Variable      | 5.99%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406QGG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     61313 | PA      | $62042.09     | 0.02%             | 2035-02-01      | Variable      | 6.23%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA, 30 Year                                                                    | CUSIP: 31418ERA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         0 | PA      | $0.01         | 0.00%             | 2053-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405DVE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14803 | PA      | $15022.99     | 0.00%             | 2034-07-01      | Variable      | 6.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406NEA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    158451 | PA      | $161739.00    | 0.04%             | 2035-04-01      | Variable      | 6.63%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406WNX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21783 | PA      | $22073.04     | 0.01%             | 2035-02-01      | Variable      | 6.21%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31400Q2Z5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2031 | PA      | $2082.29      | 0.00%             | 2033-03-01      | Variable      | 6.54%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 3128JMVS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    175245 | PA      | $179197.44    | 0.05%             | 2036-01-01      | Variable      | 6.74%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31390W7E6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15677 | PA      | $16081.60     | 0.00%             | 2032-11-01      | Variable      | 6.12%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 3128S4HF7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    204372 | PA      | $211194.56    | 0.06%             | 2037-03-01      | Variable      | 6.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410GMA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    327285 | PA      | $336005.11    | 0.09%             | 2037-09-01      | Variable      | 6.56%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410GDQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5939 | PA      | $6073.74      | 0.00%             | 2033-12-01      | Variable      | 6.24%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403NPV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37136 | PA      | $37852.02     | 0.01%             | 2033-12-01      | Variable      | 6.20%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31418MM90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     40019 | PA      | $41179.04     | 0.01%             | 2037-11-01      | Variable      | 6.59%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402QX48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1162 | PA      | $1181.98      | 0.00%             | 2035-01-01      | Variable      | 6.18%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA, 30 Year                                                                    | CUSIP: 31418EXW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         0 | PA      | $0.01         | 0.00%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402HAL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16641 | PA      | $17109.30     | 0.00%             | 2033-09-01      | Variable      | 6.46%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402TLH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16029 | PA      | $16222.48     | 0.00%             | 2033-08-01      | Variable      | 5.74%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31404GTS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     84953 | PA      | $85523.05     | 0.02%             | 2033-11-01      | Variable      | 5.98%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410EPC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    194032 | PA      | $198428.19    | 0.05%             | 2036-06-01      | Variable      | 6.23%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31385HJT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2016 | PA      | $2017.29      | 0.00%             | 2036-07-01      | Variable      | 5.14%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410F4H5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1583 | PA      | $1622.76      | 0.00%             | 2037-03-01      | Variable      | 6.72%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 31300LF34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    731130 | PA      | $755663.86    | 0.20%             | 2035-12-01      | Variable      | 6.71%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31409EJW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    125566 | PA      | $129229.25    | 0.03%             | 2036-04-01      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31409VJ20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     50731 | PA      | $52052.14     | 0.01%             | 2036-07-01      | Variable      | 6.23%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405PLQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10663 | PA      | $10790.81     | 0.00%             | 2034-10-01      | Variable      | 5.89%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31400XZG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3225 | PA      | $3265.54      | 0.00%             | 2033-04-01      | Variable      | 6.63%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31416CAQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5005 | PA      | $5079.67      | 0.00%             | 2037-10-01      | Variable      | 6.19%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402Q5R8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    103484 | PA      | $104990.40    | 0.03%             | 2035-01-01      | Variable      | 6.08%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 3128S5ZW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3370293 | PA      | $3503353.24   | 0.92%             | 2037-09-01      | Variable      | 6.66%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31374GEW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1335 | PA      | $1337.12      | 0.00%             | 2027-04-01      | Variable      | 6.48%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403DQ69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    101836 | PA      | $104825.72    | 0.03%             | 2036-07-01      | Variable      | 6.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 3138EMA43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    422816 | PA      | $438516.91    | 0.12%             | 2040-12-01      | Variable      | 6.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407XWM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24610 | PA      | $24979.95     | 0.01%             | 2035-11-01      | Variable      | 5.92%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31416CL61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       608 | PA      | $627.24       | 0.00%             | 2036-09-01      | Variable      | 6.52%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410AKW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42567 | PA      | $43594.56     | 0.01%             | 2036-07-01      | Variable      | 6.23%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 31288QLJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5695708 | PA      | $5925886.54   | 1.56%             | 2046-07-01      | Variable      | 6.52%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31391TZ50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11957 | PA      | $12146.62     | 0.00%             | 2032-12-01      | Variable      | 6.51%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403AL78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6469 | PA      | $6591.98      | 0.00%             | 2033-09-01      | Variable      | 6.39%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31374GRC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4448 | PA      | $4405.03      | 0.00%             | 2036-05-01      | Variable      | 4.41%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405FTR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1216 | PA      | $1250.73      | 0.00%             | 2034-07-01      | Variable      | 6.29%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31400RT76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5518 | PA      | $5652.83      | 0.00%             | 2033-04-01      | Variable      | 6.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31385XSJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2838 | PA      | $2817.25      | 0.00%             | 2035-09-01      | Variable      | 4.66%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403FGK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6920 | PA      | $7086.60      | 0.00%             | 2034-07-01      | Variable      | 6.15%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31404XE26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    261043 | PA      | $267194.50    | 0.07%             | 2034-08-01      | Variable      | 6.18%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402DNC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       108 | PA      | $110.30       | 0.00%             | 2033-05-01      | Variable      | 6.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31400AMD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22116 | PA      | $22634.18     | 0.01%             | 2033-01-01      | Variable      | 6.35%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 3128NHK36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1342602 | PA      | $1375379.70   | 0.36%             | 2035-09-01      | Variable      | 6.09%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402RHT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13230 | PA      | $13244.56     | 0.00%             | 2042-08-01      | Variable      | 5.31%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402QZY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       547 | PA      | $557.26       | 0.00%             | 2038-05-01      | Variable      | 6.35%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403DUU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5515 | PA      | $5638.73      | 0.00%             | 2036-10-01      | Variable      | 6.51%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405NLX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       564 | PA      | $570.49       | 0.00%             | 2034-09-01      | Variable      | 6.29%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31409GFF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29121 | PA      | $29982.26     | 0.01%             | 2036-04-01      | Variable      | 6.52%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402DMF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3763 | PA      | $3846.90      | 0.00%             | 2034-08-01      | Variable      | 6.17%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31412EJ72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3634 | PA      | $3700.25      | 0.00%             | 2037-02-01      | Variable      | 6.46%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC, Series 4915, Class FE                                                     | CUSIP: 3137FNJT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6307899 | PA      | $6231286.17   | 1.64%             | 2038-02-15      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410DXD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17651 | PA      | $18122.77     | 0.00%             | 2036-08-01      | Variable      | 6.46%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31404XJX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8042 | PA      | $8223.48      | 0.00%             | 2034-12-01      | Variable      | 6.20%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31409UWM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     50208 | PA      | $51697.28     | 0.01%             | 2035-11-01      | Variable      | 6.19%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31404XH31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5554 | PA      | $5685.76      | 0.00%             | 2034-10-01      | Variable      | 5.92%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31419GJS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    157336 | PA      | $162415.30    | 0.04%             | 2040-09-01      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405JE75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2674 | PA      | $2727.82      | 0.00%             | 2034-09-01      | Variable      | 6.40%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II                                                                          | CUSIP: 36225DBX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4150 | PA      | $4159.23      | 0.00%             | 2034-06-20      | Variable      | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31409CD44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     66780 | PA      | $68628.64     | 0.02%             | 2036-02-01      | Variable      | 6.52%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31371MB89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     51575 | PA      | $52800.80     | 0.01%             | 2035-05-01      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 3138EGEH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1211306 | PA      | $1247785.66   | 0.33%             | 2039-01-01      | Variable      | 6.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407CU88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    104170 | PA      | $106654.65    | 0.03%             | 2035-08-01      | Variable      | 6.41%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31409XQG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17951 | PA      | $18189.95     | 0.00%             | 2036-03-01      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402Q5D9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14667 | PA      | $14876.89     | 0.00%             | 2034-07-01      | Variable      | 6.46%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403VLC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4740 | PA      | $4798.38      | 0.00%             | 2034-01-01      | Variable      | 6.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA, 30 Year                                                                    | CUSIP: 31418ET75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3944723 | PA      | $4046089.47   | 1.07%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31401Y3J2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     68131 | PA      | $69953.46     | 0.02%             | 2033-09-01      | Variable      | 6.39%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31409X5Q8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     40013 | PA      | $40051.95     | 0.01%             | 2036-06-01      | Variable      | 6.15%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31413ECE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14396 | PA      | $14830.02     | 0.00%             | 2037-08-01      | Variable      | 6.74%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402RH69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5541 | PA      | $5549.44      | 0.00%             | 2044-10-01      | Variable      | 5.31%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31390AHA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6951 | PA      | $7108.04      | 0.00%             | 2032-04-01      | Variable      | 6.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31409DVM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    235855 | PA      | $242406.92    | 0.06%             | 2036-04-01      | Variable      | 6.85%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31385HU59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2786 | PA      | $2752.88      | 0.00%             | 2036-05-01      | Variable      | 4.45%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 31300LEF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    377494 | PA      | $385845.17    | 0.10%             | 2034-08-01      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403AQP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    103308 | PA      | $105407.38    | 0.03%             | 2033-10-01      | Variable      | 6.