# EDGAR Filing Document

**Accession Number:** 0000729528
**File Stem:** 0001193125-26-074830
**Filing Date:** 2026-2
**Character Count:** 203067
**Document Hash:** dbc6565cdc6bad0a28f9d0c69b153986
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001193125-26-074830.hdr.sgml**: 20260226

**ACCESSION NUMBER**: 0001193125-26-074830

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20251231

**FILED AS OF DATE**: 20260226

**DATE AS OF CHANGE**: 20260226

**PERIOD START**: 20251231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** AMERICAN FUNDS INSURANCE SERIES
- **CENTRAL INDEX KEY:** 0000729528

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

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-03857
- **FILM NUMBER:** 26683863

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

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

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** AMERICAN FUND INSURANCE SERIES
- **DATE OF NAME CHANGE:** 20010829

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** AMERICAN VARIABLE INSURANCE SERIES
- **DATE OF NAME CHANGE:** 19920703

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** AMERICAN PATHWAY FUND
- **DATE OF NAME CHANGE:** 19880531

## Series and Classes Contracts Data

### American Funds Mortgage Fund (Series ID: S000031860)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000099203 | Class 1      |  |
| C000099204 | Class 2      |  |
| C000121518 | Class 4      |  |
| C000176250 | Class 1A     |  |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

- **b. Investment Company Act file number:** 811-03857

- **c. CIK number of Registrant:** 0000729528

- **d. LEI of Registrant:** 5493006ZFTN01BKM5294

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

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

  - **City:** Los Angeles

  - **State:** CA

  - **Foreign country:** US

  - **Zip / Postal Code:** 90071

  - **Telephone number:** 9499755000

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

- **a. Name of Series:** American Funds Mortgage Fund

- **b. EDGAR series identifier (if any):** S000031860

- **c. LEI of Series:** 33730ZIO15J7RYERPX98

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

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

- **b. Date as of which information is reported:** 2025-12-31

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $141618957.14

**Total Liabilities:** $16039107.27

**Net Assets:** $125579849.87

**Cash Not Reported:** $241380.16

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -19.633165100000 | **1-Year:** -192.250502500000 | **5-Year:** -179.183027700000 | **10-Year:** -17.106508500000 | **30-Year:** -2.783973900000

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

- **3-Month:** -159.784934400000 | **1-Year:** -148.626463800000 | **5-Year:** -298.472892100000 | **10-Year:** -113.808522500000 | **30-Year:** -16.819041400000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000099203 | 0.62%                | 0.62%                | 0.20%                |
| Class ID C000099204 | 0.63%                | 0.62%                | 0.09%                |
| Class ID C000121518 | 0.64%                | 0.63%                | 0.04%                |
| Class ID C000176250 | 0.63%                | 0.63%                | 0.11%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $44118.70                | $237216.05                                 |
| Month 2  | $15869.57                | $177843.12                                 |
| Month 3  | $11747.75                | $-157176.81                                |

