# EDGAR Filing Document

**Accession Number:** 0000837274
**File Stem:** 0001752724-25-203477
**Filing Date:** 2025-8
**Character Count:** 276699
**Document Hash:** 26e4fb160afe4c06e1314c80051a30ce
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-25-203477.hdr.sgml**: 20250826

**ACCESSION NUMBER**: 0001752724-25-203477

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250630

**FILED AS OF DATE**: 20250826

**DATE AS OF CHANGE**: 20250826

**PERIOD START**: 20251231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** FRANKLIN TEMPLETON VARIABLE INSURANCE PRODUCTS TRUST
- **CENTRAL INDEX KEY:** 0000837274

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **STATE OF INCORPORATION:** FL
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-05583
- **FILM NUMBER:** 251253173

**BUSINESS ADDRESS:**
- **STREET 1:** ONE FRANKLIN PARKWAY
- **CITY:** SAN MATEO
- **STATE:** CA
- **ZIP:** 94403-1906
- **BUSINESS PHONE:** 650-312-2000

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

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** FRANKLIN VALUEMARK FUNDS
- **DATE OF NAME CHANGE:** 19920703

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** FRANKLIN VALUEMARK ANNUITY FUNDS
- **DATE OF NAME CHANGE:** 19881129

## Series and Classes Contracts Data

### FRANKLIN U.S. GOVERNMENT SECURITIES VIP FUND (Series ID: S000007317)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000020102 | Class 1      |  |
| C000020103 | Class 2      |  |

## 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 Templeton Variable Insurance Products Trust

- **b. Investment Company Act file number:** 811-05583

- **c. CIK number of Registrant:** 0000837274

- **d. LEI of Registrant:** 549300PIBKZH7YTTWU55

- **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 U.S. Government Securities VIP Fund

- **b. EDGAR series identifier (if any):** S000007317

- **c. LEI of Series:** 549300L2E6KSPGTN7F91

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

- **a. Date of fiscal year-end:** 2025-12-31

- **b. Date as of which information is reported:** 2025-06-30

**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:** $506000472.07

**Total Liabilities:** $386968.99

**Net Assets:** $505613503.08

**Cash Not Reported:** $23937.76

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -211.41000000 | **1-Year:** -7541.74000000 | **5-Year:** -13137.02000000 | **10-Year:** -61602.82000000 | **30-Year:** -144279.19000000

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

- **3-Month:** -45.62000000 | **1-Year:** -36.80000000 | **5-Year:** -230.55000000 | **10-Year:** 0.00000000 | **30-Year:** 0.00000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000020103 | 0.38%                | -0.76%               | 1.45%                |
| Class ID C000020102 | 0.37%                | -0.74%               | 1.49%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $2243.96                 | $654602.43                                 |
| Month 2  | $652.89                  | $-5114995.51                               |
| Month 3  | $104.93                  | $6088150.75                                |