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403NSL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21936 | PA      | $22346.20     | 0.01%             | 2033-11-01      | Variable      | 6.39%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31384VJ60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       188 | PA      | $188.30       | 0.00%             | 2028-07-01      | Variable      | 6.53%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402A5N2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26952 | PA      | $27463.02     | 0.01%             | 2033-07-01      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405AET6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1988 | PA      | $1981.96      | 0.00%             | 2044-04-01      | Variable      | 5.31%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31411JKZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2209 | PA      | $2259.37      | 0.00%             | 2037-02-01      | Variable      | 6.63%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31413ADY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11992 | PA      | $12142.27     | 0.00%             | 2037-05-01      | Variable      | 6.27%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410SCZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    386405 | PA      | $390956.92    | 0.10%             | 2036-05-01      | Variable      | 6.15%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402C6N7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4721 | PA      | $4768.63      | 0.00%             | 2034-04-01      | Variable      | 5.97%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31412XPK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       208 | PA      | $212.52       | 0.00%             | 2037-06-01      | Variable      | 6.42%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403YHN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19728 | PA      | $20236.05     | 0.01%             | 2033-12-01      | Variable      | 6.53%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402DMC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       941 | PA      | $952.62       | 0.00%             | 2034-09-01      | Variable      | 6.41%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410SCY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    202232 | PA      | $206120.72    | 0.05%             | 2036-05-01      | Variable      | 6.35%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31385XJS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5911 | PA      | $6058.79      | 0.00%             | 2040-01-01      | Variable      | 6.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402KR48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2819 | PA      | $2895.69      | 0.00%             | 2033-09-01      | Variable      | 6.41%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406NSE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33907 | PA      | $34198.63     | 0.01%             | 2035-05-01      | Variable      | 6.23%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31389VAQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17990 | PA      | $18323.78     | 0.00%             | 2032-04-01      | Variable      | 6.54%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31416B5V6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11127 | PA      | $11518.91     | 0.00%             | 2038-07-01      | Variable      | 6.28%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31404XFS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3434 | PA      | $3501.23      | 0.00%             | 2034-09-01      | Variable      | 6.13%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406VZ33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    118806 | PA      | $121033.77    | 0.03%             | 2035-06-01      | Variable      | 6.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406LMT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23024 | PA      | $23422.63     | 0.01%             | 2035-01-01      | Variable      | 6.54%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31391LSJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    152387 | PA      | $153955.37    | 0.04%             | 2033-03-01      | Variable      | 5.92%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31401BX83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4726 | PA      | $4792.02      | 0.00%             | 2033-01-01      | Variable      | 6.33%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407MSF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1942 | PA      | $1998.68      | 0.00%             | 2035-07-01      | Variable      | 6.23%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407CAP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    600120 | PA      | $613540.77    | 0.16%             | 2035-07-01      | Variable      | 6.03%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31412CBL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14447 | PA      | $14994.12     | 0.00%             | 2036-03-01      | Variable      | 7.08%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31416CAG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4138 | PA      | $4285.66      | 0.00%             | 2037-03-01      | Variable      | 6.58%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31411E2N6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     58801 | PA      | $60378.22     | 0.02%             | 2037-01-01      | Variable      | 6.64%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31401G4N1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15648 | PA      | $15743.51     | 0.00%             | 2033-07-01      | Variable      | 6.14%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 3128JRV37<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     85660 | PA      | $88003.96     | 0.02%             | 2037-12-01      | Variable      | 6.60%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402CQG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       700 | PA      | $705.29       | 0.00%             | 2039-09-01      | Variable      | 6.44%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31409WCG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26563 | PA      | $27468.93     | 0.01%             | 2036-02-01      | Variable      | 6.44%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31404XEC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5022 | PA      | $5120.83      | 0.00%             | 2034-09-01      | Variable      | 6.13%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 3138EPR63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    332804 | PA      | $339579.48    | 0.09%             | 2040-04-01      | Variable      | 6.46%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 3138EHVA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30163 | PA      | $31107.07     | 0.01%             | 2037-07-01      | Variable      | 6.33%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31416BWK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19763 | PA      | $19961.73     | 0.01%             | 2038-09-01      | Variable      | 5.93%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31409ACY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     49638 | PA      | $51458.60     | 0.01%             | 2035-09-01      | Variable      | 7.05%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410B6S8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6870 | PA      | $7019.21      | 0.00%             | 2036-10-01      | Variable      | 6.37%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406BV64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     97224 | PA      | $98572.94     | 0.03%             | 2035-01-01      | Variable      | 6.37%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31385WZW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1624 | PA      | $1639.09      | 0.00%             | 2032-12-01      | Variable      | 6.68%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407AAJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    141100 | PA      | $143690.71    | 0.04%             | 2035-06-01      | Variable      | 6.32%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405RM94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8755 | PA      | $8887.63      | 0.00%             | 2034-08-01      | Variable      | 6.36%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31385XSY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6401 | PA      | $6429.85      | 0.00%             | 2033-09-01      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406LZ68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       334 | PA      | $343.02       | 0.00%             | 2034-12-01      | Variable      | 6.10%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407WS87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     57822 | PA      | $58690.22     | 0.02%             | 2035-08-01      | Variable      | 6.17%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31400SJK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7379 | PA      | $7563.49      | 0.00%             | 2033-04-01      | Variable      | 6.52%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410KVD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        57 | PA      | $56.42        | 0.00%             | 2028-02-01      | Variable      | 5.42%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31412G2Z3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10505 | PA      | $10575.89     | 0.00%             | 2034-07-01      | Variable      | 5.05%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31411JMS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6682 | PA      | $6890.56      | 0.00%             | 2037-02-01      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406L5A2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30740 | PA      | $31511.33     | 0.01%             | 2036-05-01      | Variable      | 6.31%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402XWG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     56267 | PA      | $56884.52     | 0.02%             | 2033-10-01      | Variable      | 5.78%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402RMG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8198 | PA      | $8408.21      | 0.00%             | 2035-08-01      | Variable      | 6.22%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31416BK49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1267529 | PA      | $1305927.15   | 0.34%             | 2036-02-01      | Variable      | 6.21%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410GDS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2170 | PA      | $2232.40      | 0.00%             | 2034-02-01      | Variable      | 6.54%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31389CYT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13469 | PA      | $13531.70     | 0.00%             | 2032-01-01      | Variable      | 6.17%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31401MUQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12974 | PA      | $13227.36     | 0.00%             | 2033-04-01      | Variable      | 6.20%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31390NJT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1987 | PA      | $1988.82      | 0.00%             | 2032-06-01      | Variable      | 5.23%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31374TYQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6237 | PA      | $6271.80      | 0.00%             | 2029-08-01      | Variable      | 6.13%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31408EQ21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    451144 | PA      | $457121.98    | 0.12%             | 2036-01-01      | Variable      | 6.19%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31404RUM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3456 | PA      | $3547.52      | 0.00%             | 2034-03-01      | Variable      | 6.20%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31391FPC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        25 | PA      | $25.47        | 0.00%             | 2029-08-01      | Variable      | 6.34%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31385WZZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     56001 | PA      | $56265.24     | 0.01%             | 2032-09-01      | Variable      | 5.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31400YA22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24912 | PA      | $25214.12     | 0.01%             | 2033-04-01      | Variable      | 6.54%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406DAE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25544 | PA      | $25564.45     | 0.01%             | 2044-10-01      | Variable      | 5.31%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC, Series 4730, Class WF                                                     | CUSIP: 3137FBCF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2630513 | PA      | $2596963.57   | 0.69%             | 2038-08-15      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403DKQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     94072 | PA      | $97105.86     | 0.03%             | 2035-05-01      | Variable      | 6.34%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405DLX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21676 | PA      | $22031.71     | 0.01%             | 2034-07-01      | Variable      | 6.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405TZV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37736 | PA      | $38089.11     | 0.01%             | 2034-08-01      | Variable      | 6.18%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 3128QSU95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    140673 | PA      | $142696.36    | 0.04%             | 2036-06-01      | Variable      | 6.23%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407XPG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4529 | PA      | $4608.32      | 0.00%             | 2035-11-01      | Variable      | 5.99%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31371MFY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     54604 | PA      | $56237.93     | 0.01%             | 2035-08-01      | Variable      | 6.48%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II                                                                          | CUSIP: 36225D3S1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     70789 | PA      | $71586.61     | 0.02%             | 2036-05-20      | Variable      | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31404NAD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2915 | PA      | $2977.64      | 0.00%             | 2034-11-01      | Variable      | 6.05%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 3128S5LE2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    380095 | PA      | $391162.41    | 0.10%             | 2036-11-01      | Variable      | 6.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410MHB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    125724 | PA      | $129763.31    | 0.03%             | 2036-04-01      | Variable      | 6.17%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31388K2K7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28211 | PA      | $28756.52     | 0.01%             | 2031-09-01      | Variable      | 6.14%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31411VHW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       671 | PA      | $685.46       | 0.00%             | 2037-02-01      | Variable      | 6.63%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31411VVR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24138 | PA      | $24743.90     | 0.01%             | 2037-03-01      | Variable      | 6.32%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 31300MAA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     87478 | PA      | $90606.54     | 0.02%             | 2036-06-01      | Variable      | 6.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31404JVP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     62586 | PA      | $63685.23     | 0.02%             | 2034-04-01      | Variable      | 6.51%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31413NJ63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11236 | PA      | $11167.68     | 0.00%             | 2037-08-01      | Variable      | 5.53%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406UUX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     78203 | PA      | $79390.03     | 0.02%             | 2035-03-01      | Variable      | 6.08%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31385H5Y4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24662 | PA      | $25204.72     | 0.01%             | 2032-01-01      | Variable      | 6.29%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407GCT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    155869 | PA      | $160364.64    | 0.04%             | 2035-02-01      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC, Series 413, Class F23                                                     | CUSIP: 3133Q3LF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1380682 | PA      | $1382975.19   | 0.36%             | 2054-05-25      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31404PHL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       818 | PA      | $837.63       | 0.00%             | 2034-03-01      | Variable      | 6.