**Designated Index Information**

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

- **Index Identifier:** LUMSTRUU

### Schedule of Portfolio Investments

| Name                                                        | Title                                         | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.5 MA5215 12-01-53                 | CUSIP: 31418EYM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     72562 | PA      | $73779.50     | 0.06%             | 2053-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 DB1235 04-01-54                 | CUSIP: 3140AALR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    122081 | PA      | $126919.38    | 0.10%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 QI2895 04-01-54                 | CUSIP: 3133W9GC9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     99742 | PA      | $103627.37    | 0.08%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.5 CB8387 04-01-54                 | CUSIP: 3140QUJ98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     15077 | PA      | $15794.73     | 0.01%             | 2054-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.5 SD3386 07-01-53                 | CUSIP: 3132DQXP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     46042 | PA      | $46899.32     | 0.04%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 QI0006 02-01-54                 | CUSIP: 3133W6AF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     47569 | PA      | $48940.93     | 0.04%             | 2054-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.5 RJ1448 05-01-54                 | CUSIP: 3142GRTE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     61474 | PA      | $62484.58     | 0.05%             | 2054-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.5 RJ1447 05-01-54                 | CUSIP: 3142GRTD2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     53268 | PA      | $55690.49     | 0.04%             | 2054-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.5 SD5404 05-01-54                 | CUSIP: 3132DTAD2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    376509 | PA      | $394111.94    | 0.31%             | 2054-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.5 RJ1726 06-01-54                 | CUSIP: 3142GR4L1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    188406 | PA      | $197214.25    | 0.16%             | 2054-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNMDI4 3.5 BF0765 09-01-63                    | CUSIP: 3140FXZ70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    684219 | PA      | $622734.53    | 0.50%             | 2063-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 3.0 SD2602 12-01-52                 | CUSIP: 3132DP3K2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     28556 | PA      | $25297.77     | 0.02%             | 2052-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 CB8755 06-01-54                 | CUSIP: 3140QUWR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     19753 | PA      | $20369.43     | 0.02%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 FS8153 06-01-54                 | CUSIP: 3140XQBX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    218989 | PA      | $227402.53    | 0.18%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 SD8447 07-01-54                 | CUSIP: 3132DWL43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     60060 | PA      | $61703.79     | 0.05%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 MA5421 07-01-54                 | CUSIP: 31418FAX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      6365 | PA      | $6539.74      | 0.01%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 BU4700 07-01-54                 | CUSIP: 3140M6GJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    491458 | PA      | $506831.84    | 0.40%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 QI8874 07-01-54                 | CUSIP: 3133WF2F3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    205966 | PA      | $212396.13    | 0.17%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.5 CB8872 07-01-54                 | CUSIP: 3140QU2E5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    382624 | PA      | $400512.77    | 0.32%             | 2054-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.5 CB8725 06-01-54                 | CUSIP: 3140QUVT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    251279 | PA      | $262113.29    | 0.21%             | 2054-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 RJ1975 07-01-54                 | CUSIP: 3142GSFR4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    186882 | PA      | $193263.42    | 0.15%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 CB8858 07-01-54                 | CUSIP: 3140QUZY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    121319 | PA      | $125391.68    | 0.10%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.5 FS8317 07-01-54                 | CUSIP: 3140XQG35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     66386 | PA      | $69725.76     | 0.06%             | 2054-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 SD8454 08-01-54                 | CUSIP: 3132DWMB6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    143478 | PA      | $147400.82    | 0.12%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 MA5445 08-01-54                 | CUSIP: 31418FBP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    189477 | PA      | $194670.49    | 0.16%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 DB6878 06-01-54                 | CUSIP: 3140AGUC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    227768 | PA      | $234167.54    | 0.19%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 DB6901 07-01-54                 | CUSIP: 3140AGU36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    140668 | PA      | $144554.74    | 0.12%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CME CHICAGO MERCANTILE EXCHANGE                             | FED FUND 30DAY FUT FFG6 02-27-26              | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |         2 | NC      | $-86.08       | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CME CHICAGO MERCANTILE EXCHANGE                             | UST 10YR FUT TYH6 03-20-26                    | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |        18 | NC      | $17949.90     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| CME CHICAGO MERCANTILE EXCHANGE                             | UST 30YR FUT ULTRA WNH6 03-20-26              | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |        23 | NC      | $-42580.41    | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| CME CHICAGO MERCANTILE EXCHANGE                             | UST 10YR FUT ULTRA UXYH6 03-20-26             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |        30 | NC      | $-28070.64    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| CME CHICAGO MERCANTILE EXCHANGE                             | UST 20YR FUT USH6 03-20-26                    | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |        15 | NC      | $-23118.13    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| CME CHICAGO MERCANTILE EXCHANGE                             | UST 5YR FUT FVH6 03-31-26                     | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |       140 | NC      | $-39021.61    | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| CME CHICAGO MERCANTILE EXCHANGE                             | UST 2YR FUT TUH6 03-31-26                     | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |       343 | NC      | $-17020.46    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.0 SD8315 04-01-53                 | CUSIP: 3132DWGY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    105980 | PA      | $105774.51    | 0.08%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.0 SD2716 04-01-53                 | CUSIP: 3132DQAR7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     72598 | PA      | $72954.98     | 0.06%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.5 BW1289 10-01-52                 | CUSIP: 3140MSNF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     33875 | PA      | $34504.59     | 0.03%             | 2052-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                                 | FNCL 3.5 UMBS TBA 02-01-56                    | CUSIP: 01F032625<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1615863 | PA      | $1488928.88   | 1.19%             | 2056-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| EXXON MOBIL CORP                                            | EXXON MOBIL CORPORATION CP 3/31/2026          | CUSIP: 30229BCX3<br>LEI: J3WHBG0MTS7O8ZVMDC91 | Long             | DBT              | CORP              | US        |   1050000 | PA      | $1040392.50   | 0.83%             | 2026-03-31      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| NOVARTIS FINANCE CORP                                       | NOVARTIS FINANCE CORP 4(a)(2) CP 1/2/2026     | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | US        |   2000000 | PA      | $1999586.00   | 1.59%             | 2026-01-02      | Fixed         | 0.00%                 | Yes           |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.0 MA4785 10-01-52                 | CUSIP: 31418EJ76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     92094 | PA      | $92428.67     | 0.07%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 3.5 RA6598 01-01-52                 | CUSIP: 3133KNKK8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    117127 | PA      | $109146.97    | 0.09%             | 2052-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.0 SD8258 10-01-52                 | CUSIP: 3132DWE74<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    214979 | PA      | $215415.91    | 0.17%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 3.0 SD8220 06-01-52                 | CUSIP: 3132DWDZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    641213 | PA      | $568594.33    | 0.45%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCT UMBS 5.0 ZS8950 10-01-29                 | CUSIP: 3132A95K9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |       484 | PA      | $486.62       | 0.00%             | 2029-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.5 FS1630 09-01-51                 | CUSIP: 3140XGY45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     21870 | PA      | $18512.92     | 0.01%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 3.0 SD8225 07-01-52                 | CUSIP: 3132DWD67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1207463 | PA      | $1070718.80   | 0.85%             | 2052-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 3.0 QD6327 02-01-52                 | CUSIP: 3133B4A47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    464633 | PA      | $412176.81    | 0.33%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCT UMBS 5.0 ZA1922 02-01-26                 | CUSIP: 31329KD35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |        18 | PA      | $17.61        | 0.00%             | 2026-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.0 BN7466 10-01-50                 | CUSIP: 3140JQJL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     92772 | PA      | $75786.80     | 0.06%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.0 RA6973 03-01-52                 | CUSIP: 3133KNXA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    664711 | PA      | $538662.36    | 0.43%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 FS3759 02-01-53                 | CUSIP: 3140XKE97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     87510 | PA      | $91707.93     | 0.07%             | 2053-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.5 MA4919 02-01-53                 | CUSIP: 31418EPD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     58646 | PA      | $59549.32     | 0.05%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.5 CB6106 04-01-53                 | CUSIP: 3140QRYC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     54467 | PA      | $57444.40     | 0.05%             | 2053-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.5 CB6131 04-01-53                 | CUSIP: 3140QRY56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    195242 | PA      | $205848.27    | 0.16%             | 2053-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.5 SD5706 06-01-54                 | CUSIP: 3132DTKT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    601952 | PA      | $630658.60    | 0.50%             | 2054-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.5 CB7510 11-01-53                 | CUSIP: 3140QTKY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    262085 | PA      | $274446.48    | 0.22%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.5 FS8619 07-01-54                 | CUSIP: 3140XQSH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    616017 | PA      | $647008.06    | 0.52%             | 2054-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.5 FS8607 07-01-54                 | CUSIP: 3140XQR58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    117673 | PA      | $123219.30    | 0.10%             | 2054-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.5 SD5905 07-01-54                 | CUSIP: 3132DTR28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     62372 | PA      | $65312.15     | 0.05%             | 2054-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.5 RJ1986 07-01-54                 | CUSIP: 3142GSF45<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    157288 | PA      | $163742.32    | 0.13%             | 2054-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.5 SD8448 07-01-54                 | CUSIP: 3132DWL50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    376326 | PA      | $391184.91    | 0.31%             | 2054-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.5 RJ0854 01-01-54                 | CUSIP: 3142GQ5Q1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      9302 | PA      | $9703.51      | 0.01%             | 2054-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.0 RA3576 09-01-50                 | CUSIP: 3133KJ6M9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    659178 | PA      | $534907.01    | 0.43%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.5 RQ0015 06-01-55                 | CUSIP: 3142J6AR4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1039704 | PA      | $1080738.66   | 0.86%             | 2055-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.5 SD8517 03-01-55                 | CUSIP: 3132DWPA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    382011 | PA      | $397088.08    | 0.32%             | 2055-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.5 FS5192 06-01-53                 | CUSIP: 3140XLXW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    681263 | PA      | $691751.92    | 0.55%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.5 RA8059 10-01-52                 | CUSIP: 3133KP5U8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     92253 | PA      | $94293.43     | 0.08%             | 2052-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.0 FM5940 02-01-51                 | CUSIP: 3140X9S63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1431606 | PA      | $1176064.70   | 0.94%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.0 FS3767 04-01-47                 | CUSIP: 3140XKFH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     24414 | PA      | $20208.21     | 0.02%             | 2047-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.0 SI2062 09-01-50                 | CUSIP: 3133USJF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    162377 | PA      | $133093.62    | 0.11%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.0 