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36202DNX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7597 | PA      | $7873.48      | 0.00%             | 2031-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA, 30 Year                                      | CUSIP: 31384WM23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1525 | PA      | $1582.81      | 0.00%             | 2031-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36296QDE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     60776 | PA      | $63276.03     | 0.01%             | 2038-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA, 30 Year                                      | CUSIP: 31418FHH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5191069 | PA      | $5364440.02   | 1.06%             | 2055-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC Gold Pool, 30 Year                           | CUSIP: 31297DT40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     68525 | PA      | $71082.02     | 0.01%             | 2034-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36213HL80<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2074 | PA      | $2098.57      | 0.00%             | 2031-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36198QTT5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     36497 | PA      | $34649.89     | 0.01%             | 2044-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31404RUK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10600 | PA      | $10873.10     | 0.00%             | 2034-03-01      | Variable      | 6.18%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36202DZF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    248301 | PA      | $253549.55    | 0.05%             | 2033-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31378QHM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1640 | PA      | $1647.43      | 0.00%             | 2037-12-01      | Variable      | 6.45%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31404WPZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2175 | PA      | $2204.30      | 0.00%             | 2034-06-01      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC Gold Pool, 30 Year                           | CUSIP: 31293TF77<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       439 | PA      | $453.81       | 0.00%             | 2029-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36202EGR4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    181411 | PA      | $189467.54    | 0.04%             | 2036-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31402Q5Q0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1111 | PA      | $1153.64      | 0.00%             | 2035-02-01      | Variable      | 6.67%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA, 30 Year                                      | CUSIP: 31418D3Y6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  17620615 | PA      | $14695497.07  | 2.91%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36179WLQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5054509 | PA      | $4479470.64   | 0.89%             | 2051-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC Gold Pool, 30 Year                           | CUSIP: 312933T95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    122722 | PA      | $124591.68    | 0.02%             | 2039-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36202DPR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1394 | PA      | $1430.92      | 0.00%             | 2031-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31385Y2D6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       732 | PA      | $737.97       | 0.00%             | 2040-06-01      | Variable      | 5.80%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA, 30 Year                                      | CUSIP: 31406TTT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28224 | PA      | $28292.16     | 0.01%             | 2035-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36202CYS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1185 | PA      | $1218.34      | 0.00%             | 2027-12-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36198RNE2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12839 | PA      | $12242.35     | 0.00%             | 2044-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA, 30 Year                                      | CUSIP: 31415QMT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    119488 | PA      | $123572.92    | 0.02%             | 2038-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31402TH24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11188 | PA      | $11357.43     | 0.00%             | 2033-08-01      | Variable      | 7.43%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA, 30 Year                                      | CUSIP: 31406P3F4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    402850 | PA      | $414651.18    | 0.08%             | 2035-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36200KNB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4379 | PA      | $4525.93      | 0.00%             | 2033-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36210VUU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3334 | PA      | $3369.92      | 0.00%             | 2029-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA, 30 Year                                      | CUSIP: 31407JDD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29660 | PA      | $31437.99     | 0.01%             | 2036-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36179YS62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4733614 | PA      | $4755545.70   | 0.94%             | 2054-03-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31403NKS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5473 | PA      | $5541.51      | 0.00%             | 2033-09-01      | Variable      | 5.89%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31406NYV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22870 | PA      | $23522.63     | 0.00%             | 2035-02-01      | Variable      | 6.54%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31385XHB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       194 | PA      | $195.46       | 0.00%             | 2033-05-01      | Variable      | 6.48%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36201A2R8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       493 | PA      | $498.82       | 0.00%             | 2031-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36202FCM6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    267560 | PA      | $254027.82    | 0.05%             | 2039-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36202C6G3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5222 | PA      | $5361.06      | 0.00%             | 2028-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA, 30 Year                                      | CUSIP: 31418D2N1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3417311 | PA      | $2980353.00   | 0.59%             | 2051-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36212J3A2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     17484 | PA      | $17794.83     | 0.00%             | 2033-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36292LGX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7132 | PA      | $7344.68      | 0.00%             | 2036-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36202E7K9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     32498 | PA      | $33940.01     | 0.01%             | 2039-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31386TRN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1063 | PA      | $1059.42      | 0.00%             | 2041-02-01      | Variable      | 5.60%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36202FM78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    289573 | PA      | $277065.38    | 0.05%             | 2040-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31406X7G1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2878 | PA      | $2936.11      | 0.00%             | 2035-04-01      | Variable      | 6.69%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA, 30 Year                                      | CUSIP: 3140QEBU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         0 | PA      | $0.01         | 0.00%             | 2050-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36202FXC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1456785 | PA      | $1446272.86   | 0.29%             | 2041-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 3620AM2U5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    200589 | PA      | $195868.17    | 0.04%             | 2041-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36200DHY2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8943 | PA      | $9062.51      | 0.00%             | 2033-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA, 30 Year                                      | CUSIP: 31376J4B2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19516 | PA      | $20175.76     | 0.00%             | 2032-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36202ET25<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     42359 | PA      | $43502.95     | 0.01%             | 2038-06-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31385XUT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        31 | PA      | $31.70        | 0.00%             | 2033-11-01      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA, 30 Year                                      | CUSIP: 31405SDH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28144 | PA      | $28542.75     | 0.01%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31385WVC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1147 | PA      | $1151.43      | 0.00%             | 2027-09-01      | Variable      | 6.01%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36208WGW7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1051 | PA      | $1057.52      | 0.00%             | 2028-04-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36210GEC4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     30233 | PA      | $31207.95     | 0.01%             | 2029-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36202EHF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12565 | PA      | $12903.75     | 0.00%             | 2036-03-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36189EKA3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     29686 | PA      | $28307.06     | 0.01%             | 2045-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31407DUE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       642 | PA      | $655.77       | 0.00%             | 2035-05-01      | Variable      | 6.18%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC Gold Pool, 30 Year                           | CUSIP: 3128MJAX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    172146 | PA      | $177614.53    | 0.04%             | 2034-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31414CPN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11878 | PA      | $12208.56     | 0.00%             | 2035-06-01      | Variable      | 6.53%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36182WCW1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    411538 | PA      | $392409.97    | 0.08%             | 2044-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36201FX69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8026 | PA      | $8202.50      | 0.00%             | 2032-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA, 30 Year                                      | CUSIP: 31416BTA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    178775 | PA      | $180707.53    | 0.04%             | 2039-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36202FVF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    331221 | PA      | $316911.40    | 0.06%             | 2041-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36202CSK0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       537 | PA      | $540.03       | 0.00%             | 2026-11-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36290RQP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3463 | PA      | $3533.65      | 0.00%             | 2033-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36179MK74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1736874 | PA      | $1626325.24   | 0.32%             | 2042-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA, 30 Year                                      | CUSIP: 31418D3H3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7970650 | PA      | $6636246.09   | 1.31%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31385XPP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1561 | PA      | $1553.43      | 0.00%             | 2033-09-01      | Variable      | 5.55%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36179QR29<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    717114 | PA      | $701620.18    | 0.14%             | 2044-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36202FTL0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    553921 | PA      | $549923.61    | 0.11%             | 2041-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36184QAK0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     30137 | PA      | $28525.30     | 0.01%             | 2045-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC Gold Pool, 30 Year                           | CUSIP: 3128K7ND6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     40622 | PA      | $41637.47     | 0.01%             | 2035-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36179R7H6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4778761 | PA      | $4294320.22   | 0.85%             | 2046-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31410MHH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       390 | PA      | $396.90       | 0.00%             | 2036-04-01      | Variable      | 6.27%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, 30 Year                                    | CUSIP: 3622AATC8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5716017 | PA      | $5737265.41   | 1.13%             | 2040-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36294SD20<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     22868 | PA      | $23978.24     | 0.00%             | 2036-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36179WTX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9504668 | PA      | $7748393.10   | 1.53%             | 2051-12-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36212KXF5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     84012 | PA      | $86526.30     | 0.02%             | 2037-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31385HWQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1351 | PA      | $1357.41      | 0.00%             | 2040-12-01      | Variable      | 6.91%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36179MX47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4232914 | PA      | $3961776.70   | 0.78%             | 2043-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36296YDR0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     62436 | PA      | $59473.55     | 0.01%             | 2044-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36179NBB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1827267 | PA      | $1709651.04   | 0.34%             | 2043-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA, 30 Year                                      | CUSIP: 31400TX85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22796 | PA      | $23005.65     | 0.00%             | 2033-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36202DPD7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     22420 | PA      | $23368.77     | 0.00%             | 2031-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA, 30 Year                                      | CUSIP: 31400RVG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9016 | PA      | $9041.51      | 0.00%             | 2026-10-01      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA, 15 Year                                      | CUSIP: 3140QE5Z1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1608955 | PA      | $1485201.88   | 0.29%             | 2035-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36208WGZ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2120 | PA      | $2132.67      | 0.00%             | 2028-05-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                         | FHLMC Pool, 30 Year                                | CUSIP: 3133KKY29<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3978002 | PA      | $3195579.57   | 0.63%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31385HJD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       476 | PA      | $472.72       | 0.00%             | 2034-09-01      | Variable      | 5.61%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31402RTY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14345 | PA      | $14670.55     | 0.00%             | 2038-03-01      | Variable      | 6.48%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36179TG41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  12839377 | PA      | $11827116.92  | 2.34%             | 2047-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36194GMJ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     27771 | PA      | $26205.93     | 0.01%             | 2046-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31402RHU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16470 | PA      | $16572.78     | 0.00%             | 2042-08-01      | Variable      | 5.60%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36179M5M8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1482782 | PA      | $1387493.39   | 0.27%             | 2043-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36297FTW2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    158055 | PA      | $155457.74    | 0.03%             | 2039-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31411DUV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1561 | PA      | $1596.93      | 0.00%             | 2036-12-01      | Variable      | 6.67%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31411BAT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        30 | PA      | $30.41        | 0.00%             | 2036-11-01      | Variable      | 6.57%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC Gold Pool, 30 Year                           | CUSIP: 31296WUR6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2159 | PA      | $2192.09      | 0.00%             | 2034-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36200ME74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13336 | PA      | $13426.80     | 0.00%             | 2033-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36183QFD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     15856 | PA      | $15119.60     | 0.00%             | 2045-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31373TVT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       999 | PA      | $989.77       | 0.00%             | 2028-10-01      | Variable      | 4.48%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36183CA97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6070 | PA      | $5726.47      | 0.00%             | 2044-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31361ELT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       311 | PA      | $308.65       | 0.00%             | 2026-06-01      | Variable      | 4.19%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31402DKW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    305898 | PA      | $312513.19    | 0.06%             | 2034-08-01      | Variable      | 6.82%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31385H5Z1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4997 | PA      | $5023.96      | 0.00%             | 2030-12-01      | Variable      | 6.46%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31413FKZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        11 | PA      | $11.27        | 0.00%             | 2037-08-01      | Variable      | 7.59%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36202D6E6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    118288 | PA      | $121827.88    | 0.02%             | 2034-06-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36202EHS1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     59619 | PA      | $61226.31     | 0.01%             | 2036-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36202EHT9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6667 | PA      | $6962.98      | 0.00%             | 2036-04-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36202FWA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    740294 | PA      | $748663.59    | 0.15%             | 2041-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36184FN87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4915 | PA      | $4602.97      | 0.00%             | 2045-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36184YG27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     63388 | PA      | $60068.08     | 0.01%             | 2045-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC Gold Pool, 30 Year                           | CUSIP: 312945RU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    819669 | PA      | $793770.82    | 0.16%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36177PER2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    173145 | PA      | $157089.69    | 0.03%             | 2042-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31402A4W3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1884 | PA      | $1923.02      | 0.00%             | 2033-06-01      | Variable      | 6.12%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36294WXU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    102353 | PA      | $100670.95    | 0.02%             | 2039-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31388JK53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4263 | PA      | $4307.85      | 0.00%             | 2031-09-01      | Variable      | 6.72%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31384V6Q0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       127 | PA      | $127.20       | 0.00%             | 2040-04-01      | Variable      | 7.12%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC Gold Pool, 30 Year                           | CUSIP: 31297ATW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12938 | PA      | $13561.81     | 0.00%             | 2034-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36296RZY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7171 | PA      | $7176.36      | 0.00%             | 2038-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31403JRR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6460 | PA      | $6663.70      | 0.00%             | 2033-10-01      | Variable      | 6.87%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31385XUU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       767 | PA      | $763.93       | 0.00%             | 2033-11-01      | Variable      | 5.47%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 3138ELZT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    419640 | PA      | $432001.07    | 0.09%             | 2038-07-01      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36194GRA4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     61958 | PA      | $58492.73     | 0.01%             | 2046-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36183JZU8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     17125 | PA      | $16279.62     | 0.00%             | 2044-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36201TJV0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    112599 | PA      | $115239.01    | 0.02%             | 2033-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC Gold Pool, 30 Year                           | CUSIP: 312942FQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    143018 | PA      | $138484.22    | 0.03%             | 2040-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA, 30 Year                                      | CUSIP: 3138AJKX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    746844 | PA      | $721424.54    | 0.14%             | 2041-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 3620A9PN5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     24469 | PA      | $25289.24     | 0.01%             | 2039-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA, 30 Year                                      | CUSIP: 3138A3S65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     49867 | PA      | $48206.04     | 0.01%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31414CNT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    576981 | PA      | $590303.15    | 0.12%             | 2035-09-01      | Variable      | 6.83%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31402QUK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2062 | PA      | $2114.12      | 0.00%             | 2034-06-01      | Variable      | 6.76%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 3620APKB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     99159 | PA      | $97069.80     | 0.02%             | 2040-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC Gold Pool, 30 Year                           | CUSIP: 3132J9GM4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    119216 | PA      | $108031.22    | 0.02%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36294VHH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     98643 | PA      | $102874.40    | 0.02%             | 2037-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36179WQB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  13566009 | PA      | $12021575.36  | 2.38%             | 2051-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 3620AAJ82<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10431 | PA      | $10722.00     | 0.00%             | 2039-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36212NA49<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       993 | PA      | $1026.50      | 0.00%             | 2032-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31402RTR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23513 | PA      | $24131.20     | 0.00%             | 2035-09-01      | Variable      | 6.95%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31403DRK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       328 | PA      | $335.61       | 0.00%             | 2036-08-01      | Variable      | 6.16%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36202FHX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    234484 | PA      | $232792.60    | 0.05%             | 2040-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36202FM60<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         0 | PA      | $0.00         | 0.00%             | 2040-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Reliance Industries Ltd.                           | Reliance Industries Ltd.                           | CUSIP: 759470AT4<br>LEI: 5493003UOETFYRONLG31 | Long             | DBT              | CORP              | IN        |   1312500 | PA      | $1302731.87   | 0.26%             | 2026-01-15      | Fixed         | 2.51%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 3620AL3R3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    194955 | PA      | $190847.90    | 0.04%             | 2041-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36291AVD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     18741 | PA      | $18871.28     | 0.00%             | 2033-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31414FXN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       338 | PA      | $340.50       | 0.00%             | 2038-09-01      | Variable      | 6.68%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31413RZM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2398 | PA      | $2464.19      | 0.00%             | 2037-10-01      | Variable      | 7.22%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31401DVU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3420 | PA      | $3511.74      | 0.00%             | 2033-04-01      | Variable      | 6.96%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31384WMQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       266 | PA      | $267.98       | 0.00%             | 2031-05-01      | Variable      | 6.45%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36295FGB4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     17764 | PA      | $18250.77     | 0.00%             | 2037-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31406BJJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2329 | PA      | $2366.44      | 0.00%             | 2034-12-01      | Variable      | 6.42%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36179Y5L4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10496990 | PA      | $10528080.70  | 2.08%             | 2054-08-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA, 30 Year                                      | CUSIP: 31371KEW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        37 | PA      | $38.23        | 0.00%             | 2031-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36202EH44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9473 | PA      | $9679.62      | 0.00%             | 2036-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA, 30 Year                                      | CUSIP: 31418D7F3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5577025 | PA      | $4636642.23   | 0.92%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31407XWX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6652 | PA      | $6770.58      | 0.00%             | 2035-11-01      | Variable      | 6.51%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA, 30 Year                                      | CUSIP: 31371FAX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         8 | PA      | $7.49         | 0.00%             | 2025-08-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 3617AACV4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     33980 | PA      | $32275.63     | 0.01%             | 2045-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 3620AAMB1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     31774 | PA      | $31028.78     | 0.01%             | 2039-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36201FTT4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3809 | PA      | $3917.96      | 0.00%             | 2032-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 3138LADF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4000000 | PA      | $3939481.40   | 0.78%             | 2027-07-01      | Fixed         | 3.28%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC Gold Pool, 30 Year                           | CUSIP: 31296KQD8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4578 | PA      | $4635.01      | 0.00%             | 2033-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31413DTG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9316 | PA      | $9469.22      | 0.00%             | 2037-08-01      | Variable      | 7.27%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31402CUL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       641 | PA      | $647.27       | 0.00%             | 2033-07-01      | Variable      | 6.45%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36201J7L7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5216 | PA      | $5391.93      | 0.00%             | 2032-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA, 30 Year                                      | CUSIP: 31418BSY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7605269 | PA      | $7087991.84   | 1.40%             | 2045-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA, 30 Year                                      | CUSIP: 31402YJL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5347 | PA      | $5452.29      | 0.00%             | 2033-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36201P3P8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10803 | PA      | $11039.24     | 0.00%             | 2032-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36201DRB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7800 | PA      | $7787.33      | 0.00%             | 2033-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, 30 Year                                    | CUSIP: 36241KLV8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     52804 | PA      | $55481.40     | 0.01%             | 2037-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                         | FHLMC Pool, 30 Year                                | CUSIP: 3132A5EL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6526073 | PA      | $6192874.12   | 1.22%             | 2045-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31402DLW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6613 | PA      | $6726.37      | 0.00%             | 2037-02-01      | Variable      | 6.30%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36183QWR2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     23039 | PA      | $21968.94     | 0.00%             | 2045-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36200KMZ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4222 | PA      | $4358.76      | 0.00%             | 2033-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Reliance Industries Ltd.                           | Reliance Industries Ltd.                           | CUSIP: 759470AV9<br>LEI: 5493003UOETFYRONLG31 | Long             | DBT              | CORP              | IN        |    736842 | PA      | $730267.09    | 0.14%             | 2026-01-15      | Fixed         | 1.87%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC Gold Pool, 30 Year                           | CUSIP: 31292GV45<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2906 | PA      | $2974.69      | 0.00%             | 2028-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36202FDC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     66282 | PA      | $67133.01     | 0.01%             | 2039-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA, 30 Year                                      | CUSIP: 31419AX44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    971059 | PA      | $968184.29    | 0.19%             | 2040-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36201QRF2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11046 | PA      | $11140.82     | 0.00%             | 2033-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31391UVX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16231 | PA      | $16473.86     | 0.00%             | 2033-01-01      | Variable      | 6.58%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36202ED55<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     30559 | PA      | $31382.40     | 0.01%             | 2035-06-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA, 30 Year                                      | CUSIP: 31418E3E8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3368613 | PA      | $3371087.18   | 0.67%             | 2054-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, 30 Year                                    | CUSIP: 36241KKY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9888 | PA      | $10390.81     | 0.00%             | 2036-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36204L2M2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       331 | PA      | $330.33       | 0.00%             | 2026-01-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31388KXA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4145 | PA      | $4195.61      | 0.00%             | 2031-11-01      | Variable      | 6.55%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36198RH58<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     66672 | PA      | $63573.42     | 0.01%             | 2044-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 3620A9TV3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     24007 | PA      | $24727.45     | 0.00%             | 2039-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31371LLA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1402 | PA      | $1420.25      | 0.00%             | 2033-12-01      | Variable      | 6.37%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31403GMW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       639 | PA      | $651.23       | 0.00%             | 2033-08-01      | Variable      | 7.35%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36200KNA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     15660 | PA      | $16216.71     | 0.00%             | 2033-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31390UER3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16428 | PA      | $16652.22     | 0.00%             | 2032-07-01      | Variable      | 5.38%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36181CBF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    320323 | PA      | $300148.08    | 0.06%             | 2044-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36179WLP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  26438535 | PA      | $22489839.56  | 4.45%             | 2051-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31385XPZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         2 | PA      | $2.21         | 0.00%             | 2027-08-01      | Variable      | 6.22%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 3620ASDT3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     84813 | PA      | $83105.55     | 0.02%             | 2041-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36184CSE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    146850 | PA      | $139846.12    | 0.03%             | 2045-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36183X2F6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10397 | PA      | $9989.38      | 0.00%             | 2045-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31411EP76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1382 | PA      | $1411.24      | 0.00%             | 2037-01-01      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC Gold Pool, 30 Year                           | CUSIP: 31296NT72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     29255 | PA      | $30068.95     | 0.01%             | 2033-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36183CNK8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     39632 | PA      | $37577.05     | 0.01%             | 2044-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31404MN79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7654 | PA      | $7822.86      | 0.00%             | 2034-03-01      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 3138ELMS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2763271 | PA      | $2840322.70   | 0.56%             | 2037-09-01      | Variable      | 6.97%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36179TLS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3467282 | PA      | $3204622.99   | 0.63%             | 2047-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36213UY53<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     37634 | PA      | $38891.43     | 0.01%             | 2033-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC Gold Pool, 30 Year                           | CUSIP: 31296NUK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3788 | PA      | $3849.03      | 0.00%             | 2033-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31403LQJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2828 | PA      | $2901.55      | 0.00%             | 2033-10-01      | Variable      | 7.22%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA, 30 Year                                      | CUSIP: 31418D3G5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         0 | PA      | $0.01         | 0.00%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA, 30 Year                                      | CUSIP: 31418EVA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9415578 | PA      | $9589973.62   | 1.90%             | 2053-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31410GJK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       385 | PA      | $387.81       | 0.00%             | 2032-01-01      | Variable      | 6.98%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31385XEK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2828 | PA      | $2891.69      | 0.00%             | 2033-05-01      | Variable      | 6.44%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA, 30 Year                                      | CUSIP: 31400RDJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10772 | PA      | $11007.56     | 0.00%             | 2033-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36183QPK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12739 | PA      | $12147.54     | 0.00%             | 2044-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, 30 Year                                    | CUSIP: 36225BUB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     15691 | PA      | $16531.39     | 0.00%             | 2032-03-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31374TZQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       229 | PA      | $229.04       | 0.00%             | 2029-07-01      | Variable      | 6.32%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31405KMW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1096 | PA      | $1122.67      | 0.00%             | 2034-08-01      | Variable      | 7.30%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC Gold Pool, 30 Year                           | CUSIP: 31283HN43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4072 | PA      | $4300.78      | 0.00%             | 2031-09-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36202EJH3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     32256 | PA      | $33125.44     | 0.01%             | 2036-06-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36213EMC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       929 | PA      | $960.02       | 0.00%             | 2031-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 3620ARE56<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     84272 | PA      | $82222.88     | 0.02%             | 2040-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36200NZU8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2290 | PA      | $2386.91      | 0.00%             | 2034-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31410FGX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       736 | PA      | $754.46       | 0.00%             | 2036-08-01      | Variable      | 7.67%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA, 30 Year                                      | CUSIP: 3138MRDW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42714 | PA      | $38898.22     | 0.01%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31404GHQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4321 | PA      | $4352.81      | 0.00%             | 2034-02-01      | Variable      | 4.88%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36200HF74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     21002 | PA      | $20961.05     | 0.00%             | 2033-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31414BEL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26076 | PA      | $26982.99     | 0.01%             | 2038-03-01      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36295R4C9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    872086 | PA      | $874932.93    | 0.17%             | 2039-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31400QSS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6697 | PA      | $6800.69      | 0.00%             | 2033-03-01      | Variable      | 6.49%                 | No            |                  2 | On Loan: No      |
| BNP Paribas Securities Corp.                       | BNP Paribas Securities Corp.                       | CUSIP: N/A<br>LEI: 2J5703FH5U5M97R1I237       | Long             | RA               | CORP              | US        |  15318685 | PA      | $15318685.20  | 3.03%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36202FMA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    587223 | PA      | $561859.15    | 0.11%             | 2040-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31402VRV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10045 | PA      | $10259.59     | 0.00%             | 2033-09-01      | Variable      | 7.11%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36295GVQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    179198 | PA      | $186154.71    | 0.04%             | 2037-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31402FRU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       782 | PA      | $788.34       | 0.00%             | 2028-06-01      | Variable      | 6.56%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36202FGY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    125714 | PA      | $127637.45    | 0.03%             | 2040-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36200CSL0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     14796 | PA      | $14833.49     | 0.00%             | 2033-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                         | FHLMC Pool, 30 Year                                | CUSIP: 3132DWC84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         0 | PA      | $0.00         | 0.00%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36183CAK2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6450 | PA      | $6074.18      | 0.00%             | 2044-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31386GGH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16249 | PA      | $16389.35     | 0.00%             | 2030-11-01      | Variable      | 5.52%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36290URF5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     14288 | PA      | $13972.86     | 0.00%             | 2040-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, 30 Year                                    | CUSIP: 36225BBA5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2067 | PA      | $2119.46      | 0.00%             | 2028-12-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36179MVS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2473835 | PA      | $2315604.04   | 0.46%             | 2042-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36176AFA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4157 | PA      | $4023.80      | 0.00%             | 2041-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36202EUU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     69290 | PA      | $74003.81     | 0.01%             | 2038-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 3620AAJ58<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     20838 | PA      | $21379.89     | 0.00%             | 2039-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36208RDZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       336 | PA      | $339.46       | 0.00%             | 2028-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31402CXP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        20 | PA      | $20.33        | 0.00%             | 2032-06-01      | Variable      | 6.68%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31386XY91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2670 | PA      | $2671.69      | 0.00%             | 2041-02-01      | Variable      | 5.60%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36179WG36<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9332329 | PA      | $7938563.50   | 1.57%             | 2051-06-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36213D3C0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       270 | PA      | $272.98       | 0.00%             | 2032-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36201SU49<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     14591 | PA      | $14825.67     | 0.00%             | 2033-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA, 30 Year                                      | CUSIP: 31402GR88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6500 | PA      | $6571.60      | 0.00%             | 2033-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC Gold Pool, 30 Year                           | CUSIP: 3129397F2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1393294 | PA      | $1413108.28   | 0.28%             | 2040-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36179Q3H2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    416596 | PA      | $373836.86    | 0.07%             | 2045-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31412EJ23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2174 | PA      | $2207.73      | 0.00%             | 2037-02-01      | Variable      | 6.09%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, 30 Year                                    | CUSIP: 36225BND6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6448 | PA      | $6725.29      | 0.00%             | 2031-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36201BL38<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     18331 | PA      | $18934.51     | 0.00%             | 2032-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA, 30 Year                                      | CUSIP: 31418U4W1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    313663 | PA      | $317735.01    | 0.06%             | 2040-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36213CPZ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4340 | PA      | $4374.96      | 0.00%             | 2031-04-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36202FY67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1717434 | PA      | $1643227.05   | 0.32%             | 2041-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36202CLU5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       280 | PA      | $279.54       | 0.00%             | 2025-12-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31402Q4J7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7103 | PA      | $7298.62      | 0.00%             | 2033-11-01      | Variable      | 6.62%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36182WC35<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     62605 | PA      | $58922.20     | 0.01%             | 2044-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31385SBX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9713 | PA      | $9897.22      | 0.00%             | 2030-05-01      | Variable      | 6.70%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31409XZZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6519 | PA      | $6693.41      | 0.00%             | 2036-02-01      | Variable      | 6.97%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36177LW34<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7022 | PA      | $6746.69      | 0.00%             | 2041-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36179MQS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    152958 | PA      | $154872.93    | 0.03%             | 2042-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36184YG35<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     71893 | PA      | $67835.92     | 0.01%             | 2045-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31384VWA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       328 | PA      | $331.01       | 0.00%             | 2039-09-01      | Variable      | 7.05%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36202F4S2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1042754 | PA      | $1035229.70   | 0.20%             | 2042-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 3138EGEG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3525 | PA      | $3642.79      | 0.00%             | 2036-09-01      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36183MUW2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12202 | PA      | $11549.07     | 0.00%             | 2044-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31412SVV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       273 | PA      | $277.48       | 0.00%             | 2038-07-01      | Variable      | 7.37%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, 30 Year                                    | CUSIP: 36241KWF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     18481 | PA      | $19233.12     | 0.00%             | 2033-08-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC Gold Pool, 30 Year                           | CUSIP: 31296WCS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     71775 | PA      | $72727.00     | 0.01%             | 2034-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31384V7K2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1602 | PA      | $1604.11      | 0.00%             | 2040-10-01      | Variable      | 5.80%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31400DAX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15909 | PA      | $16436.98     | 0.00%             | 2033-02-01      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36296Q3C1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    105378 | PA      | $103645.81    | 0.02%             | 2039-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA, 30 Year                                      | CUSIP: 31405UW54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     58658 | PA      | $59611.42     | 0.01%             | 2034-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA, 30 Year                                      | CUSIP: 31418D6C1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4082826 | PA      | $3391600.43   | 0.67%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA, 30 Year                                      | CUSIP: 31416WVK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    254541 | PA      | $257844.82    | 0.05%             | 2040-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36202DS51<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2330 | PA      | $2470.84      | 0.00%             | 2032-05-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36202FP67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    289132 | PA      | $276642.98    | 0.05%             | 2041-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 3138EJ4Z8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    647809 | PA      | $668041.62    | 0.13%             | 2038-07-01      | Variable      | 6.84%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 3620ASEX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     51548 | PA      | $50194.21     | 0.01%             | 2041-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36202EBE8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    104335 | PA      | $109140.21    | 0.02%             | 2034-11-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLB                                               | FHLB                                               | CUSIP: 3130A6C70<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | UST               | US        |  10000000 | PA      | $9964280.30   | 1.97%             | 2025-09-12      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA, 30 Year                                      | CUSIP: 31376KLJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     56864 | PA      | $57669.31     | 0.01%             | 2035-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, 30 Year                                    | CUSIP: 36225BXY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10587 | PA      | $11030.87     | 0.00%             | 2033-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31411HGX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       572 | PA      | $583.28       | 0.00%             | 2037-04-01      | Variable      | 6.58%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31400ANW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4576 | PA      | $4657.80      | 0.00%             | 2033-02-01      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31384V7B2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       104 | PA      | $103.62       | 0.00%             | 2030-03-01      | Variable      | 5.54%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31389L3H0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4178 | PA      | $4238.77      | 0.00%             | 2032-04-01      | Variable      | 6.37%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31402CYR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1619 | PA      | $1656.78      | 0.00%             | 2039-08-01      | Variable      | 6.