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402REK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1368 | PA      | $1408.90      | 0.00%             | 2035-05-01      | Variable      | 7.04%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31376JNW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3361 | PA      | $3450.33      | 0.00%             | 2036-10-01      | Variable      | 6.29%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31385YEG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5487 | PA      | $5492.08      | 0.00%             | 2027-08-01      | Variable      | 6.29%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403C3Z2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     46981 | PA      | $48071.22     | 0.01%             | 2035-11-01      | Variable      | 6.36%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405AP64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2076 | PA      | $2139.32      | 0.00%             | 2034-06-01      | Variable      | 6.21%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31404Q5M7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    158828 | PA      | $160761.26    | 0.04%             | 2044-03-01      | Variable      | 5.31%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | U.S. Treasury 2 Year Notes                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       500 | NC      | $-152470.00   | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405NLW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       664 | PA      | $676.18       | 0.00%             | 2034-09-01      | Variable      | 6.18%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407WSS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6155 | PA      | $6335.39      | 0.00%             | 2035-09-01      | Variable      | 6.16%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 3128S54S0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    268145 | PA      | $273581.61    | 0.07%             | 2038-10-01      | Variable      | 6.55%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31414NBM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17997 | PA      | $18554.64     | 0.00%             | 2038-11-01      | Variable      | 6.33%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405H3L0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       134 | PA      | $136.27       | 0.00%             | 2034-08-01      | Variable      | 6.02%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31404DZ68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16274 | PA      | $16625.06     | 0.00%             | 2033-10-01      | Variable      | 6.26%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410EFD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4768 | PA      | $4887.39      | 0.00%             | 2036-08-01      | Variable      | 6.64%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31390WQX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     45969 | PA      | $47206.48     | 0.01%             | 2033-09-01      | Variable      | 6.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31409JKQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23061 | PA      | $23549.72     | 0.01%             | 2036-05-01      | Variable      | 6.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410FX34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4106 | PA      | $4209.93      | 0.00%             | 2036-03-01      | Variable      | 6.99%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 3128NHPT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     42310 | PA      | $43213.02     | 0.01%             | 2036-09-01      | Variable      | 6.19%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405RC61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     93570 | PA      | $95916.46     | 0.03%             | 2034-09-01      | Variable      | 6.41%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402REL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5826 | PA      | $6003.82      | 0.00%             | 2035-04-01      | Variable      | 6.42%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407MSW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27859 | PA      | $28385.45     | 0.01%             | 2035-07-01      | Variable      | 6.27%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31412CFA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7472 | PA      | $7559.82      | 0.00%             | 2037-01-01      | Variable      | 5.89%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407XUW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33068 | PA      | $33744.81     | 0.01%             | 2035-11-01      | Variable      | 5.91%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407MSE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2936 | PA      | $2956.28      | 0.00%             | 2035-07-01      | Variable      | 6.21%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31416B5R5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     40020 | PA      | $41161.91     | 0.01%             | 2039-02-01      | Variable      | 6.59%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403DNX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14464 | PA      | $14750.52     | 0.00%             | 2038-05-01      | Variable      | 6.31%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406WGK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       867 | PA      | $871.43       | 0.00%             | 2035-07-01      | Variable      | 6.24%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31411HM56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4830 | PA      | $4979.65      | 0.00%             | 2037-01-01      | Variable      | 6.51%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402RQK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16359 | PA      | $16730.29     | 0.00%             | 2036-07-01      | Variable      | 6.41%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31390UMX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1575 | PA      | $1618.65      | 0.00%             | 2033-06-01      | Variable      | 6.29%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403DC49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     97101 | PA      | $98845.09     | 0.03%             | 2036-02-01      | Variable      | 6.61%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 3128JR6K7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    121770 | PA      | $126107.97    | 0.03%             | 2037-06-01      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403Q5H9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       856 | PA      | $866.50       | 0.00%             | 2033-10-01      | Variable      | 6.03%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31416BWG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2517 | PA      | $2587.22      | 0.00%             | 2036-09-01      | Variable      | 6.37%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31414URK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    161049 | PA      | $162193.41    | 0.04%             | 2035-01-01      | Variable      | 6.09%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410VQJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     56362 | PA      | $56779.51     | 0.01%             | 2034-08-01      | Variable      | 6.04%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403AU60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     82101 | PA      | $83693.23     | 0.02%             | 2033-10-01      | Variable      | 6.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405X5P4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5644 | PA      | $5787.12      | 0.00%             | 2034-12-01      | Variable      | 6.32%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31401GYR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5555 | PA      | $5647.92      | 0.00%             | 2033-04-01      | Variable      | 6.02%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31389TR46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1036 | PA      | $1052.48      | 0.00%             | 2032-06-01      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406L3G1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1403 | PA      | $1440.66      | 0.00%             | 2036-01-01      | Variable      | 6.42%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31390WTK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3835 | PA      | $3859.67      | 0.00%             | 2033-10-01      | Variable      | 5.91%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31378FEF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       654 | PA      | $652.84       | 0.00%             | 2027-06-01      | Variable      | 6.21%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405LNA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33223 | PA      | $34175.00     | 0.01%             | 2034-07-01      | Variable      | 6.28%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31417VFL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     86297 | PA      | $87710.77     | 0.02%             | 2035-07-01      | Variable      | 6.32%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31404UQ60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2098 | PA      | $2136.72      | 0.00%             | 2034-06-01      | Variable      | 6.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405WHV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2920 | PA      | $3005.18      | 0.00%             | 2034-10-01      | Variable      | 6.32%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31385XP43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        85 | PA      | $85.27        | 0.00%             | 2030-08-01      | Variable      | 6.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31413QJ33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1932 | PA      | $1974.30      | 0.00%             | 2037-11-01      | Variable      | 6.20%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31384VBF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10032 | PA      | $10015.63     | 0.00%             | 2027-05-01      | Variable      | 6.22%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406V5L6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     82970 | PA      | $84048.19     | 0.02%             | 2035-06-01      | Variable      | 6.11%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31409XXB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28231 | PA      | $28805.99     | 0.01%             | 2036-04-01      | Variable      | 6.61%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31389AZN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5132 | PA      | $5088.44      | 0.00%             | 2036-11-01      | Variable      | 4.21%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407KRF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     49220 | PA      | $49944.15     | 0.01%             | 2035-09-01      | Variable      | 6.14%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405YXX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18297 | PA      | $18623.25     | 0.00%             | 2034-10-01      | Variable      | 6.09%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406DBS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2200 | PA      | $2269.73      | 0.00%             | 2035-01-01      | Variable      | 6.56%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 3138EGSW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    646418 | PA      | $664252.21    | 0.18%             | 2035-09-01      | Variable      | 6.79%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410L6G2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4988 | PA      | $5128.17      | 0.00%             | 2036-08-01      | Variable      | 6.48%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403ATU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4929 | PA      | $5045.54      | 0.00%             | 2033-10-01      | Variable      | 6.06%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402M4D9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     40895 | PA      | $41647.55     | 0.01%             | 2033-08-01      | Variable      | 6.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31370Q6L8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     81385 | PA      | $80645.38     | 0.02%             | 2033-03-01      | Variable      | 4.22%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31388G7J4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19505 | PA      | $19735.72     | 0.01%             | 2032-09-01      | Variable      | 6.13%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31400AM96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     47114 | PA      | $47665.94     | 0.01%             | 2033-01-01      | Variable      | 5.92%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402G6P3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9203 | PA      | $9425.32      | 0.00%             | 2033-07-01      | Variable      | 6.22%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 3128QPQ21<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    528754 | PA      | $551988.22    | 0.15%             | 2037-01-01      | Variable      | 7.52%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC, Series 5537, Class FC                                                     | CUSIP: 3137HLBG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1864193 | PA      | $1872314.60   | 0.49%             | 2055-05-25      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410F7K5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    393171 | PA      | $406218.61    | 0.11%             | 2036-09-01      | Variable      | 6.49%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC, Multi-family Structured Pass-Through Certificates, Series KF160, Class AS | CUSIP: 3137HBBP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2708851 | PA      | $2718816.89   | 0.72%             | 2030-10-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402JXS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1724 | PA      | $1756.64      | 0.00%             | 2033-08-01      | Variable      | 6.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31381JN24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7509 | PA      | $7462.84      | 0.00%             | 2036-04-01      | Variable      | 6.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31378C4V1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1658 | PA      | $1644.60      | 0.00%             | 2027-07-01      | Variable      | 4.31%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31418MM82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    384993 | PA      | $396193.92    | 0.10%             | 2037-01-01      | Variable      | 6.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406KA26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       497 | PA      | $510.78       | 0.00%             | 2035-04-01      | Variable      | 7.03%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402RKC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4402 | PA      | $4482.05      | 0.00%             | 2032-04-01      | Variable      | 6.45%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403CFP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     54470 | PA      | $55846.12     | 0.01%             | 2033-09-01      | Variable      | 6.