MA4978 04-01-53                 | CUSIP: 31418EQ86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    595006 | PA      | $596063.77    | 0.47%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 SD8350 08-01-53                 | CUSIP: 3132DWH30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2221152 | PA      | $2285929.24   | 1.82%             | 2053-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.0 FS3745 08-01-50                 | CUSIP: 3140XKET3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     16356 | PA      | $13375.00     | 0.01%             | 2050-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.5 MA5165 10-01-53                 | CUSIP: 31418EW30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    768282 | PA      | $781531.45    | 0.62%             | 2053-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.0 BX5673 12-01-52                 | CUSIP: 3140NAJT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     95820 | PA      | $95803.70     | 0.08%             | 2052-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 RA9857 09-01-53                 | CUSIP: 3133KR5S9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    867534 | PA      | $893660.50    | 0.71%             | 2053-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.5 BT9828 09-01-51                 | CUSIP: 3140LY4N0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    389153 | PA      | $330215.24    | 0.26%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 CB5912 03-01-53                 | CUSIP: 3140QRSA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     71424 | PA      | $74032.71     | 0.06%             | 2053-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 SD8368 10-01-53                 | CUSIP: 3132DWJM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    365957 | PA      | $376758.14    | 0.30%             | 2053-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.5 MA5167 10-01-53                 | CUSIP: 31418EW55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     10197 | PA      | $10611.10     | 0.01%             | 2053-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 4.5 QF0213 09-01-52                 | CUSIP: 3133BMGW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    173285 | PA      | $170057.90    | 0.14%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.5 SD8455 08-01-54                 | CUSIP: 3132DWMC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    331306 | PA      | $344388.13    | 0.27%             | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 DB7687 08-01-54                 | CUSIP: 3140AHRH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     16233 | PA      | $16795.99     | 0.01%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 DB7039 07-01-54                 | CUSIP: 3140AGZD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     36369 | PA      | $37568.99     | 0.03%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 DB7690 08-01-54                 | CUSIP: 3140AHRL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     17339 | PA      | $17978.93     | 0.01%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 QI3333 04-01-54                 | CUSIP: 3133W9V24<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     15976 | PA      | $16620.45     | 0.01%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 SD5692 05-01-54                 | CUSIP: 3132DTKD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     23817 | PA      | $24790.31     | 0.02%             | 2054-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 FS8219 06-01-54                 | CUSIP: 3140XQDZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     35068 | PA      | $36348.49     | 0.03%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 SD3432 07-01-53                 | CUSIP: 3132DQY59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     32455 | PA      | $33837.47     | 0.03%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 SD5896 07-01-54                 | CUSIP: 3132DTRR3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     27744 | PA      | $28613.56     | 0.02%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 FS8223 06-01-54                 | CUSIP: 3140XQD53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     42371 | PA      | $43672.62     | 0.03%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 RJ2210 08-01-54                 | CUSIP: 3142GSN46<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    225202 | PA      | $231830.65    | 0.18%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.5 RJ2247 08-01-54                 | CUSIP: 3142GSP93<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     87362 | PA      | $91287.53     | 0.07%             | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 RJ2216 08-01-54                 | CUSIP: 3142GSPA0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    125726 | PA      | $129586.85    | 0.10%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.5 RJ2228 08-01-54                 | CUSIP: 3142GSPN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     47013 | PA      | $49043.19     | 0.04%             | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.5 RJ2222 08-01-54                 | CUSIP: 3142GSPG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    216559 | PA      | $226683.73    | 0.18%             | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.5 CB9071 08-01-54                 | CUSIP: 3140QVCH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    141489 | PA      | $147977.05    | 0.12%             | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.5 SD4693 01-01-54                 | CUSIP: 3132DSGA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     43022 | PA      | $44880.29     | 0.04%             | 2054-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.5 SD6034 08-01-54                 | CUSIP: 3132DTV31<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     94534 | PA      | $98953.22     | 0.08%             | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.5 SD6047 08-01-54                 | CUSIP: 3132DTWG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     36698 | PA      | $38491.92     | 0.03%             | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 DB7792 08-01-54                 | CUSIP: 3140AHUS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     57880 | PA      | $59513.77     | 0.05%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| TOYOTA AUTO LOAN EXTENDED NOTE TRUST TALNT_23-1             | TALNT 2023-1A A 144A 4.93% 06-25-36           | CUSIP: 89231WAA1<br>LEI: 5493000KI9FC40RVHF71 | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $102394.00    | 0.08%             | 2036-06-25      | Fixed         | 4.93%                 | Yes           |                  2 | On Loan: No      |
| NEW ECONOMY ASSETS - PHASE I ISSUER LLC USRE_21-1           | USRE 2021-1 A1 144A 1.91% 10-20-61            | CUSIP: 643821AA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $83776.20     | 0.07%             | 2061-10-20      | Fixed         | 1.91%                 | Yes           |                  2 | On Loan: No      |