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31389GPV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5540 | PA      | $5606.03      | 0.00%             | 2032-01-01      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31419AL88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7149 | PA      | $7411.32      | 0.00%             | 2040-09-01      | Variable      | 7.17%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC Gold Pool, 30 Year                           | CUSIP: 31296NXA0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5113 | PA      | $5203.74      | 0.00%             | 2033-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA, 30 Year                                      | CUSIP: 31389X2H5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34102 | PA      | $35227.15     | 0.01%             | 2029-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| United States of America                           | U.S. Treasury Notes                                | CUSIP: 91282CLC3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  24000000 | PA      | $24229687.44  | 4.79%             | 2029-07-31      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31402C7G1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        68 | PA      | $68.91        | 0.00%             | 2034-02-01      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 3617AAVK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     51946 | PA      | $49257.48     | 0.01%             | 2045-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36200MFY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5919 | PA      | $6148.11      | 0.00%             | 2033-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31406RA70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14832 | PA      | $14840.27     | 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        |      3152 | PA      | $3240.26      | 0.00%             | 2034-11-01      | Variable      | 7.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA, 30 Year                                      | CUSIP: 31404JBY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24254 | PA      | $24401.40     | 0.00%             | 2034-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31407JNQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       732 | PA      | $752.56       | 0.00%             | 2035-07-01      | Variable      | 6.36%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31408GX28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10171 | PA      | $10522.15     | 0.00%             | 2035-09-01      | Variable      | 6.59%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31403CZ95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       568 | PA      | $582.86       | 0.00%             | 2035-09-01      | Variable      | 7.26%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36294V7K0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     29868 | PA      | $30717.38     | 0.01%             | 2037-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31402RPM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     69618 | PA      | $71546.14     | 0.01%             | 2035-06-01      | Variable      | 6.35%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36202TP26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     32276 | PA      | $33241.94     | 0.01%             | 2036-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36209SMV0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     16172 | PA      | $16403.56     | 0.00%             | 2029-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31376PEM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       145 | PA      | $145.13       | 0.00%             | 2026-09-01      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36201MWZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     19154 | PA      | $19728.77     | 0.00%             | 2033-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31410F3M5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       191 | PA      | $192.49       | 0.00%             | 2037-04-01      | Variable      | 6.04%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36202CZ48<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     14280 | PA      | $14684.62     | 0.00%             | 2028-03-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 3618N5GQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10359300 | PA      | $10522237.38  | 2.08%             | 2055-02-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36202DMR9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4346 | PA      | $4531.75      | 0.00%             | 2031-04-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, 30 Year                                    | CUSIP: 36225BQ92<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2818 | PA      | $2973.51      | 0.00%             | 2031-12-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36200SR28<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5796 | PA      | $6011.04      | 0.00%             | 2031-09-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank Securities Inc.                      | Deutsche Bank Securities Inc.                      | CUSIP: N/A<br>LEI: 9J6MBOOO7BECTDTUZW19       | Long             | RA               | CORP              | US        |   4765509 | PA      | $4765509.22   | 0.94%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC Pool                                         | FHLMC Pool, 15 Year                                | CUSIP: 3132CWPH1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         0 | PA      | $0.00         | 0.00%             | 2035-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36206G6P0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       168 | PA      | $168.24       | 0.00%             | 2026-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC Gold Pool, 30 Year                           | CUSIP: 31288JZB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     37634 | PA      | $38282.20     | 0.01%             | 2032-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36179WY85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6048369 | PA      | $4930704.03   | 0.98%             | 2052-03-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31400VP89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       870 | PA      | $868.22       | 0.00%             | 2028-03-01      | Variable      | 5.79%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36202FPG5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    226754 | PA      | $225118.04    | 0.04%             | 2041-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36182YTK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     34753 | PA      | $32965.32     | 0.01%             | 2044-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36182Q2Z8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10325 | PA      | $9756.67      | 0.00%             | 2044-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36295CLM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12633 | PA      | $11462.51     | 0.00%             | 2042-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                         | FHLMC Pool, 30 Year                                | CUSIP: 3132DWF65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  11879332 | PA      | $11920184.98  | 2.36%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36201TNM5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3752 | PA      | $3774.24      | 0.00%             | 2033-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31402QX48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6022 | PA      | $6115.64      | 0.00%             | 2035-01-01      | Variable      | 6.47%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA, 30 Year                                      | CUSIP: 31418D3Z3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2892535 | PA      | $2517668.40   | 0.50%             | 2051-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36206KSM4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       265 | PA      | $264.97       | 0.00%             | 2025-12-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36179WLN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4245074 | PA      | $3460724.65   | 0.68%             | 2051-08-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36209GTV9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1320 | PA      | $1348.21      | 0.00%             | 2033-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36179MSX9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3163202 | PA      | $2960879.08   | 0.59%             | 2042-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC Gold Pool, 30 Year                           | CUSIP: 312940M30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    115067 | PA      | $114938.13    | 0.02%             | 2040-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36213JU60<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3538 | PA      | $3587.17      | 0.00%             | 2031-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31391DND1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3848 | PA      | $3911.97      | 0.00%             | 2032-09-01      | Variable      | 7.13%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 3620A3VP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    230617 | PA      | $225957.12    | 0.04%             | 2039-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36295WJB4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     48343 | PA      | $47399.11     | 0.01%             | 2040-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC                                              | CUSIP: 3128S5VW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    755030 | PA      | $773511.29    | 0.15%             | 2037-06-01      | Variable      | 6.77%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36184KQ34<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     21934 | PA      | $20753.80     | 0.00%             | 2045-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36202C2H5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1192 | PA      | $1222.48      | 0.00%             | 2028-04-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36201GSJ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7019 | PA      | $7097.05      | 0.00%             | 2032-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36208PTR9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6280 | PA      | $6346.33      | 0.00%             | 2028-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36183PM61<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     24808 | PA      | $23582.51     | 0.00%             | 2045-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36183CBA3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     19386 | PA      | $18484.89     | 0.00%             | 2044-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36201MBY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     14863 | PA      | $15444.81     | 0.00%             | 2032-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31416BLR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1146 | PA      | $1170.54      | 0.00%             | 2038-09-01      | Variable      | 7.31%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31400AMD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2082 | PA      | $2133.04      | 0.00%             | 2033-01-01      | Variable      | 6.35%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36183KED6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     41149 | PA      | $39049.24     | 0.01%             | 2044-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36183QD44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     27936 | PA      | $26557.10     | 0.01%             | 2044-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31402RHT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11689 | PA      | $11706.17     | 0.00%             | 2042-08-01      | Variable      | 5.60%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36179WJS8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  12992783 | PA      | $11516672.78  | 2.28%             | 2051-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36202FGE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    131553 | PA      | $133164.41    | 0.03%             | 2040-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31363EHV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        46 | PA      | $45.77        | 0.00%             | 2029-06-01      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36179S5L7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7715695 | PA      | $7140798.80   | 1.41%             | 2047-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, 30 Year                                    | CUSIP: 36241KYX0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     89238 | PA      | $92168.79     | 0.02%             | 2036-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31409UWM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14862 | PA      | $15288.54     | 0.00%             | 2035-11-01      | Variable      | 6.19%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 3618N5EW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  11030548 | PA      | $11203695.24  | 2.22%             | 2055-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31385XG35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27471 | PA      | $28361.88     | 0.01%             | 2033-06-01      | Variable      | 6.76%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36179VVX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6001617 | PA      | $4892877.52   | 0.97%             | 2050-10-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36200JUK4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4914 | PA      | $5035.78      | 0.00%             | 2033-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, 30 Year                                    | CUSIP: 36225BHJ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1020 | PA      | $1044.70      | 0.00%             | 2030-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31409XQG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26399 | PA      | $26743.01     | 0.01%             | 2036-03-01      | Variable      | 6.26%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA, 30 Year                                      | CUSIP: 31407F5W6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6415 | PA      | $6465.00      | 0.00%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 3620C3S86<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     16551 | PA      | $16227.64     | 0.00%             | 2040-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36213JJ89<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3927 | PA      | $4026.56      | 0.00%             | 2032-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36185BQT6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3598 | PA      | $3413.06      | 0.00%             | 2045-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36179MVR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     50680 | PA      | $46219.01     | 0.01%             | 2042-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36295WJC2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    217486 | PA      | $213441.91    | 0.04%             | 2040-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31402RH69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6068 | PA      | $6082.33      | 0.00%             | 2044-10-01      | Variable      | 5.60%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31390AHA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2413 | PA      | $2467.82      | 0.00%             | 2032-04-01      | Variable      | 6.40%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36202ECP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    171086 | PA      | $175693.59    | 0.03%             | 2035-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31384VJ60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       444 | PA      | $445.19       | 0.00%             | 2028-07-01      | Variable      | 7.35%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36200K5S2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12990 | PA      | $13464.05     | 0.00%             | 2033-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36296NTU0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     19803 | PA      | $20577.04     | 0.00%             | 2038-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36198RQC3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     27466 | PA      | $26098.52     | 0.01%             | 2044-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36202FXB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    212091 | PA      | $202926.86    | 0.04%             | 2041-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36213UYW4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     14769 | PA      | $14901.21     | 0.00%             | 2033-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC Gold Pool, 30 Year                           | CUSIP: 31292HVC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14204 | PA      | $14697.70     | 0.00%             | 2033-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36213ADK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8946 | PA      | $8940.42      | 0.00%             | 2033-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31403YHN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11206 | PA      | $11507.25     | 0.00%             | 2033-12-01      | Variable      | 6.53%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36180AAE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5645641 | PA      | $5550865.49   | 1.10%             | 2054-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC Gold Pool, 30 Year                           | CUSIP: 31297U6R6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     39457 | PA      | $41139.57     | 0.01%             | 2035-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, 30 Year                                    | CUSIP: 36241KLL0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     48780 | PA      | $50382.99     | 0.01%             | 2036-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31391N2B6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2577 | PA      | $2617.35      | 0.00%             | 2032-12-01      | Variable      | 6.51%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31401BX83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       178 | PA      | $180.01       | 0.00%             | 2033-01-01      | Variable      | 6.95%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36183PL88<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     38247 | PA      | $36431.63     | 0.01%             | 2044-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31411E2N6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2816 | PA      | $2887.00      | 0.00%             | 2037-01-01      | Variable      | 6.64%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36198RKT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    115108 | PA      | $109710.17    | 0.02%             | 2044-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31409WCG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       915 | PA      | $950.43       | 0.00%             | 2036-02-01      | Variable      | 6.65%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31416BWK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4534 | PA      | $4576.05      | 0.00%             | 2038-09-01      | Variable      | 7.16%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31385WZW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       263 | PA      | $265.07       | 0.00%             | 2032-12-01      | Variable      | 6.68%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC Gold Pool, 30 Year                           | CUSIP: 