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31408DXE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9430 | PA      | $9507.90      | 0.00%             | 2035-12-01      | Variable      | 5.96%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31388RPD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     76986 | PA      | $77993.23     | 0.02%             | 2033-07-01      | Variable      | 6.45%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31386QD99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    167969 | PA      | $168398.03    | 0.04%             | 2041-01-01      | Variable      | 5.51%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31409XUP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     43245 | PA      | $44363.59     | 0.01%             | 2036-04-01      | Variable      | 6.65%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 3128S5L51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1524583 | PA      | $1579030.84   | 0.42%             | 2037-06-01      | Variable      | 6.85%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410SC47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25382 | PA      | $26012.57     | 0.01%             | 2036-05-01      | Variable      | 6.26%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403DFN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    303047 | PA      | $312387.70    | 0.08%             | 2036-04-01      | Variable      | 6.51%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407LJN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    177686 | PA      | $181800.69    | 0.05%             | 2035-07-01      | Variable      | 6.60%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 3128S5F66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    203064 | PA      | $207116.16    | 0.05%             | 2037-05-01      | Variable      | 6.56%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31391S6L9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4546 | PA      | $4577.31      | 0.00%             | 2032-11-01      | Variable      | 6.24%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410KBX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     43335 | PA      | $43793.95     | 0.01%             | 2038-03-01      | Variable      | 5.89%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402C2S0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22100 | PA      | $22470.25     | 0.01%             | 2034-04-01      | Variable      | 6.48%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31418MNV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    824812 | PA      | $852437.17    | 0.22%             | 2036-01-01      | Variable      | 6.43%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403DVP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12650 | PA      | $13041.98     | 0.00%             | 2035-07-01      | Variable      | 6.64%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31419ACM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    409360 | PA      | $418210.61    | 0.11%             | 2036-01-01      | Variable      | 5.82%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406DAF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    104749 | PA      | $106034.95    | 0.03%             | 2044-10-01      | Variable      | 5.31%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31411EYM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       230 | PA      | $235.96       | 0.00%             | 2037-01-01      | Variable      | 6.46%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31385XFF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5513 | PA      | $5606.51      | 0.00%             | 2033-04-01      | Variable      | 6.48%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407BWF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24242 | PA      | $24607.13     | 0.01%             | 2035-07-01      | Variable      | 6.36%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407P4K1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    225458 | PA      | $226747.58    | 0.06%             | 2035-07-01      | Variable      | 6.04%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402CW32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    135892 | PA      | $137590.20    | 0.04%             | 2034-02-01      | Variable      | 5.84%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31391QWB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5664 | PA      | $5779.45      | 0.00%             | 2032-11-01      | Variable      | 6.01%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31419AB48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5959 | PA      | $6138.60      | 0.00%             | 2036-07-01      | Variable      | 6.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406VL95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        10 | PA      | $9.72         | 0.00%             | 2035-05-01      | Variable      | 6.36%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31408GAQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    140265 | PA      | $143640.50    | 0.04%             | 2036-01-01      | Variable      | 6.74%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403K4F7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    128516 | PA      | $132033.03    | 0.03%             | 2034-04-01      | Variable      | 6.46%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31412ECK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    245918 | PA      | $254350.73    | 0.07%             | 2036-04-01      | Variable      | 6.77%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31409UBQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36605 | PA      | $37483.71     | 0.01%             | 2036-03-01      | Variable      | 6.74%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31418WMU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    183588 | PA      | $190070.71    | 0.05%             | 2040-08-01      | Variable      | 6.54%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405AEW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13755 | PA      | $13800.45     | 0.00%             | 2044-04-01      | Variable      | 5.31%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31381JRV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    122073 | PA      | $123287.35    | 0.03%             | 2035-10-01      | Variable      | 6.60%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406G4D8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30188 | PA      | $30765.94     | 0.01%             | 2035-03-01      | Variable      | 6.57%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405XXV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15102 | PA      | $15285.75     | 0.00%             | 2035-01-01      | Variable      | 6.24%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31412CFN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11713 | PA      | $11803.92     | 0.00%             | 2037-01-01      | Variable      | 6.16%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 3128S5QV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    337622 | PA      | $347374.82    | 0.09%             | 2037-09-01      | Variable      | 6.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403DFV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       291 | PA      | $297.33       | 0.00%             | 2036-04-01      | Variable      | 6.91%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31389AY80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5887 | PA      | $5764.95      | 0.00%             | 2033-05-01      | Variable      | 4.28%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410D4P2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6202 | PA      | $6334.15      | 0.00%             | 2036-08-01      | Variable      | 6.32%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406J3L5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       825 | PA      | $841.94       | 0.00%             | 2035-02-01      | Variable      | 6.68%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405PC40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18646 | PA      | $18792.45     | 0.00%             | 2034-10-01      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 31288QQM5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4119205 | PA      | $4282455.04   | 1.13%             | 2046-11-01      | Variable      | 6.58%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31404GZJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12562 | PA      | $12734.99     | 0.00%             | 2034-02-01      | Variable      | 6.27%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402TL45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     65059 | PA      | $66155.21     | 0.02%             | 2033-09-01      | Variable      | 6.15%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405UTZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2535 | PA      | $2564.68      | 0.00%             | 2034-11-01      | Variable      | 5.85%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407CEJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13231 | PA      | $13446.32     | 0.00%             | 2035-07-01      | Variable      | 6.44%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 31288QGQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1396663 | PA      | $1450916.55   | 0.38%             | 2044-01-01      | Variable      | 6.61%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402G7A5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       514 | PA      | $527.07       | 0.00%             | 2033-08-01      | Variable      | 6.34%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31408FPH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10448 | PA      | $10671.73     | 0.00%             | 2035-09-01      | Variable      | 6.59%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31419AFJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    177272 | PA      | $182040.58    | 0.05%             | 2037-09-01      | Variable      | 6.81%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403VWN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26416 | PA      | $27039.55     | 0.01%             | 2034-01-01      | Variable      | 6.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406C6Q6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42160 | PA      | $41659.69     | 0.01%             | 2034-12-01      | Variable      | 4.22%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402YQW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    173879 | PA      | $178488.37    | 0.05%             | 2033-10-01      | Variable      | 6.53%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31411RTJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2807 | PA      | $2902.30      | 0.00%             | 2037-03-01      | Variable      | 6.32%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31401GY24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     45553 | PA      | $46461.20     | 0.01%             | 2033-04-01      | Variable      | 6.08%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 3128S5FP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    217566 | PA      | $222493.69    | 0.06%             | 2037-11-01      | Variable      | 6.66%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410WFG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3041 | PA      | $3115.25      | 0.00%             | 2037-07-01      | Variable      | 6.37%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406AVG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11065 | PA      | $11189.06     | 0.00%             | 2034-12-01      | Variable      | 5.97%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31401BYD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11541 | PA      | $11737.71     | 0.00%             | 2033-03-01      | Variable      | 6.08%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31400AP77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3582 | PA      | $3655.22      | 0.00%             | 2033-03-01      | Variable      | 6.37%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406VC95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       438 | PA      | $445.61       | 0.00%             | 2035-05-01      | Variable      | 6.74%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31409GSP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       229 | PA      | $234.08       | 0.00%             | 2037-01-01      | Variable      | 6.53%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 31300LUP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    477994 | PA      | $494383.87    | 0.13%             | 2037-03-01      | Variable      | 6.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 3138EJDL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    673308 | PA      | $694598.77    | 0.18%             | 2039-09-01      | Variable      | 6.48%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410GJV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       445 | PA      | $447.61       | 0.00%             | 2033-09-01      | Variable      | 6.34%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403DFT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    127896 | PA      | $130130.72    | 0.03%             | 2035-08-01      | Variable      | 6.46%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31404CAE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21374 | PA      | $21962.80     | 0.01%             | 2034-04-01      | Variable      | 6.52%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402DEL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2151 | PA      | $2195.52      | 0.00%             | 2033-09-01      | Variable      | 6.37%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31418MBE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    458641 | PA      | $454947.35    | 0.12%             | 2037-08-01      | Variable      | 4.36%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31408DVM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    237955 | PA      | $242356.96    | 0.06%             | 2035-12-01      | Variable      | 6.48%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410KSL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26035 | PA      | $26814.93     | 0.01%             | 2035-12-01      | Variable      | 6.33%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406XXS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     50296 | PA      | $51726.06     | 0.01%             | 2035-05-01      | Variable      | 6.21%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31411S6V3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     85458 | PA      | $87207.12     | 0.02%             | 2037-03-01      | Variable      | 6.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405QCV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6180 | PA      | $6338.40      | 0.00%             | 2034-10-01      | Variable      | 6.34%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC, Series 5517, Class FH                                                     | CUSIP: 3137HKGL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1780715 | PA      | $1791107.23   | 0.47%             | 2055-03-25      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410KFR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10989 | PA      | $11225.73     | 0.00%             | 2038-05-01      | Variable      | 6.73%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31385JLV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4291 | PA      | $4370.48      | 0.00%             | 2032-06-01      | Variable      | 6.23%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403NRB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9902 | PA      | $10110.61     | 0.00%             | 2033-11-01      | Variable      | 6.24%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31379LCA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       304 | PA      | $303.07       | 0.00%             | 2026-01-01      | Variable      | 5.87%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 31300MZH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    282460 | PA      | $289828.84    | 0.08%             | 2040-05-01      | Variable      | 6.77%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402LLN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25230 | PA      | $25807.17     | 0.01%             | 2033-08-01      | Variable      | 6.20%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC, Series 4107, Class KF                                                     | CUSIP: 3137AUFV6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1300722 | PA      | $1286721.89   | 0.34%             | 2038-06-15      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31408EQC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     82530 | PA      | $84558.21     | 0.02%             | 2036-01-01      | Variable      | 6.10%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410KWJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    289037 | PA      | $295614.33    | 0.08%             | 2035-09-01      | Variable      | 6.59%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31413H5A2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3453 | PA      | $3561.22      | 0.00%             | 2037-09-01      | Variable      | 6.74%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402RHF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42608 | PA      | $42983.62     | 0.01%             | 2033-07-01      | Variable      | 6.39%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31408B4W5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3676 | PA      | $3705.94      | 0.00%             | 2036-01-01      | Variable      | 6.09%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403DVU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10094 | PA      | $10470.82     | 0.00%             | 2036-09-01      | Variable      | 6.24%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31401HVK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13852 | PA      | $14044.05     | 0.00%             | 2033-06-01      | Variable      | 6.20%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31373KHS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8090 | PA      | $8019.54      | 0.00%             | 2032-10-01      | Variable      | 4.65%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 3138ESAN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1987397 | PA      | $2051076.17   | 0.54%             | 2040-04-01      | Variable      | 6.49%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405DUD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       352 | PA      | $356.14       | 0.00%             | 2034-07-01      | Variable      | 6.28%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31404XRB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     62335 | PA      | $63794.03     | 0.02%             | 2034-11-01      | Variable      | 5.93%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31401KMH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18520 | PA      | $18964.63     | 0.01%             | 2033-07-01      | Variable      | 6.22%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC, Series 4989, Class FA                                                     | CUSIP: 3137FUKP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3941506 | PA      | $3878172.42   | 1.02%             | 2040-08-15      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403AX83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17180 | PA      | $17433.84     | 0.00%             | 2033-10-01      | Variable      | 6.51%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402QTK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       946 | PA      | $952.88       | 0.00%             | 2034-11-01      | Variable      | 6.04%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 31300M4K6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    385077 | PA      | $395169.31    | 0.10%             | 2035-09-01      | Variable      | 6.64%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31385JN87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26143 | PA      | $26431.11     | 0.01%             | 2032-09-01      | Variable      | 6.