| WHEELS FLEET LEASE FUNDING LLC WFLF_24-2                    | WFLF 2024-2A A1 144A 4.87% 06-21-39           | CUSIP: 96328GBT3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    382959 | PA      | $386849.65    | 0.31%             | 2039-06-21      | Fixed         | 4.87%                 | Yes           |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.0 AE1274 10-01-41                 | CUSIP: 31419BMY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      3804 | PA      | $3910.20      | 0.00%             | 2041-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                      | FGLMC 3.5 Q52069 11-01-47                     | CUSIP: 3132XUJP1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     21227 | PA      | $19972.91     | 0.02%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.0 AE1277 11-01-41                 | CUSIP: 31419BM36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      2877 | PA      | $2954.93      | 0.00%             | 2041-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                      | FGLMC 4.5 Q58436 09-01-48                     | CUSIP: 3132Y2LS3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     18420 | PA      | $18324.82     | 0.01%             | 2048-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC - SCRT SCRT_17-3                                | SCRT 2017-3 HT 3.25% 07-25-56                 | CUSIP: 35563PBX6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     76891 | PA      | $69210.18     | 0.06%             | 2056-07-25      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC FHLMC_18-1SC                                    | SCRT 2018-1 HT 3.0% 05-25-57                  | CUSIP: 35563PDT3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     20061 | PA      | $17437.31     | 0.01%             | 2057-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS SD7512 02-01-50                     | CUSIP: 3132DVKZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    122478 | PA      | $110785.93    | 0.09%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNMDI6 3.0 BF0497 07-01-60                    | CUSIP: 3140FXRT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     41264 | PA      | $35960.45     | 0.03%             | 2060-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNMDI4 3.5 BF0481 06-01-60                    | CUSIP: 3140FXRB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    118907 | PA      | $109255.93    | 0.09%             | 2060-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNMDI4 3.5 BF0379 04-01-59                    | CUSIP: 3140FXM58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    108070 | PA      | $99312.20     | 0.08%             | 2059-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.0 CB0041 04-01-51                 | CUSIP: 3140QKBK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    165130 | PA      | $149839.64    | 0.12%             | 2051-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.0 MA4208 12-01-50                 | CUSIP: 31418DVA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     10407 | PA      | $8503.97      | 0.01%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCT UMBS 2.0 MA4387 07-01-41                 | CUSIP: 31418D2V3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     14604 | PA      | $12767.33     | 0.01%             | 2041-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.5 FM9492 11-01-51                 | CUSIP: 3140XDRN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    367330 | PA      | $317827.27    | 0.25%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.5 FM9804 12-01-51                 | CUSIP: 3140XD3N4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    189751 | PA      | $164541.78    | 0.13%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.5 FM9694 11-01-51                 | CUSIP: 3140XDXY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    173002 | PA      | $150283.72    | 0.12%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.0 CB2544 01-01-52                 | CUSIP: 3140QMZJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    221769 | PA      | $198955.44    | 0.16%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCT UMBS 2.0 RB5145 02-01-42                 | CUSIP: 3133KYWE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     73333 | PA      | $63563.10     | 0.05%             | 2042-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.0 FM9976 12-01-51                 | CUSIP: 3140XECN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     74890 | PA      | $68054.46     | 0.05%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 3.5 SD0873 02-01-52                 | CUSIP: 3132DM6J9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    615123 | PA      | $577715.35    | 0.46%             | 2052-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                      | FGLMC 5.0 A18781 03-01-34                     | CUSIP: 31296TXJ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    426382 | PA      | $430487.70    | 0.34%             | 2034-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCT UMBS 2.5 MA4521 01-01-42                 | CUSIP: 31418EAX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    202133 | PA      | $181797.32    | 0.14%             | 2042-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.0 RA5288 05-01-51                 | CUSIP: 3133KL2V8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    269405 | PA      | $221006.36    | 0.18%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 3.5 QD7089 02-01-52                 | CUSIP: 3133B42W4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      6388 | PA      | $5952.95      | 0.00%             | 2052-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.5 RJ1725 06-01-54                 | CUSIP: 3142GR4K3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     14202 | PA      | $14965.39     | 0.01%             | 2054-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 DC0296 08-01-54                 | CUSIP: 3140AMKJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      8566 | PA      | $8917.51      | 0.01%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.5 BQ3005 10-01-50                 | CUSIP: 3140KNKT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     60507 | PA      | $51695.11     | 0.04%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.5 SD1385 11-01-51                 | CUSIP: 3132DNRE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     53229 | PA      | $46042.78     | 0.04%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.5 CB1527 09-01-51                 | CUSIP: 3140QLVV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    352887 | PA      | $302003.64    | 0.24%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.5 FM7900 07-01-51                 | CUSIP: 3140XBX62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     21336 | PA      | $18455.83     | 0.01%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.5 MA5446 08-01-54                 | CUSIP: 31418FBQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     41460 | PA      | $43097.36     | 0.03%             | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 BU4707 07-01-54                 | CUSIP: 3140M6GR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     94234 | PA      | $96810.76     | 0.08%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNMDI4 4.5 BF0585 12-01-61                    | CUSIP: 3140FXUK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     40082 | PA      | $39187.05     | 0.03%             | 2061-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.0 FS0965 11-01-51                 | CUSIP: 3140XGCB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      2248 | PA      | $1827.09      | 0.00%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 4.5 MA4840 12-01-52                 | CUSIP: 31418ELW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    410068 | PA      | $402093.88    | 0.32%             | 2052-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.5 CB3031 03-01-52                 | CUSIP: 3140QNLM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    364694 | PA      | $310515.61    | 0.25%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.5 QE4044 06-01-52                 | CUSIP: 3133BDP58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    382792 | PA      | $324341.81    | 0.26%             | 2052-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.5 CA5659 05-01-50                 | CUSIP: 3140QDJD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    401938 | PA      | $340843.14    | 0.27%             | 2050-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.5 QC8778 10-01-51                 | CUSIP: 3133ATXF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    978277 | PA      | $828120.63    | 0.66%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.0 SD8288 01-01-53                 | CUSIP: 3132DWF57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     37575 | PA      | $37647.26     | 0.03%             | 2053-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.0 BV9613 04-01-52                 | CUSIP: 3140MPVF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     39440 | PA      | $34975.30     | 0.03%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 4.5 SD1895 11-01-52                 | CUSIP: 3132DPC89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    303222 | PA      | $302173.50    | 0.24%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.5 SD8280 11-01-52                 | CUSIP: 3132DWFV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    641430 | PA      | $669413.51    | 0.53%             | 2052-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 3.0 QE4001 05-01-52                 | CUSIP: 3133BDNS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     41686 | PA      | $36970.08     | 0.03%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.0 SD8323 05-01-53                 | CUSIP: 3132DWG80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1023833 | PA      | $1025651.99   | 0.82%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.5 MA5010 05-01-53                 | CUSIP: 31418ER85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     45183 | PA      | $46004.32     | 0.04%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH FHMS_K751   | FHMS K751 A2 (MF) 4.412% 03-25-30             | CUSIP: 3137HA4B9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    300000 | PA      | $304407.90    | 0.24%             | 2030-03-25      | Fixed         | 4.41%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCT UMBS 2.5 MA4502 12-01-41                 | CUSIP: 31418EAC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    159914 | PA      | $143825.66    | 0.11%             | 2041-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCT UMBS 1.5 BR0986 05-01-41                 | CUSIP: 3140KYCY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    269674 | PA      | $228264.96    | 0.18%             | 2041-05-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCT UMBS 2.5 FM9117 10-01-41                 | CUSIP: 3140XDDX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     79896 | PA      | $72007.67     | 0.06%             | 2041-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 3.0 QC7626 09-01-51                 | CUSIP: 3133ASPK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    196619 | PA      | $175577.61    | 0.14%             | 2051-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 MA5011 05-01-53                 | CUSIP: 31418ER93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    226969 | PA      | $234313.88    | 0.19%             | 2053-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 MA5040 06-01-53                 | CUSIP: 31418ES68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    305038 | PA      | $314496.84    | 0.25%             | 2053-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.5 FM6113 01-01-51                 | CUSIP: 3140X9YK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1321847 | PA      | $1130414.58   | 0.90%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 RA9279 06-01-53                 | CUSIP: 3133KRJY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     52885 | PA      | $54917.39     | 0.04%             | 2053-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 RA9281 06-01-53                 | CUSIP: 3133KRJ21<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     31127 | PA      | $32263.81     | 0.03%             | 2053-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.5 SD6035 08-01-54                 | CUSIP: 3132DTV49<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     22848 | PA      | $23925.21     | 0.02%             | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.5 SD5701 06-01-54                 | CUSIP: 3132DTKN9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     46570 | PA      | $48912.69     | 0.04%             | 2054-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 SD8516 03-01-55                 | CUSIP: 3132DWN90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     54934 | PA      | $56440.92     | 0.04%             | 2055-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 SD8496 01-01-55                 | CUSIP: 3132DWNM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1076955 | PA      | $1106402.75   | 0.88%             | 2055-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 MA5647 03-01-55                 | CUSIP: 31418FHZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     95460 | PA      | $98079.42     | 0.08%             | 2055-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ACAR 2024-4                                                 | ACAR 2024-4 A 144A 4.81% 03-13-28             | CUSIP: 024945AA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       971 | PA      | $971.77       | 0.00%             | 2028-03-13      | Fixed         | 4.81%                 | Yes           |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANKS                                     | FED HM LN BK BD 2/6/2026                      | CUSIP: 313385ST4<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGA              | US        |   3500000 | PA      | $3487939.70   | 2.78%             | 2026-02-06      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANKS                                     | FED HM LN BK BD 1/9/2026                      | CUSIP: 313385RP3<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGA              | US        |   2500000 | PA      | $2498299.00   | 1.99%             | 2026-01-09      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANKS                                     | FED HM LN BK BD 3/20/2026                     | CUSIP: 313385UM6<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGA              | US        |    500000 | PA      | $496212.65    | 0.40%             | 2026-03-20      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANKS                                     | FED HM LN BK BD 2/11/2026                     | CUSIP: 313385SY3<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGA              | US        |   1400000 | PA      | $1394488.20   | 1.11%             | 2026-02-11      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANKS                                     | FED HM LN BK BD 2/4/2026                      | CUSIP: 313385SR8<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGA              | US        |   2000000 | PA      | $1993500.40   | 1.59%             | 2026-02-04      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANKS                                     | FED HM LN BK BD 3/6/2026                      | CUSIP: 313385TX4<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGA              | US        |   1500000 | PA      | $1490680.35   | 1.19%             | 2026-03-06      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL FARM CREDIT BANKS FUNDING CORP                      | FED FARM CR DISC NT 2/20/2026                 | CUSIP: 313313TH1<br>LEI: 254900C5LP6DN9OP9V83 | Long             | DBT              | USGA              | US        |   2500000 | PA      | $2487949.75   | 1.98%             | 2026-02-20      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                      | UNITED STATES TREASURY NOTE 1.875% 02-15-41   | CUSIP: 912810SW9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    240100 | PA      | $168023.64    | 0.13%             | 2041-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                      | UNITED STATES TREASURY NOTE 3.25% 05-15-42    | CUSIP: 912810TH1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    