31292HYT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     45399 | PA      | $46037.44     | 0.01%             | 2033-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31406LZ68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4067 | PA      | $4181.17      | 0.00%             | 2034-12-01      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36184HMS0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    157552 | PA      | $149842.34    | 0.03%             | 2045-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36200X4E6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6313 | PA      | $6380.70      | 0.00%             | 2032-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36202E7H6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    433934 | PA      | $439502.37    | 0.09%             | 2039-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36183W5G3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     57313 | PA      | $54651.01     | 0.01%             | 2045-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31391FPC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       138 | PA      | $138.75       | 0.00%             | 2029-08-01      | Variable      | 7.10%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36202EAL3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    175413 | PA      | $182701.37    | 0.04%             | 2034-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA, 30 Year                                      | CUSIP: 31401EWH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5737 | PA      | $5893.26      | 0.00%             | 2033-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31410GMD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6790 | PA      | $6921.41      | 0.00%             | 2037-10-01      | Variable      | 6.45%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36202EYM5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     96599 | PA      | $101193.59    | 0.02%             | 2038-12-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA, 30 Year                                      | CUSIP: 31407JRT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8336 | PA      | $8454.40      | 0.00%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36184QSJ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     14684 | PA      | $13838.43     | 0.00%             | 2045-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36202FEH5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     59521 | PA      | $59091.26     | 0.01%             | 2040-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31406UUX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       808 | PA      | $819.02       | 0.00%             | 2035-03-01      | Variable      | 6.08%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36179NLD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         0 | PA      | $0.01         | 0.00%             | 2043-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36213QZ36<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2523 | PA      | $2607.82      | 0.00%             | 2031-08-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31413GN71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13606 | PA      | $14001.28     | 0.00%             | 2037-08-01      | Variable      | 7.44%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36179RNV7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2087975 | PA      | $1877074.74   | 0.37%             | 2045-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36200EBE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     33701 | PA      | $33945.50     | 0.01%             | 2033-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| HSBC Securities (USA) Inc.                         | HSBC Securities (USA) Inc.                         | CUSIP: N/A<br>LEI: CYYGQCGNHMHPSMRL3R97       | Long             | RA               | CORP              | US        |  13276038 | PA      | $13276038.16  | 2.63%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31409JKQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4538 | PA      | $4622.15      | 0.00%             | 2036-05-01      | Variable      | 6.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31410QE23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       220 | PA      | $223.04       | 0.00%             | 2036-10-01      | Variable      | 7.07%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36185BPE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     47419 | PA      | $44902.77     | 0.01%             | 2045-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC Gold Pool, 30 Year                           | CUSIP: 31283H4Z5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     32357 | PA      | $33305.54     | 0.01%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC Gold Pool, 30 Year                           | CUSIP: 3128MJJP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     82928 | PA      | $85162.37     | 0.02%             | 2038-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31402RQK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8726 | PA      | $8927.30      | 0.00%             | 2036-07-01      | Variable      | 6.86%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36181CBJ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    500523 | PA      | $468997.61    | 0.09%             | 2044-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, 30 Year                                    | CUSIP: 36225BHZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12919 | PA      | $13170.32     | 0.00%             | 2029-07-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA, 30 Year                                      | CUSIP: 31402LHH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7785 | PA      | $8060.47      | 0.00%             | 2033-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31401GYR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2919 | PA      | $2970.88      | 0.00%             | 2033-04-01      | Variable      | 6.35%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36202FB39<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    120981 | PA      | $120108.36    | 0.02%             | 2039-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36202D5R8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     19699 | PA      | $20288.35     | 0.00%             | 2034-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31389TR46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        13 | PA      | $13.14        | 0.00%             | 2032-06-01      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31376HYP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       591 | PA      | $592.82       | 0.00%             | 2026-10-01      | Variable      | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 3620A56A2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     67777 | PA      | $66663.27     | 0.01%             | 2039-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31406V5L6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    189854 | PA      | $191760.44    | 0.04%             | 2035-06-01      | Variable      | 6.11%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31376XXV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       502 | PA      | $502.27       | 0.00%             | 2026-09-01      | Variable      | 7.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31389AZN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2763 | PA      | $2738.44      | 0.00%             | 2036-11-01      | Variable      | 4.19%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36179TJX4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1073111 | PA      | $991930.19    | 0.20%             | 2047-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31403AMC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1480 | PA      | $1509.51      | 0.00%             | 2033-10-01      | Variable      | 6.51%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31404NCR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2497 | PA      | $2542.92      | 0.00%             | 2035-03-01      | Variable      | 6.61%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36200DQA4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10956 | PA      | $10936.24     | 0.00%             | 2033-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA, 30 Year                                      | CUSIP: 31407DUD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2054 | PA      | $2069.27      | 0.00%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36290YER5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     28305 | PA      | $29514.53     | 0.01%             | 2037-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36200VLB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2702 | PA      | $2737.01      | 0.00%             | 2031-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36201EJQ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3658 | PA      | $3784.52      | 0.00%             | 2031-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA, 30 Year                                      | CUSIP: 31390MVH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1459 | PA      | $1507.26      | 0.00%             | 2032-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                         | FHLMC Pool, 30 Year                                | CUSIP: 3132DWFR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  12625508 | PA      | $12440640.36  | 2.46%             | 2052-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36179MNH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5191788 | PA      | $4860798.93   | 0.96%             | 2042-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36202DSQ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9179 | PA      | $9488.01      | 0.00%             | 2032-04-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 3138EGG57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       292 | PA      | $300.87       | 0.00%             | 2041-04-01      | Variable      | 6.80%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                         | FHLMC Pool, 30 Year                                | CUSIP: 3133BBSW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         0 | PA      | $0.00         | 0.00%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 3620AVRB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     64163 | PA      | $62731.49     | 0.01%             | 2040-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36202ECA5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     83150 | PA      | $87004.00     | 0.02%             | 2035-01-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36202FQ66<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    303806 | PA      | $290682.62    | 0.06%             | 2041-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31401DK75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2959 | PA      | $3033.89      | 0.00%             | 2033-05-01      | Variable      | 6.52%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA, 30 Year                                      | CUSIP: 31402VUR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14218 | PA      | $14284.41     | 0.00%             | 2033-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36201MSC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     54665 | PA      | $57168.49     | 0.01%             | 2032-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, 30 Year                                    | CUSIP: 36241KQZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     22887 | PA      | $23865.59     | 0.00%             | 2038-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36202SFH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12508 | PA      | $12620.55     | 0.00%             | 2033-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA, 30 Year                                      | CUSIP: 31376KBG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10073 | PA      | $10120.23     | 0.00%             | 2033-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36183CAT3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6305 | PA      | $5900.61      | 0.00%             | 2044-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 3620ADMM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    221031 | PA      | $217261.82    | 0.04%             | 2039-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31384V7L0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1702 | PA      | $1712.52      | 0.00%             | 2040-10-01      | Variable      | 5.80%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31406AGW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    105775 | PA      | $108563.63    | 0.02%             | 2034-12-01      | Variable      | 6.73%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA, 30 Year                                      | CUSIP: 31407FUH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4505 | PA      | $4569.07      | 0.00%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36202DXU0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       610 | PA      | $628.86       | 0.00%             | 2033-05-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31401B6R1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17256 | PA      | $17641.64     | 0.00%             | 2033-04-01      | Variable      | 6.38%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36202EG45<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    383514 | PA      | $393851.50    | 0.08%             | 2036-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36206HDB1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        48 | PA      | $48.76        | 0.00%             | 2029-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, 30 Year                                    | CUSIP: 36225BLF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11027 | PA      | $11320.86     | 0.00%             | 2030-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 3618N5GR4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5045659 | PA      | $5191831.02   | 1.03%             | 2055-02-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC Gold Pool, 30 Year                           | CUSIP: 31288CT76<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11242 | PA      | $11435.50     | 0.00%             | 2032-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31411RTJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2313 | PA      | $2390.02      | 0.00%             | 2037-03-01      | Variable      | 6.33%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, 30 Year                                    | CUSIP: 36225BVS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13262 | PA      | $13702.16     | 0.00%             | 2032-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31409GSP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       759 | PA      | $774.29       | 0.00%             | 2037-01-01      | Variable      | 6.53%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31410GJV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1791 | PA      | $1802.34      | 0.00%             | 2033-09-01      | Variable      | 6.72%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36201AVJ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3146 | PA      | $3217.71      | 0.00%             | 2032-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36202FZY5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    155281 | PA      | $148571.46    | 0.03%             | 2041-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36179MQP8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1599439 | PA      | $1497303.31   | 0.30%             | 2042-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC Gold Pool, 30 Year                           | CUSIP: 31287SFS1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6206 | PA      | $6313.27      | 0.00%             | 2032-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36202XEG8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     22201 | PA      | $22733.34     | 0.00%             | 2033-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36184CSA4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     68967 | PA      | $65055.02     | 0.01%             | 2045-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36295QMW7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     36242 | PA      | $37723.10     | 0.01%             | 2038-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31404RPH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3455 | PA      | $3525.56      | 0.00%             | 2034-04-01      | Variable      | 6.26%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31408B4W5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4082 | PA      | $4113.32      | 0.00%             | 2036-01-01      | Variable      | 6.09%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36198RH41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     67454 | PA      | $64151.83     | 0.01%             | 2044-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36202EBF5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     65827 | PA      | $68746.27     | 0.01%             | 2034-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31417K2C0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       684 | PA      | $704.37       | 0.00%             | 2039-09-01      | Variable      | 7.41%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC                                              | CUSIP: 31349URQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     41848 | PA      | $42766.44     | 0.01%             | 2037-05-01      | Variable      | 6.43%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36209HMJ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7714 | PA      | $7827.71      | 0.00%             | 2029-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36202FVG8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    867815 | PA      | $861553.03    | 0.17%             | 2041-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 3620ARFJ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    115909 | PA      | $113065.55    | 0.02%             | 2040-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36206VM53<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       126 | PA      | $126.58       | 0.00%             | 2026-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31401PEL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3584 | PA      | $3621.72      | 0.00%             | 2033-04-01      | Variable      | 6.17%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36202EDQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     39985 | PA      | $41061.71     | 0.01%             | 2035-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36200KD53<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7613 | PA      | $7721.92      | 0.00%             | 2034-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC Gold Pool, 30 Year                           | CUSIP: 31292SBG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     19442 | PA      | $18251.89     | 0.00%             | 2043-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC Gold Pool, 30 Year                           | CUSIP: 