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31401YYL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28577 | PA      | $29306.35     | 0.01%             | 2033-08-01      | Variable      | 6.33%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31404V6Z6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10626 | PA      | $10932.78     | 0.00%             | 2034-06-01      | Variable      | 6.27%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 3138EGL93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    170252 | PA      | $174970.11    | 0.05%             | 2036-02-01      | Variable      | 6.45%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31385XCP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        68 | PA      | $66.85        | 0.00%             | 2036-05-01      | Variable      | 4.51%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31418MKA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10733 | PA      | $11009.48     | 0.00%             | 2034-06-01      | Variable      | 6.42%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406F6R7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21460 | PA      | $21652.02     | 0.01%             | 2035-01-01      | Variable      | 6.22%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31413NKA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23200 | PA      | $23216.50     | 0.01%             | 2037-08-01      | Variable      | 5.66%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31419AJH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    179174 | PA      | $182815.32    | 0.05%             | 2035-09-01      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 3128S4KY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    148942 | PA      | $153533.06    | 0.04%             | 2037-09-01      | Variable      | 6.77%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31400YDJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35457 | PA      | $36700.27     | 0.01%             | 2033-06-01      | Variable      | 6.89%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31384KZR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1304 | PA      | $1314.41      | 0.00%             | 2029-08-01      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405YPF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    316712 | PA      | $318238.89    | 0.08%             | 2034-11-01      | Variable      | 5.41%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31385XUH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2120 | PA      | $2171.71      | 0.00%             | 2038-03-01      | Variable      | 6.28%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31414CNW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6066 | PA      | $6139.64      | 0.00%             | 2036-01-01      | Variable      | 5.74%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31404WAN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22363 | PA      | $23005.60     | 0.01%             | 2034-06-01      | Variable      | 6.27%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31400WEN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2154 | PA      | $2216.58      | 0.00%             | 2033-03-01      | Variable      | 6.71%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31413JFD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       512 | PA      | $524.32       | 0.00%             | 2037-09-01      | Variable      | 6.56%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31404DX60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15446 | PA      | $15749.62     | 0.00%             | 2034-02-01      | Variable      | 6.66%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 313617NN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       230 | PA      | $228.04       | 0.00%             | 2027-07-01      | Variable      | 4.33%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31411AJ97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    124294 | PA      | $127803.83    | 0.03%             | 2036-11-01      | Variable      | 6.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410FWR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1257542 | PA      | $1300183.98   | 0.34%             | 2034-11-01      | Variable      | 6.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31416CLA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    421441 | PA      | $433935.08    | 0.11%             | 2036-05-01      | Variable      | 6.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31415MU78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     92703 | PA      | $95525.25     | 0.03%             | 2038-01-01      | Variable      | 6.24%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31411SM94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23844 | PA      | $24194.29     | 0.01%             | 2037-02-01      | Variable      | 6.09%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 3128LUFH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    274046 | PA      | $281044.85    | 0.07%             | 2036-11-01      | Variable      | 6.92%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403VTK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3396 | PA      | $3451.63      | 0.00%             | 2034-01-01      | Variable      | 6.17%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31386M2Y5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3034 | PA      | $3062.08      | 0.00%             | 2030-08-01      | Variable      | 6.37%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31389HEY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5088 | PA      | $5185.27      | 0.00%             | 2032-03-01      | Variable      | 6.45%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402MNH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       609 | PA      | $620.83       | 0.00%             | 2033-09-01      | Variable      | 6.22%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31385Y2E4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23343 | PA      | $23333.17     | 0.01%             | 2040-06-01      | Variable      | 5.51%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405YX22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13276 | PA      | $13411.35     | 0.00%             | 2034-10-01      | Variable      | 6.21%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31404XJP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15032 | PA      | $15320.85     | 0.00%             | 2034-11-01      | Variable      | 5.95%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31408C2U9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30998 | PA      | $31543.86     | 0.01%             | 2035-10-01      | Variable      | 6.10%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                               | FHLMC Pool, 30 Year                                                              | CUSIP: 3132DWNJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1826648 | PA      | $1846823.49   | 0.49%             | 2054-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 3138EM2J9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    914096 | PA      | $941601.99    | 0.25%             | 2038-01-01      | Variable      | 6.31%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31409XXJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     54837 | PA      | $55750.79     | 0.01%             | 2036-05-01      | Variable      | 6.48%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31411YPE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       380 | PA      | $391.33       | 0.00%             | 2037-05-01      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31391SJH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       731 | PA      | $749.26       | 0.00%             | 2033-02-01      | Variable      | 6.54%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31401MHB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3200 | PA      | $3289.83      | 0.00%             | 2033-06-01      | Variable      | 6.29%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410UXJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    185489 | PA      | $192589.20    | 0.05%             | 2036-09-01      | Variable      | 6.28%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31385WXE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19028 | PA      | $19481.48     | 0.01%             | 2033-01-01      | Variable      | 6.35%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406WNY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    305914 | PA      | $312487.11    | 0.08%             | 2035-03-01      | Variable      | 6.59%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31404GPG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    268081 | PA      | $271222.84    | 0.07%             | 2034-05-01      | Variable      | 5.80%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31379LCG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6407 | PA      | $6433.15      | 0.00%             | 2027-12-01      | Variable      | 6.15%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405U6G9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     61361 | PA      | $62011.62     | 0.02%             | 2034-12-01      | Variable      | 6.01%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410GDM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1776 | PA      | $1807.88      | 0.00%             | 2034-03-01      | Variable      | 6.55%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 3128JR3X2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    477163 | PA      | $486564.46    | 0.13%             | 2035-11-01      | Variable      | 6.63%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 31300MZK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    766436 | PA      | $797243.42    | 0.21%             | 2041-10-01      | Variable      | 6.74%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31404ULF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    127280 | PA      | $129045.46    | 0.03%             | 2034-05-01      | Variable      | 6.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402DHN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26307 | PA      | $26639.76     | 0.01%             | 2034-08-01      | Variable      | 5.96%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31409WCB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1934 | PA      | $1957.63      | 0.00%             | 2036-02-01      | Variable      | 5.99%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405DLY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       557 | PA      | $562.98       | 0.00%             | 2034-07-01      | Variable      | 6.14%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC, Series 4895, Class GF                                                     | CUSIP: 3137FMQG0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4541083 | PA      | $4480901.13   | 1.18%             | 2043-11-15      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402RN39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2499 | PA      | $2531.47      | 0.00%             | 2035-08-01      | Variable      | 6.54%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402RH77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30963 | PA      | $31170.80     | 0.01%             | 2044-10-01      | Variable      | 5.31%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410GDF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12617 | PA      | $12757.43     | 0.00%             | 2033-06-01      | Variable      | 6.05%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31413EE43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    170995 | PA      | $175157.97    | 0.05%             | 2037-09-01      | Variable      | 6.41%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402RHZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       833 | PA      | $850.48       | 0.00%             | 2034-02-01      | Variable      | 6.24%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402DQR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       782 | PA      | $803.31       | 0.00%             | 2034-10-01      | Variable      | 6.26%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402C5X6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32312 | PA      | $32669.81     | 0.01%             | 2034-01-01      | Variable      | 5.39%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31416CGZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    851038 | PA      | $881176.38    | 0.23%             | 2037-01-01      | Variable      | 6.57%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31409WCD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     49468 | PA      | $50825.64     | 0.01%             | 2036-01-01      | Variable      | 6.20%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31408GXK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     64392 | PA      | $66123.89     | 0.02%             | 2035-11-01      | Variable      | 6.16%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA, Series 2024-105, Class FC                                                  | CUSIP: 3136BUBH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2611640 | PA      | $2620375.32   | 0.69%             | 2055-01-25      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410FVN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3139 | PA      | $3208.33      | 0.00%             | 2036-12-01      | Variable      | 6.32%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402JXU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19871 | PA      | $20272.73     | 0.01%             | 2033-08-01      | Variable      | 6.36%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31385W6E4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       171 | PA      | $173.36       | 0.00%             | 2036-08-01      | Variable      | 6.41%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31414SKF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    105844 | PA      | $108124.34    | 0.03%             | 2038-05-01      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405X5R0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20879 | PA      | $21346.11     | 0.01%             | 2034-11-01      | Variable      | 6.24%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31413NJ30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     89722 | PA      | $91420.54     | 0.02%             | 2037-08-01      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406PCX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       623 | PA      | $639.89       | 0.00%             | 2035-03-01      | Variable      | 6.46%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405RXD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5101 | PA      | $5202.91      | 0.00%             | 2034-10-01      | Variable      | 5.87%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 3138YBWH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     62711 | PA      | $64464.81     | 0.02%             | 2045-04-01      | Variable      | 6.60%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31401G4Z4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15893 | PA      | $16177.14     | 0.00%             | 2033-04-01      | Variable      | 6.27%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA, Series 2019-59, Class BF                                                   | CUSIP: 3136B6LC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4622628 | PA      | $4575283.26   | 1.21%             | 2049-10-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31414UQL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     49338 | PA      | $49749.77     | 0.01%             | 2034-07-01      | Variable      | 6.04%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402DHL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     83668 | PA      | $85428.17     | 0.02%             | 2034-07-01      | Variable      | 6.57%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31409DYY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     51076 | PA      | $52922.44     | 0.01%             | 2036-03-01      | Variable      | 7.20%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31404NLA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12685 | PA      | $12966.14     | 0.00%             | 2034-09-01      | Variable      | 6.