106000 | PA      | $88575.74     | 0.07%             | 2042-05-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                      | UNITED STATES TREASURY NOTE 4.0% 02-28-30     | CUSIP: 91282CGQ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    330000 | PA      | $334237.10    | 0.27%             | 2030-02-28      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                      | UNITED STATES TREASURY NOTE 4.125% 07-31-28   | CUSIP: 91282CHQ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    450000 | PA      | $456750.72    | 0.36%             | 2028-07-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                      | UNITED STATES TREASURY NOTE 4.5% 05-31-29     | CUSIP: 91282CKT7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1025000 | PA      | $1054567.46   | 0.84%             | 2029-05-31      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                      | UNITED STATES TREASURY NOTE 4.375% 07-31-26   | CUSIP: 91282CLB5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    535000 | PA      | $537580.95    | 0.43%             | 2026-07-31      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                      | UNITED STATES TREASURY NOTE 4.625% 02-15-55   | CUSIP: 912810UG1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    345000 | PA      | $333067.69    | 0.27%             | 2055-02-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                      | UNITED STATES TREASURY NOTE 4.25% 02-15-28    | CUSIP: 91282CMN8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    460000 | PA      | $467076.23    | 0.37%             | 2028-02-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                      | UNITED STATES TREASURY NOTE 4.75% 02-15-45    | CUSIP: 912810UJ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    190000 | PA      | $189290.86    | 0.15%             | 2045-02-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                      | UNITED STATES TREASURY NOTE 4.0% 03-31-30     | CUSIP: 91282CMU2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    100000 | PA      | $101288.44    | 0.08%             | 2030-03-31      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                      | UNITED STATES TREASURY NOTE 3.875% 03-15-28   | CUSIP: 91282CMS7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    550000 | PA      | $554467.93    | 0.44%             | 2028-03-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                      | UNITED STATES TREASURY NOTE 4.0% 06-30-32     | CUSIP: 91282CNJ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    300000 | PA      | $301910.16    | 0.24%             | 2032-06-30      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                      | UNITED STATES TREASURY NOTE 3.5% 10-31-27     | CUSIP: 91282CPE5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1130000 | PA      | $1130326.01   | 0.90%             | 2027-10-31      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                      | UNITED STATES TREASURY NOTE 4.625% 11-15-55   | CUSIP: 912810UP1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    410000 | PA      | $395842.21    | 0.32%             | 2055-11-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                      | UNITED STATES TREASURY NOTE 1.875% 11-15-51   | CUSIP: 912810TB4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     65000 | PA      | $36033.48     | 0.03%             | 2051-11-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| BX TRUST BX_22-IND                                          | BX 2022-IND A 144A FRN 04-15-37               | CUSIP: 05609WAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     78657 | PA      | $78790.99     | 0.06%             | 2037-04-15      | Variable      | 5.24%                 | Yes           |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2022-CSMO                      | BX 2022-CSMO A 144A FRN 06-15-27              | CUSIP: 05610MAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    100000 | PA      | $100286.80    | 0.08%             | 2027-06-15      | Variable      | 5.86%                 | Yes           |                  2 | On Loan: No      |
| BX 2025-GW                                                  | BX 2025-GW A 144A FRN 07-15-42                | CUSIP: 12433GAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    200000 | PA      | $200689.40    | 0.16%             | 2042-07-15      | Variable      | 5.35%                 | Yes           |                  2 | On Loan: No      |
| COLT MORTGAGE LOAN TRUST COLT_21-5                          | COLT 2021-5 A1 144A FRN 11-26-66              | CUSIP: 12598RAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     51087 | PA      | $46580.21     | 0.04%             | 2066-11-26      | Variable      | 1.73%                 | Yes           |                  2 | On Loan: No      |
| CIM TRUST CIM_22-R2                                         | CIM 2022-R2 A1 144A FRN 12-25-61              | CUSIP: 12567NAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    127855 | PA      | $122397.29    | 0.10%             | 2061-12-25      | Variable      | 3.75%                 | Yes           |                  2 | On Loan: No      |
| CITIGROUP COMMERCIAL MORTGAGE TRUST CGCMT_23-SMRT           | CGCMT 23-SMRT A 144A FRN 10-12-40             | CUSIP: 17291NAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    379000 | PA      | $390809.64    | 0.31%             | 2040-10-12      | Variable      | 6.01%                 | Yes           |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FHARM FRN 760014 08-01-45                     | CUSIP: 31342WAP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    238910 | PA      | $239425.56    | 0.19%             | 2045-08-01      | Variable      | 4.63%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.0 MA4305 04-01-51                 | CUSIP: 31418DYB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |       709 | PA      | $578.08       | 0.00%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.0 CA6987 09-01-50                 | CUSIP: 3140QEXR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    684860 | PA      | $555744.36    | 0.44%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCT UMBS 2.0 MA4232 01-01-41                 | CUSIP: 31418DV25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    120044 | PA      | $105159.19    | 0.08%             | 2041-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.0 RA4352 01-01-51                 | CUSIP: 3133KKZR3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    285062 | PA      | $234100.70    | 0.19%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.5 RA3987 11-01-50                 | CUSIP: 3133KKNC9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    171473 | PA      | $146881.52    | 0.12%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.0 SD8128 02-01-51                 | CUSIP: 3132DWA52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      1698 | PA      | $1386.36      | 0.00%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.0 SD8134 03-01-51                 | CUSIP: 3132DWBB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      2715 | PA      | $2214.09      | 0.00%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.0 FM8038 07-01-51                 | CUSIP: 3140XB4Y3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     29712 | PA      | $26532.43     | 0.02%             | 2051-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCT UMBS 1.5 RB5113 06-01-41                 | CUSIP: 3133KYVE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1397631 | PA      | $1183011.11   | 0.94%             | 2041-06-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCT UMBS 2.5 RB5115 06-01-41                 | CUSIP: 3133KYVG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    259555 | PA      | $233851.88    | 0.19%             | 