31298MUU9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9581 | PA      | $9932.74      | 0.00%             | 2031-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA, 30 Year                                      | CUSIP: 31406PZU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     60905 | PA      | $62695.95     | 0.01%             | 2035-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31415VYD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    873679 | PA      | $894502.59    | 0.18%             | 2035-10-01      | Variable      | 6.96%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31410FWR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24017 | PA      | $24824.61     | 0.00%             | 2034-11-01      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| United States of America                           | U.S. Treasury Notes                                | CUSIP: 91282CAE1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   8500000 | PA      | $7251064.49   | 1.43%             | 2030-08-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 3138EH6Z0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    657566 | PA      | $673605.93    | 0.13%             | 2040-01-01      | Variable      | 6.43%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31385Y2E4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10621 | PA      | $10621.33     | 0.00%             | 2040-06-01      | Variable      | 5.80%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA, 30 Year                                      | CUSIP: 31409T6V5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     94144 | PA      | $97036.73     | 0.02%             | 2036-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 3620ASD71<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     38872 | PA      | $38041.39     | 0.01%             | 2041-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC Gold Pool, 30 Year                           | CUSIP: 31283HJU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9967 | PA      | $10525.50     | 0.00%             | 2031-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36210ETV1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1767 | PA      | $1788.25      | 0.00%             | 2029-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36194GLS1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5373 | PA      | $5070.00      | 0.00%             | 2046-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| U.S. International Development Finance Corp. (The) | U.S. International Development Finance Corp. (The) | CUSIP: 690353TK3<br>LEI: 254900QI8QTIK0FY6E92 | Long             | DBT              | UST               | US        |    935000 | PA      | $929475.85    | 0.18%             | 2030-05-15      | Fixed         | 4.01%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31402RH77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14752 | PA      | $14883.49     | 0.00%             | 2044-10-01      | Variable      | 5.60%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31402JVC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4506 | PA      | $4606.32      | 0.00%             | 2033-08-01      | Variable      | 7.27%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31400QYE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22365 | PA      | $22597.87     | 0.00%             | 2032-10-01      | Variable      | 5.88%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36202DL90<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       642 | PA      | $662.27       | 0.00%             | 2031-03-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31400L6P4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       223 | PA      | $226.33       | 0.00%             | 2037-08-01      | Variable      | 7.51%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31403DK24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5213 | PA      | $5321.78      | 0.00%             | 2034-07-01      | Variable      | 6.59%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                         | FHLMC Pool, 30 Year                                | CUSIP: 3132DWE66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  13034737 | PA      | $12498845.98  | 2.47%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC Gold Pool, 30 Year                           | CUSIP: 31298PVR8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8786 | PA      | $9275.20      | 0.00%             | 2031-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31385W6E4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       748 | PA      | $757.51       | 0.00%             | 2036-08-01      | Variable      | 6.47%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC Gold Pool, 30 Year                           | CUSIP: 31293PLU7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       849 | PA      | $877.40       | 0.00%             | 2029-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36202EBV0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     92796 | PA      | $95294.58     | 0.02%             | 2034-12-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31405RXD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31401 | PA      | $32049.70     | 0.01%             | 2034-10-01      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36202FDB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    172035 | PA      | $170794.46    | 0.03%             | 2039-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36201GBJ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     41053 | PA      | $42495.45     | 0.01%             | 2032-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31416CAK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1981 | PA      | $2020.48      | 0.00%             | 2038-12-01      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36179WJR0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3939167 | PA      | $3350847.17   | 0.66%             | 2051-07-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36179QGF2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    716729 | PA      | $725930.80    | 0.14%             | 2044-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC Gold Pool, 30 Year                           | CUSIP: 31298EZN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6855 | PA      | $7088.09      | 0.00%             | 2029-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36213LJB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4059 | PA      | $4103.96      | 0.00%             | 2031-05-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31403HNX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22860 | PA      | $23477.51     | 0.00%             | 2033-10-01      | Variable      | 6.92%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31408GJF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       790 | PA      | $809.73       | 0.00%             | 2035-12-01      | Variable      | 6.55%                 | No            |                  2 | On Loan: No      |
| United States of America                           | U.S. Treasury Notes                                | CUSIP: 9128282R0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  34040000 | PA      | $33024118.75  | 6.53%             | 2027-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 313625FB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        91 | PA      | $90.48        | 0.00%             | 2026-11-01      | Variable      | 4.18%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36202C3X9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        20 | PA      | $20.31        | 0.00%             | 2028-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31391BEP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       731 | PA      | $742.77       | 0.00%             | 2032-09-01      | Variable      | 7.11%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36201BBQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1342 | PA      | $1358.13      | 0.00%             | 2032-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36185B7E0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     74380 | PA      | $70403.43     | 0.01%             | 2045-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 3620AFYB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     49041 | PA      | $47837.75     | 0.01%             | 2039-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31403C7L9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1664 | PA      | $1681.40      | 0.00%             | 2035-10-01      | Variable      | 6.10%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36297FRG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     76955 | PA      | $75689.87     | 0.01%             | 2039-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36213AC85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     31280 | PA      | $31730.55     | 0.01%             | 2032-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC                                              | CUSIP: 3128QTEQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    642528 | PA      | $656544.07    | 0.13%             | 2038-05-01      | Variable      | 6.54%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36202DLU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1174 | PA      | $1207.86      | 0.00%             | 2031-02-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31404VDY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9189 | PA      | $9322.98      | 0.00%             | 2034-06-01      | Variable      | 6.08%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36290V7K4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     48997 | PA      | $50004.13     | 0.01%             | 2033-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31385HSE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       538 | PA      | $547.64       | 0.00%             | 2040-12-01      | Variable      | 6.78%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31388XVV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5480 | PA      | $5431.79      | 0.00%             | 2033-08-01      | Variable      | 4.19%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC Gold Pool, 30 Year                           | CUSIP: 31292HZK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     42164 | PA      | $43742.89     | 0.01%             | 2033-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31413MUF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       711 | PA      | $725.00       | 0.00%             | 2037-08-01      | Variable      | 6.28%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36202DQA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6951 | PA      | $7209.94      | 0.00%             | 2031-10-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31413FKS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8436 | PA      | $8493.95      | 0.00%             | 2037-07-01      | Variable      | 6.29%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC Gold Pool, 30 Year                           | CUSIP: 31288JZA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     37933 | PA      | $38617.09     | 0.01%             | 2032-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36291GTF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     14577 | PA      | $14562.30     | 0.00%             | 2034-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36182R5E0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6538 | PA      | $6234.20      | 0.00%             | 2044-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36202D2F7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     14987 | PA      | $15486.76     | 0.00%             | 2033-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC Gold Pool, 30 Year                           | CUSIP: 31283HR80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     25341 | PA      | $26769.75     | 0.01%             | 2031-07-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36183W5H1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    222190 | PA      | $211684.08    | 0.04%             | 2045-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36201F5K9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2391 | PA      | $2409.75      | 0.00%             | 2032-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36202DZX2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     41443 | PA      | $41779.21     | 0.01%             | 2033-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, 30 Year                                    | CUSIP: 36225BSB5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5333 | PA      | $5424.37      | 0.00%             | 2032-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31404EQE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32751 | PA      | $33319.54     | 0.01%             | 2034-03-01      | Variable      | 6.53%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA, 30 Year                                      | CUSIP: 31419JH84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     59432 | PA      | $56869.90     | 0.01%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36202CKL6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       194 | PA      | $193.38       | 0.00%             | 2025-10-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36207VNV4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       439 | PA      | $440.96       | 0.00%             | 2027-02-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36183HMP7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     14854 | PA      | $14071.78     | 0.00%             | 2044-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31391TX94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5492 | PA      | $5556.01      | 0.00%             | 2032-12-01      | Variable      | 5.83%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36295DLW7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     25126 | PA      | $26176.67     | 0.01%             | 2037-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                         | FHLMC Pool, 30 Year                                | CUSIP: 3132DWNY5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2371407 | PA      | $2411379.32   | 0.48%             | 2055-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36201XBL1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       737 | PA      | $735.12       | 0.00%             | 2033-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36202EEU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    177041 | PA      | $178221.48    | 0.04%             | 2035-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36202DSR3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12006 | PA      | $12635.68     | 0.00%             | 2032-04-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36202CQX4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       235 | PA      | $236.06       | 0.00%             | 2026-08-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, 30 Year                                    | CUSIP: 36225BGD4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2024 | PA      | $2071.85      | 0.00%             | 2028-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31402GVQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4219 | PA      | $4266.40      | 0.00%             | 2033-07-01      | Variable      | 7.35%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36296YDQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4978 | PA      | $4741.54      | 0.00%             | 2044-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36185EHH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       916 | PA      | $867.62       | 0.00%             | 2045-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31402QZ46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1133 | PA      | $1166.32      | 0.00%             | 2035-01-01      | Variable      | 6.40%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                         | FHLMC Pool, 30 Year                                | CUSIP: 3132AD3M8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1973941 | PA      | $1924100.48   | 0.38%             | 2049-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36202D6V8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     79458 | PA      | $82255.02     | 0.02%             | 2034-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31374VCS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       321 | PA      | $320.77       | 0.00%             | 2025-10-01      | Variable      | 7.10%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36213JQJ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     48187 | PA      | $49839.74     | 0.01%             | 2031-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31384VQU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       827 | PA      | $831.01       | 0.00%             | 2030-01-01      | Variable      | 6.40%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36202EH51<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     27584 | PA      | $28809.62     | 0.01%             | 2036-05-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC Gold Pool, 30 Year                           | CUSIP: 3128KSCM2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     44737 | PA      | $45537.03     | 0.01%             | 2037-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31401CTE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1234 | PA      | $1248.07      | 0.00%             | 2033-05-01      | Variable      | 6.38%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36202DM57<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     17586 | PA      | $18318.75     | 0.00%             | 2031-05-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA, 30 Year                                      | CUSIP: 31368HKP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        60 | PA      | $61.91        | 0.00%             | 2029-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                         | FHLMC Pool, 15 Year                                | CUSIP: 3132D6AU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         0 | PA      | $0.01         | 0.00%             | 2036-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA, 30 Year                                      | CUSIP: 31409EW72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     85706 | PA      | $89500.69     | 0.02%             | 2036-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36292GHS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     52095 | PA      | $53653.03     | 0.01%             | 2035-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31403N6X0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6269 | PA      | $6388.15      | 0.00%             | 2033-12-01      | Variable      | 6.18%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA, 30 Year                                      | CUSIP: 31406DEC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    108274 | PA      | $110071.83    | 0.02%             | 2034-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36202DRH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7250 | PA      | $7509.21      | 0.00%             | 2032-01-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31407GCW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       976 | PA      | $1006.74      | 0.00%             | 2035-05-01      | Variable      | 6.71%                 | No            |                  2 | On Loan: No      |