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403DX46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     39383 | PA      | $39756.53     | 0.01%             | 2036-07-01      | Variable      | 5.99%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31391XH93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21456 | PA      | $21642.53     | 0.01%             | 2032-10-01      | Variable      | 5.99%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31401CAQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16939 | PA      | $17112.79     | 0.00%             | 2033-05-01      | Variable      | 6.20%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405XWJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    554989 | PA      | $573349.36    | 0.15%             | 2034-10-01      | Variable      | 6.37%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403UYH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4672 | PA      | $4748.26      | 0.00%             | 2033-11-01      | Variable      | 6.10%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406H3D7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31121 | PA      | $31956.87     | 0.01%             | 2035-01-01      | Variable      | 6.09%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405FTT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29518 | PA      | $30374.45     | 0.01%             | 2034-08-01      | Variable      | 6.29%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407HD37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    110997 | PA      | $113546.52    | 0.03%             | 2035-07-01      | Variable      | 6.43%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410FZT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8771 | PA      | $8911.42      | 0.00%             | 2036-11-01      | Variable      | 6.46%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403JP42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     39219 | PA      | $40257.59     | 0.01%             | 2033-10-01      | Variable      | 6.18%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31408GJF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2762 | PA      | $2829.80      | 0.00%             | 2035-12-01      | Variable      | 6.33%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 3138EHZ70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35992 | PA      | $36337.27     | 0.01%             | 2037-08-01      | Variable      | 6.19%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31409DT60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     91864 | PA      | $94478.58     | 0.02%             | 2036-03-01      | Variable      | 6.83%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 3138EQJX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    218512 | PA      | $226646.09    | 0.06%             | 2040-12-01      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31412HRW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24853 | PA      | $24809.14     | 0.01%             | 2037-12-01      | Variable      | 5.37%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31408EGX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29935 | PA      | $30508.36     | 0.01%             | 2036-01-01      | Variable      | 6.47%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403C7L9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3906 | PA      | $3948.14      | 0.00%             | 2035-10-01      | Variable      | 6.11%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 3140JBML7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7833365 | PA      | $8113186.95   | 2.14%             | 2047-04-01      | Variable      | 6.46%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31386G7J6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5244 | PA      | $5239.32      | 0.00%             | 2040-11-01      | Variable      | 5.28%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407VNZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    250693 | PA      | $257722.68    | 0.07%             | 2035-09-01      | Variable      | 6.46%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31400RDY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2456 | PA      | $2484.15      | 0.00%             | 2033-02-01      | Variable      | 6.01%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403DHP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       527 | PA      | $545.50       | 0.00%             | 2036-04-01      | Variable      | 6.73%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402VNU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5856 | PA      | $5982.32      | 0.00%             | 2033-09-01      | Variable      | 6.26%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31388XVV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    223244 | PA      | $221339.63    | 0.06%             | 2033-08-01      | Variable      | 4.22%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 31300LLX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    176307 | PA      | $181030.39    | 0.05%             | 2037-08-01      | Variable      | 6.60%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31404NBN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2439 | PA      | $2493.94      | 0.00%             | 2035-02-01      | Variable      | 6.24%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403YV59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3169 | PA      | $3239.28      | 0.00%             | 2034-04-01      | Variable      | 6.72%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406TTE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10456 | PA      | $10634.51     | 0.00%             | 2035-03-01      | Variable      | 6.51%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31390PQW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6208 | PA      | $6358.35      | 0.00%             | 2032-12-01      | Variable      | 6.33%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II                                                                          | CUSIP: 36225DN75<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13933 | PA      | $13928.08     | 0.00%             | 2035-04-20      | Variable      | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31391UJV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7705 | PA      | $7827.76      | 0.00%             | 2033-01-01      | Variable      | 6.56%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31409JKP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    109135 | PA      | $112555.33    | 0.03%             | 2036-06-01      | Variable      | 6.69%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406AZ62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11768 | PA      | $11947.80     | 0.00%             | 2035-01-01      | Variable      | 6.19%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 3128QSAC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    886872 | PA      | $911979.86    | 0.24%             | 2036-01-01      | Variable      | 6.46%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31411JLF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5211 | PA      | $5315.68      | 0.00%             | 2037-02-01      | Variable      | 6.55%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31391RYS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14184 | PA      | $14232.72     | 0.00%             | 2031-02-01      | Variable      | 6.27%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407GB80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    187036 | PA      | $189857.38    | 0.05%             | 2035-07-01      | Variable      | 6.18%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II                                                                          | CUSIP: 36225DAS3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9573 | PA      | $9751.21      | 0.00%             | 2034-05-20      | Variable      | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31385XP84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1229 | PA      | $1239.76      | 0.00%             | 2033-09-01      | Variable      | 5.89%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410QAR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31020 | PA      | $31762.62     | 0.01%             | 2036-09-01      | Variable      | 6.32%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31415CML8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     89361 | PA      | $92148.05     | 0.02%             | 2048-05-01      | Variable      | 6.59%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31419AFS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     87827 | PA      | $89531.26     | 0.02%             | 2036-11-01      | Variable      | 6.47%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407E6Z1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       449 | PA      | $461.79       | 0.00%             | 2035-09-01      | Variable      | 6.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402DKQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4065 | PA      | $4149.02      | 0.00%             | 2034-08-01      | Variable      | 6.28%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410KCR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1987 | PA      | $2029.78      | 0.00%             | 2038-04-01      | Variable      | 6.58%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 3128S44P9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    416220 | PA      | $424391.62    | 0.11%             | 2035-12-01      | Variable      | 6.52%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31411JZ58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36711 | PA      | $37846.77     | 0.01%             | 2037-02-01      | Variable      | 6.68%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402NYZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13034 | PA      | $13222.50     | 0.00%             | 2033-06-01      | Variable      | 6.05%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406AV82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    104436 | PA      | $105401.24    | 0.03%             | 2034-12-01      | Variable      | 6.16%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403DR76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5538 | PA      | $5637.21      | 0.00%             | 2034-08-01      | Variable      | 6.22%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31413JB45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6390 | PA      | $6496.30      | 0.00%             | 2037-09-01      | Variable      | 6.17%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31404DTQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       952 | PA      | $971.44       | 0.00%             | 2034-01-01      | Variable      | 6.68%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402QWH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10288 | PA      | $10479.08     | 0.00%             | 2034-07-01      | Variable      | 6.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410GDT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       968 | PA      | $983.98       | 0.00%             | 2035-03-01      | Variable      | 6.53%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 3138EJN20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    110629 | PA      | $113172.66    | 0.03%             | 2034-11-01      | Variable      | 5.97%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406TTD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    148250 | PA      | $151238.60    | 0.04%             | 2035-03-01      | Variable      | 6.60%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405DJE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     96197 | PA      | $98479.91     | 0.03%             | 2034-06-01      | Variable      | 6.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA, Series 2019-38, Class AF                                                   | CUSIP: 3136B5DN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3132807 | PA      | $3106502.68   | 0.82%             | 2049-07-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402QZ46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     94524 | PA      | $97452.14     | 0.03%             | 2035-01-01      | Variable      | 6.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31391UD69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    133030 | PA      | $134634.03    | 0.04%             | 2033-01-01      | Variable      | 6.47%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407XZM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30999 | PA      | $31409.57     | 0.01%             | 2035-11-01      | Variable      | 6.04%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405N7F6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1727 | PA      | $1744.19      | 0.00%             | 2034-10-01      | Variable      | 6.07%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402RN54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    198317 | PA      | $202054.04    | 0.05%             | 2035-06-01      | Variable      | 6.32%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403GCV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2406 | PA      | $2453.66      | 0.00%             | 2033-09-01      | Variable      | 6.33%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407JWL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10673 | PA      | $10815.00     | 0.00%             | 2035-08-01      | Variable      | 6.08%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406GY52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34617 | PA      | $35303.09     | 0.01%             | 2035-03-01      | Variable      | 6.56%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 31300LFK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    130080 | PA      | $132493.36    | 0.03%             | 2038-03-01      | Variable      | 6.61%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31409WCJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    325778 | PA      | $336960.18    | 0.09%             | 2036-02-01      | Variable      | 6.37%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 3138EHDZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    327010 | PA      | $334645.97    | 0.09%             | 2035-04-01      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31386C3W0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     45642 | PA      | $45749.71     | 0.01%             | 2040-09-01      | Variable      | 5.51%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405PRS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21372 | PA      | $21498.32     | 0.01%             | 2044-07-01      | Variable      | 5.31%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403AU86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4495 | PA      | $4559.80      | 0.00%             | 2033-10-01      | Variable      | 6.32%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402ENR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18367 | PA      | $18918.45     | 0.00%             | 2033-08-01      | Variable      | 6.26%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31385XSL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3676 | PA      | $3753.99      | 0.00%             | 2036-07-01      | Variable      | 6.28%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402RN88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5839 | PA      | $5890.78      | 0.00%             | 2034-03-01      | Variable      | 6.16%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403N6X0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    100381 | PA      | $102429.64    | 0.03%             | 2033-12-01      | Variable      | 6.18%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406C6X1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25439 | PA      | $25184.56     | 0.01%             | 2033-08-01      | Variable      | 4.22%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402HBG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     76656 | PA      | $79077.24     | 0.02%             | 2033-12-01      | Variable      | 6.69%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31401CP31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3690 | PA      | $3741.01      | 0.00%             | 2033-05-01      | Variable      | 6.36%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 3128S5FR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    286569 | PA      | $293054.31    | 0.08%             | 2037-12-01      | Variable      | 6.81%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406NME1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33290 | PA      | $34015.15     | 0.01%             | 2035-04-01      | Variable      | 6.59%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31411UN64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4785 | PA      | $4844.91      | 0.00%             | 2037-04-01      | Variable      | 6.34%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403GWE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9941 | PA      | $10118.28     | 0.00%             | 2033-09-01      | Variable      | 6.18%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31391JKL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6362 | PA      | $6518.98      | 0.00%             | 2032-12-01      | Variable      | 6.29%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406M3E4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14988 | PA      | $15189.07     | 0.00%             | 2035-04-01      | Variable      | 6.43%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31401PEJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13085 | PA      | $13214.01     | 0.00%             | 2033-04-01      | Variable      | 6.05%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403GCU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6279 | PA      | $6437.85      | 0.00%             | 2033-08-01      | Variable      | 6.33%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406HG50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4209 | PA      | $4363.38      | 0.00%             | 2034-04-01      | Variable      | 6.48%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405WHS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20701 | PA      | $21268.11     | 0.01%             | 2034-09-01      | Variable      | 6.15%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402DB25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4821 | PA      | $4964.20      | 0.00%             | 2034-06-01      | Variable      | 6.44%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 3140J5FX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    204147 | PA      | $210613.45    | 0.06%             | 2037-01-01      | Variable      | 6.43%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31391BC39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4868 | PA      | $4970.92      | 0.00%             | 2032-09-01      | Variable      | 6.24%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA, 15 Year                                                                    | CUSIP: 31418D2R2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         0 | PA      | $0.02         | 0.00%             | 2036-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31413MFB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    201869 | PA      | $205384.40    | 0.05%             | 2037-06-01      | Variable      | 5.89%                 | No            |                  2 | On Loan: No      |
| Franklin Institutional U.S. Government Money Market Fund | Franklin Institutional U.S. Government Money Market Fund                         | CUSIP: 457756500<br>LEI: 549300M4TP89K77LG374 | Long             | STIV             | RF                | US        |  17650445 | NS      | $17650444.89  | 4.66%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31404NEM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9637 | PA      | $9847.27      | 0.00%             | 2035-06-01      | Variable      | 6.35%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31401PFA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     51891 | PA      | $52000.21     | 0.01%             | 2033-04-01      | Variable      | 5.85%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402QST9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17747 | PA      | $18180.58     | 0.00%             | 2033-08-01      | Variable      | 6.34%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403VWF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29527 | PA      | $30086.82     | 0.01%             | 2034-01-01      | Variable      | 6.65%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31413GLM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3387 | PA      | $3498.81      | 0.00%             | 2037-08-01      | Variable      | 7.08%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 3138EQ5S7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    479954 | PA      | $495360.21    | 0.13%             | 2042-07-01      | Variable      | 6.48%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410GD83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       143 | PA      | $147.15       | 0.00%             | 2034-04-01      | Variable      | 6.42%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31391SSV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       169 | PA      | $172.42       | 0.00%             | 2032-12-01      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410UK68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2185 | PA      | $2210.63      | 0.00%             | 2036-08-01      | Variable      | 6.36%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31419AFH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    324591 | PA      | $325292.76    | 0.09%             | 2037-10-01      | Variable      | 5.78%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31385WTF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25292 | PA      | $25435.80     | 0.01%             | 2036-11-01      | Variable      | 6.32%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402VZX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11393 | PA      | $11542.76     | 0.00%             | 2033-08-01      | Variable      | 6.19%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31400ANT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1373 | PA      | $1396.07      | 0.00%             | 2033-02-01      | Variable      | 6.21%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31390WRA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9333 | PA      | $9364.77      | 0.00%             | 2033-09-01      | Variable      | 5.99%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407XR78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    561762 | PA      | $576651.90    | 0.15%             | 2035-11-01      | Variable      | 6.01%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 3138ENA82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    210358 | PA      | $213313.61    | 0.06%             | 2042-01-01      | Variable      | 6.48%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405YU25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25042 | PA      | $25269.01     | 0.01%             | 2034-10-01      | Variable      | 6.08%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31400QTZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5237 | PA      | $5312.49      | 0.00%             | 2033-03-01      | Variable      | 6.34%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31391XEH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     83992 | PA      | $85791.82     | 0.02%             | 2032-08-01      | Variable      | 7.23%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403VYY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    105794 | PA      | $108117.73    | 0.03%             | 2034-02-01      | Variable      | 6.54%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31389AZ55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1453 | PA      | $1450.45      | 0.00%             | 2038-01-01      | Variable      | 5.26%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407MEP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6072 | PA      | $6212.86      | 0.00%             | 2035-08-01      | Variable      | 6.72%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31404B2P6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3896 | PA      | $3926.12      | 0.00%             | 2034-01-01      | Variable      | 6.11%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31418NAF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8562 | PA      | $8792.04      | 0.00%             | 2040-04-01      | Variable      | 6.69%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31389AZX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5064 | PA      | $5037.01      | 0.00%             | 2038-06-01      | Variable      | 5.07%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31404UDP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     77377 | PA      | $79767.12     | 0.02%             | 2034-04-01      | Variable      | 6.26%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31400H5W9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     58460 | PA      | $59750.09     | 0.02%             | 2033-03-01      | Variable      | 6.31%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410GK44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5188 | PA      | $5313.96      | 0.00%             | 2035-10-01      | Variable      | 6.39%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 3138EK6B6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    529805 | PA      | $544968.35    | 0.14%             | 2038-09-01      | Variable      | 6.41%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31404RUN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9442 | PA      | $9593.48      | 0.00%             | 2034-03-01      | Variable      | 6.21%                 | No            |                  2 | On Loan: No      |
| United States of America                                 | U.S. Treasury Notes                                                              | CUSIP: 91282CMH1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  20000000 | PA      | $20103515.60  | 5.30%             | 2027-01-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 3140JA4Y1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1947336 | PA      | $2017196.63   | 0.53%             | 2042-07-01      | Variable      | 6.53%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410PMX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2490 | PA      | $2571.36      | 0.00%             | 2036-08-01      | Variable      | 6.66%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405RND4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2119 | PA      | $2155.53      | 0.00%             | 2034-08-01      | Variable      | 6.18%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31409UWR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     38640 | PA      | $39795.57     | 0.01%             | 2036-01-01      | Variable      | 6.16%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402BSQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1336 | PA      | $1372.81      | 0.00%             | 2033-07-01      | Variable      | 6.29%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403DFB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    135136 | PA      | $138097.73    | 0.04%             | 2035-05-01      | Variable      | 6.58%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405UY60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     86996 | PA      | $88054.39     | 0.02%             | 2034-12-01      | Variable      | 6.04%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406MEP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3436 | PA      | $3523.19      | 0.00%             | 2035-01-01      | Variable      | 6.09%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31401KSS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     53648 | PA      | $54993.42     | 0.01%             | 2033-05-01      | Variable      | 6.29%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406QGB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6358 | PA      | $6505.38      | 0.00%             | 2035-02-01      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405PP38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1249 | PA      | $1255.56      | 0.00%             | 2034-07-01      | Variable      | 6.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31400ARR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10003 | PA      | $10238.72     | 0.00%             | 2033-04-01      | Variable      | 6.37%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406WEF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13112 | PA      | $13401.75     | 0.00%             | 2035-06-01      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407CCP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3066 | PA      | $3139.66      | 0.00%             | 2035-07-01      | Variable      | 6.23%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 3128S5XQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    489204 | PA      | $508146.81    | 0.13%             | 2037-06-01      | Variable      | 6.46%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31418UHN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     45359 | PA      | $46739.41     | 0.01%             | 2040-05-01      | Variable      | 6.56%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410GQL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     38063 | PA      | $39298.80     | 0.01%             | 2036-10-01      | Variable      | 6.58%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II                                                                          | CUSIP: 36225DLD4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11880 | PA      | $11926.43     | 0.00%             | 2035-01-20      | Variable      | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402DSD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     59211 | PA      | $59558.66     | 0.02%             | 2033-07-01      | Variable      | 6.31%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31361ML80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       166 | PA      | $165.23       | 0.00%             | 2026-09-01      | Variable      | 4.22%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 3140JBVK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3063344 | PA      | $3171743.13   | 0.84%             | 2047-05-01      | Variable      | 6.45%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31385XK48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33382 | PA      | $33980.21     | 0.01%             | 2033-07-01      | Variable      | 6.21%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31386G6N8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3471 | PA      | $3491.71      | 0.00%             | 2040-11-01      | Variable      | 5.51%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 3138EGV68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     54465 | PA      | $55876.86     | 0.01%             | 2036-01-01      | Variable      | 6.34%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31418MVF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    388620 | PA      | $395530.24    | 0.10%             | 2037-08-01      | Variable      | 6.42%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31400QZ48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       658 | PA      | $668.88       | 0.00%             | 2033-04-01      | Variable      | 6.56%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406GR84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    422884 | PA      | $427259.24    | 0.11%             | 2035-02-01      | Variable      | 6.29%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410GDL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     47518 | PA      | $49207.96     | 0.01%             | 2035-02-01      | Variable      | 6.