| Reliance Industries Ltd.                           | Reliance Industries Ltd.                           | CUSIP: 759470AU1<br>LEI: 5493003UOETFYRONLG31 | Long             | DBT              | CORP              | IN        |    625000 | PA      | $619657.58    | 0.12%             | 2026-01-15      | Fixed         | 2.06%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC                                              | CUSIP: 31300MEQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1382599 | PA      | $1427271.87   | 0.28%             | 2040-04-01      | Variable      | 6.99%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31402MNK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10204 | PA      | $10463.46     | 0.00%             | 2033-09-01      | Variable      | 7.26%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31387URF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1052 | PA      | $1067.38      | 0.00%             | 2030-12-01      | Variable      | 7.41%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36183X2E9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     18316 | PA      | $17329.35     | 0.00%             | 2045-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, 30 Year                                    | CUSIP: 36241KXC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     55947 | PA      | $58728.20     | 0.01%             | 2038-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36183J3M1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     15869 | PA      | $15039.87     | 0.00%             | 2044-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA, 30 Year                                      | CUSIP: 3138ABEP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    539499 | PA      | $527948.33    | 0.10%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31404CH37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    232119 | PA      | $238020.46    | 0.05%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36185CBJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     24645 | PA      | $23448.88     | 0.00%             | 2045-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36192SU65<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     26530 | PA      | $25034.80     | 0.00%             | 2046-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31413B3Q2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1927 | PA      | $1958.99      | 0.00%             | 2037-07-01      | Variable      | 6.33%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36209MCG7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1693 | PA      | $1711.91      | 0.00%             | 2028-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31391SSV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2231 | PA      | $2277.57      | 0.00%             | 2032-12-01      | Variable      | 6.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31402CRN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9399 | PA      | $9649.45      | 0.00%             | 2034-01-01      | Variable      | 6.78%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31389R4T0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9097 | PA      | $9326.58      | 0.00%             | 2032-03-01      | Variable      | 6.63%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31400QTZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2755 | PA      | $2794.68      | 0.00%             | 2033-03-01      | Variable      | 6.45%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA, 30 Year                                      | CUSIP: 31403JD78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9078 | PA      | $9197.36      | 0.00%             | 2033-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA, 30 Year                                      | CUSIP: 31411JZY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31350 | PA      | $32736.02     | 0.01%             | 2037-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31387A3P8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7486 | PA      | $7531.55      | 0.00%             | 2031-08-01      | Variable      | 5.88%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31389AZX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2737 | PA      | $2726.16      | 0.00%             | 2038-06-01      | Variable      | 5.27%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31404UDP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31179 | PA      | $32149.04     | 0.01%             | 2034-04-01      | Variable      | 6.30%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36202FPF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    612162 | PA      | $585720.07    | 0.12%             | 2041-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31410N6D5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1152 | PA      | $1170.91      | 0.00%             | 2036-07-01      | Variable      | 7.52%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31379MDM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2268 | PA      | $2332.50      | 0.00%             | 2038-04-01      | Variable      | 6.58%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36212J2Y1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     37584 | PA      | $38264.41     | 0.01%             | 2033-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC Gold Pool, 30 Year                           | CUSIP: 31287UWF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4421 | PA      | $4571.53      | 0.00%             | 2032-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36202FX92<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    303869 | PA      | $301676.20    | 0.06%             | 2041-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA, 15 Year                                      | CUSIP: 31418EHA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9319801 | PA      | $8891441.02   | 1.76%             | 2037-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA, 30 Year                                      | CUSIP: 3138A8RD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    357221 | PA      | $345285.97    | 0.07%             | 2041-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36179N2L1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    611997 | PA      | $599782.41    | 0.12%             | 2044-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA, 30 Year                                      | CUSIP: 31371MDT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8869 | PA      | $9158.15      | 0.00%             | 2035-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, 30 Year                                    | CUSIP: 36225BNQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8392 | PA      | $8661.46      | 0.00%             | 2031-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36202D2D2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    100800 | PA      | $101624.38    | 0.02%             | 2033-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31402DSD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3230 | PA      | $3246.98      | 0.00%             | 2033-07-01      | Variable      | 6.31%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36202T7B6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     14284 | PA      | $14513.08     | 0.00%             | 2033-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36182XU74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     28135 | PA      | $26733.00     | 0.01%             | 2044-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36176WVP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     19205 | PA      | $18209.41     | 0.00%             | 2045-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC Gold Pool, 20 Year                           | CUSIP: 3128P7SY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    656777 | PA      | $644956.77    | 0.13%             | 2032-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31401BG66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6334 | PA      | $6493.04      | 0.00%             | 2033-04-01      | Variable      | 6.41%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36202FSE7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    111466 | PA      | $110661.76    | 0.02%             | 2041-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36179WQA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8729213 | PA      | $7425445.41   | 1.47%             | 2051-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36202FQ74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    268502 | PA      | $266564.77    | 0.05%             | 2041-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36295HF54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    330523 | PA      | $323323.81    | 0.06%             | 2040-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31400FDQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2578 | PA      | $2638.47      | 0.00%             | 2033-02-01      | Variable      | 6.46%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31385HN32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2489 | PA      | $2459.03      | 0.00%             | 2036-05-01      | Variable      | 4.60%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA, 30 Year                                      | CUSIP: 3138APCG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    519985 | PA      | $502827.37    | 0.10%             | 2041-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36206GQZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     19668 | PA      | $20134.42     | 0.00%             | 2038-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36290UP42<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     36909 | PA      | $36027.46     | 0.01%             | 2040-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31387UEK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        22 | PA      | $22.33        | 0.00%             | 2030-12-01      | Variable      | 7.26%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 3620ARLM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9498 | PA      | $9000.48      | 0.00%             | 2040-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 3138L9Y97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2165834 | PA      | $2159462.87   | 0.43%             | 2025-07-01      | Fixed         | 2.64%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA, 30 Year                                      | CUSIP: 31418EHJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13256717 | PA      | $12359404.46  | 2.44%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31409DSH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       830 | PA      | $859.09       | 0.00%             | 2036-03-01      | Variable      | 6.71%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC Gold Pool, 30 Year                           | CUSIP: 31296MQV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     28384 | PA      | $28406.80     | 0.01%             | 2033-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 3620ASEH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     90231 | PA      | $88404.36     | 0.02%             | 2041-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36202FUF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    812601 | PA      | $802250.39    | 0.16%             | 2041-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31390S3K5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1097 | PA      | $1099.76      | 0.00%             | 2032-05-01      | Variable      | 6.10%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC                                              | CUSIP: 3128S5LY8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    364582 | PA      | $371880.58    | 0.07%             | 2036-03-01      | Variable      | 6.71%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31402DG61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1786 | PA      | $1828.55      | 0.00%             | 2034-06-01      | Variable      | 6.49%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31385YCE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2542 | PA      | $2545.23      | 0.00%             | 2040-06-01      | Variable      | 5.80%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 3138EJTV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1037923 | PA      | $1068535.92   | 0.21%             | 2036-08-01      | Variable      | 6.55%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC Gold Pool, 30 Year                           | CUSIP: 3132GLJE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    924972 | PA      | $893729.58    | 0.18%             | 2041-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31410F7G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       459 | PA      | $469.10       | 0.00%             | 2034-07-01      | Variable      | 6.48%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA, 30 Year                                      | CUSIP: 31403HPH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26055 | PA      | $26279.12     | 0.01%             | 2033-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31378EN53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5559 | PA      | $5711.37      | 0.00%             | 2037-08-01      | Variable      | 7.09%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31403GWC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       978 | PA      | $991.56       | 0.00%             | 2033-09-01      | Variable      | 6.18%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36179NF78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1574779 | PA      | $1473085.92   | 0.29%             | 2043-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31406RGS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2737 | PA      | $2761.24      | 0.00%             | 2035-09-01      | Variable      | 6.16%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31403BM83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20924 | PA      | $21210.36     | 0.00%             | 2033-11-01      | Variable      | 6.06%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA, 30 Year                                      | CUSIP: 31418WPP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    116734 | PA      | $115086.82    | 0.02%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC Gold Pool, 30 Year                           | CUSIP: 31283H6F7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3681 | PA      | $3792.39      | 0.00%             | 2035-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36198QTS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     18537 | PA      | $17583.64     | 0.00%             | 2044-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC Gold Pool, 30 Year                           | CUSIP: 312942KX2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    387957 | PA      | $387762.79    | 0.08%             | 2040-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36291JGP9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5645 | PA      | $5813.93      | 0.00%             | 2034-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 3620A3ZQ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    460244 | PA      | $449978.18    | 0.09%             | 2040-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36202DNL1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5357 | PA      | $5579.77      | 0.00%             | 2031-06-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36179NDR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         0 | PA      | $0.01         | 0.00%             | 2043-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31402XT63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       184 | PA      | $188.72       | 0.00%             | 2033-12-01      | Variable      | 6.78%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC Gold Pool, 30 Year                           | CUSIP: 3132GFLR6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     47896 | PA      | $47016.89     | 0.01%             | 2041-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36295ERD1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     20512 | PA      | $21077.56     | 0.00%             | 2037-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31406G2T5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3601 | PA      | $3665.39      | 0.00%             | 2035-03-01      | Variable      | 6.33%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36184B2D8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     59786 | PA      | $57008.90     | 0.01%             | 2045-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36179MG53<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    482320 | PA      | $451672.03    | 0.09%             | 2042-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36210MQ38<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1969 | PA      | $1990.67      | 0.00%             | 2029-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36198RLN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6324 | PA      | $5999.03      | 0.00%             | 2044-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                               | CUSIP: 31409XZU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6179 | PA      | $6284.96      | 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        |     25122 | PA      | $25248.81     | 0.00%             | 2035-06-01      | Variable      | 5.94%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA II, Single-family, 30 Year                    | CUSIP: 36202FXD3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     33479 | PA      | $33846.98     | 0.01%             | 2041-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA, 30 Year                                      | CUSIP: 3138EGTC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    187962 | PA      | $190402.90    | 0.04%             | 2041-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA, 30 Year                                      | CUSIP: 31416YRT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     38825 | PA      | $38427.07     | 0.01%             | 2041-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36213FUR2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    167214 | PA      | $169853.19    | 0.03%             | 2033-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA I, Single-family, 30 Year                     | CUSIP: 36292LEW0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     30873 | PA      | $31428.78     | 0.01%             | 2036-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA, 30 Year                                      | CUSIP: 31418EBS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7348522 | PA      | $6116911.87   | 1.21%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-07-30

**Name of Applicant:** Franklin Templeton Variable Insurance Products Trust

**Signature:** Monica Krogh

**Name of Signer:** Monica Krogh

**Title:** Assistant Treasurer