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405AR70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15083 | PA      | $15555.86     | 0.00%             | 2035-06-01      | Variable      | 6.46%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | U.S. Treasury 10 Year Ultra Notes                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       -47 | NC      | $-44863.62    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406XTD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    188458 | PA      | $196221.62    | 0.05%             | 2035-06-01      | Variable      | 7.06%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31385HN32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       626 | PA      | $618.61       | 0.00%             | 2036-05-01      | Variable      | 4.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402MPQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2295 | PA      | $2355.35      | 0.00%             | 2034-04-01      | Variable      | 6.46%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31409JSM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29988 | PA      | $30248.13     | 0.01%             | 2036-05-01      | Variable      | 6.09%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 31300LKW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    375175 | PA      | $386676.67    | 0.10%             | 2036-07-01      | Variable      | 6.48%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31401L4L4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1449 | PA      | $1479.80      | 0.00%             | 2033-05-01      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31387UEK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        22 | PA      | $22.01        | 0.00%             | 2030-12-01      | Variable      | 7.26%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31414UP36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     88670 | PA      | $91012.03     | 0.02%             | 2037-05-01      | Variable      | 6.28%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 3140JBKS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12897055 | PA      | $13465398.68  | 3.55%             | 2044-04-01      | Variable      | 6.51%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 3128JRGX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1305189 | PA      | $1347978.98   | 0.36%             | 2035-07-01      | Variable      | 6.68%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 3140JBHN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1825034 | PA      | $1898427.11   | 0.50%             | 2045-09-01      | Variable      | 6.46%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 3128NHML4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     60851 | PA      | $61617.01     | 0.02%             | 2036-01-01      | Variable      | 6.28%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31419AFT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    688944 | PA      | $708936.59    | 0.19%             | 2037-08-01      | Variable      | 6.49%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410FZG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2891 | PA      | $2935.71      | 0.00%             | 2036-07-01      | Variable      | 6.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31404H4G1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3877 | PA      | $3956.54      | 0.00%             | 2034-02-01      | Variable      | 6.63%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410G6F5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    172162 | PA      | $175694.80    | 0.05%             | 2036-09-01      | Variable      | 6.28%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407GCY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       804 | PA      | $833.00       | 0.00%             | 2035-05-01      | Variable      | 6.97%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31371MAV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5808 | PA      | $5907.15      | 0.00%             | 2035-03-01      | Variable      | 6.63%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA, Series 2025-59, Class FD                                                   | CUSIP: 3136BWY59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1902117 | PA      | $1908774.23   | 0.50%             | 2055-08-25      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407QG59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15071 | PA      | $15449.04     | 0.00%             | 2035-09-01      | Variable      | 6.42%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410FWV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4415 | PA      | $4513.82      | 0.00%             | 2037-02-01      | Variable      | 6.58%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 31288QLK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3238350 | PA      | $3379491.63   | 0.89%             | 2046-11-01      | Variable      | 6.66%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA, 30 Year                                                                    | CUSIP: 31418EQ94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11060245 | PA      | $11226336.91  | 2.96%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31390S3K5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2301 | PA      | $2309.69      | 0.00%             | 2032-05-01      | Variable      | 6.10%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402RMJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     69514 | PA      | $70266.39     | 0.02%             | 2035-07-01      | Variable      | 6.15%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31416BK56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     69012 | PA      | $71575.82     | 0.02%             | 2035-07-01      | Variable      | 6.52%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31390K5E4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     68441 | PA      | $69118.56     | 0.02%             | 2032-11-01      | Variable      | 5.64%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406PCY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1517 | PA      | $1559.41      | 0.00%             | 2035-04-01      | Variable      | 6.46%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403DXK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3883 | PA      | $3958.13      | 0.00%             | 2035-12-01      | Variable      | 6.49%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA, Series 2025-55, Class FG                                                   | CUSIP: 3136BWSC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1948938 | PA      | $1955194.19   | 0.52%             | 2055-07-25      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC, Series 4197, Class KF                                                     | CUSIP: 3137B1TL6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1201013 | PA      | $1157990.36   | 0.31%             | 2037-09-15      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 31288QF62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3856802 | PA      | $3994318.35   | 1.05%             | 2047-06-01      | Variable      | 6.42%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406GNF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36019 | PA      | $36738.43     | 0.01%             | 2035-02-01      | Variable      | 6.71%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406DBZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5164 | PA      | $5317.97      | 0.00%             | 2035-02-01      | Variable      | 6.44%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31409XQY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7812 | PA      | $7905.50      | 0.00%             | 2036-03-01      | Variable      | 6.49%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31375HEE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       376 | PA      | $375.49       | 0.00%             | 2026-02-01      | Variable      | 6.85%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406WHP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3466 | PA      | $3510.15      | 0.00%             | 2035-06-01      | Variable      | 5.60%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402JBV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5227 | PA      | $5207.83      | 0.00%             | 2033-08-01      | Variable      | 4.96%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31389PVL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     88212 | PA      | $88794.66     | 0.02%             | 2032-03-01      | Variable      | 6.04%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402CQF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       421 | PA      | $424.12       | 0.00%             | 2039-09-01      | Variable      | 6.43%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31408EKN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    118905 | PA      | $121662.52    | 0.03%             | 2036-01-01      | Variable      | 6.01%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405JQP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       360 | PA      | $364.95       | 0.00%             | 2034-09-01      | Variable      | 6.17%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31400KQZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5298 | PA      | $5354.80      | 0.00%             | 2033-05-01      | Variable      | 5.92%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31385WUW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3510 | PA      | $3550.05      | 0.00%             | 2032-12-01      | Variable      | 6.01%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410SC96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5554 | PA      | $5652.30      | 0.00%             | 2036-05-01      | Variable      | 6.18%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31391FFF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4657 | PA      | $4660.80      | 0.00%             | 2027-08-01      | Variable      | 5.89%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31404QF61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3388 | PA      | $3460.42      | 0.00%             | 2034-05-01      | Variable      | 6.28%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 31300LB87<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     91312 | PA      | $93563.80     | 0.02%             | 2036-02-01      | Variable      | 6.54%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 31300MAW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    144475 | PA      | $148060.83    | 0.04%             | 2037-03-01      | Variable      | 6.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31389AZ22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1799 | PA      | $1779.59      | 0.00%             | 2027-11-01      | Variable      | 5.26%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403QQG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1234 | PA      | $1266.90      | 0.00%             | 2034-01-01      | Variable      | 6.55%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406WQP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1941 | PA      | $1975.54      | 0.00%             | 2035-03-01      | Variable      | 6.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 3140FCAM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    780326 | PA      | $809672.36    | 0.21%             | 2046-03-01      | Variable      | 6.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31404KRM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17483 | PA      | $17755.68     | 0.00%             | 2034-04-01      | Variable      | 6.51%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406WRX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1135 | PA      | $1172.57      | 0.00%             | 2035-05-01      | Variable      | 6.80%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31402A5X0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32623 | PA      | $33328.56     | 0.01%             | 2033-07-01      | Variable      | 6.29%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407CEQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15662 | PA      | $15925.94     | 0.00%             | 2035-07-01      | Variable      | 6.04%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31391MCM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16457 | PA      | $16668.55     | 0.00%             | 2033-11-01      | Variable      | 5.16%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31404EAC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13332 | PA      | $13579.01     | 0.00%             | 2034-02-01      | Variable      | 6.67%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31400AMS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20075 | PA      | $20418.32     | 0.01%             | 2033-01-01      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA, Series 2021-44, Class FA                                                   | CUSIP: 3136BHC80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3800378 | PA      | $3712759.63   | 0.98%             | 2045-06-25      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403DMV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    219477 | PA      | $221751.19    | 0.06%             | 2036-04-01      | Variable      | 6.09%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405JFC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    154819 | PA      | $156825.72    | 0.04%             | 2034-09-01      | Variable      | 6.05%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31409XZU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2714 | PA      | $2750.77      | 0.00%             | 2036-01-01      | Variable      | 6.33%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406VYX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24566 | PA      | $24769.16     | 0.01%             | 2035-06-01      | Variable      | 5.94%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31400ANG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7860 | PA      | $7993.58      | 0.00%             | 2033-01-01      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31418MMV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    137733 | PA      | $140335.58    | 0.04%             | 2036-12-01      | Variable      | 6.49%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410FWH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    359111 | PA      | $370915.51    | 0.10%             | 2037-02-01      | Variable      | 6.48%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31390RZZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       684 | PA      | $699.73       | 0.00%             | 2032-11-01      | Variable      | 6.15%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31403EDZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       968 | PA      | $1003.59      | 0.00%             | 2033-10-01      | Variable      | 6.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31406H3G0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3478 | PA      | $3537.27      | 0.00%             | 2034-12-01      | Variable      | 6.19%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31391T4G0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2929 | PA      | $2990.19      | 0.00%             | 2032-11-01      | Variable      | 6.10%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                                            | CUSIP: 3128JRFC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    675381 | PA      | $697638.31    | 0.18%             | 2034-12-01      | Variable      | 6.70%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31385WYA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26494 | PA      | $26622.42     | 0.01%             | 2039-09-01      | Variable      | 6.34%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405AEY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     79493 | PA      | $80145.66     | 0.02%             | 2044-04-01      | Variable      | 5.31%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31410QZE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42043 | PA      | $43130.20     | 0.01%             | 2034-11-01      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31405X2Q5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    218267 | PA      | $222304.89    | 0.06%             | 2034-10-01      | Variable      | 6.18%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407KKY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    143045 | PA      | $146394.34    | 0.04%             | 2035-09-01      | Variable      | 6.39%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                                             | CUSIP: 31407WSR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8638 | PA      | $8891.68      | 0.00%             | 2035-09-01      | Variable      | 6.16%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-12-01

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

**Signature:** Monica Krogh

**Name of Signer:** Monica Krogh

**Title:** Assistant Treasurer