2041-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 SD5813 07-01-54                 | CUSIP: 3132DTN63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     55655 | PA      | $57415.50     | 0.05%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 FS8757 08-01-54                 | CUSIP: 3140XQWT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     50955 | PA      | $52919.55     | 0.04%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 RA9283 06-01-53                 | CUSIP: 3133KRJ47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     47883 | PA      | $49338.19     | 0.04%             | 2053-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 RA9284 06-01-53                 | CUSIP: 3133KRJ54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     26500 | PA      | $27678.47     | 0.02%             | 2053-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 BU4968 08-01-54                 | CUSIP: 3140M6QW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    128808 | PA      | $132339.42    | 0.11%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 BU5166 10-01-54                 | CUSIP: 3140M6W41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     24393 | PA      | $25147.16     | 0.02%             | 2054-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.5 SD8342 07-01-53                 | CUSIP: 3132DWHT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    747131 | PA      | $760187.35    | 0.61%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.5 SD8331 06-01-53                 | CUSIP: 3132DWHG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    254419 | PA      | $258807.35    | 0.21%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.5 MA5072 07-01-53                 | CUSIP: 31418ET67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    184695 | PA      | $187965.34    | 0.15%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.5 SD8316 04-01-53                 | CUSIP: 3132DWGZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     79776 | PA      | $81102.19     | 0.06%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.0 SD8341 07-01-53                 | CUSIP: 3132DWHS5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      1669 | PA      | $1670.70      | 0.00%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 3.0 RA3384 08-01-50                 | CUSIP: 3133KJXM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      3659 | PA      | $3268.53      | 0.00%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.0 CA7052 09-01-50                 | CUSIP: 3140QEZS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      3877 | PA      | $3464.97      | 0.00%             | 2050-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.5 BW1243 10-01-52                 | CUSIP: 3140MSLZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     30964 | PA      | $31549.03     | 0.03%             | 2052-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.0 FS4563 05-01-53                 | CUSIP: 3140XLB98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     46829 | PA      | $47049.12     | 0.04%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 CB9432 11-01-54                 | CUSIP: 3140QVPS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     39804 | PA      | $41093.23     | 0.03%             | 2054-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.5 SD8493 12-01-54                 | CUSIP: 3132DWNJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      6992 | PA      | $7095.04      | 0.01%             | 2054-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 SD8432 05-01-54                 | CUSIP: 3132DWLM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      6997 | PA      | $7187.84      | 0.01%             | 2054-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FARM 2024-2                                                 | FARM 2024-2 A1 144A FRN 08-01-54              | CUSIP: 307910AA7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     80976 | PA      | $82494.99     | 0.07%             | 2054-08-01      | Variable      | 5.19%                 | Yes           |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 4.0 BY1411 02-01-53                 | CUSIP: 3140NHR91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1099558 | PA      | $1048477.96   | 0.83%             | 2053-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.5 CB7242 10-01-53                 | CUSIP: 3140QTBL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     36626 | PA      | $38165.35     | 0.03%             | 2053-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.5 FS9025 09-01-54                 | CUSIP: 3140XRA39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    480401 | PA      | $490598.49    | 0.39%             | 2054-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.5 MA5531 11-01-54                 | CUSIP: 31418FED5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     53655 | PA      | $54452.13     | 0.04%             | 2054-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.0 RJ3163 12-01-54                 | CUSIP: 3142GTQR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    479971 | PA      | $481826.52    | 0.38%             | 2054-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 4.0 MA5583 01-01-55                 | CUSIP: 31418FFZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    218606 | PA      | $207543.84    | 0.17%             | 2055-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.5 SD8469 10-01-54                 | CUSIP: 3132DWMS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      8503 | PA      | $8629.74      | 0.01%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.5 MA5472 09-01-54                 | CUSIP: 31418FCJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    126426 | PA      | $131417.72    | 0.10%             | 2054-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 4.5 DC7042 12-01-54                 | CUSIP: 3140AUZG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    184944 | PA      | $181155.08    | 0.14%             | 2054-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.5 SD8475 11-01-54                 | CUSIP: 3132DWMY6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    435373 | PA      | $441795.34    | 0.35%             | 2054-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.5 QX1414 12-01-54                 | CUSIP: 31425VSC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    356579 | PA      | $361839.35    | 0.29%             | 2054-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                      | FGLMC 4.5 Z40273 10-01-48                     | CUSIP: 3132FCJS5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     33665 | PA      | $33494.91     | 0.03%             | 2048-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 4.5 FS9792 12-01-50                 | CUSIP: 3140XR3A1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     20888 | PA      | $20758.05     | 0.02%             | 2050-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 FS8795 08-01-54                 | CUSIP: 3140XQXZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     22890 | PA      | $23515.57     | 0.02%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.0 BQ6356 11-01-50                 | CUSIP: 3140KSB22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     33743 | PA      | $27333.79     | 0.02%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.5 MA5792 08-01-55                 | CUSIP: 31418FNJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    330497 | PA      | $335294.76    | 0.27%             | 2055-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 QJ3296 08-01-54                 | CUSIP: 3133CTUV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |       865 | PA      | $890.19       | 0.00%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 DC3459 09-01-54                 | CUSIP: 3140AQZZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |       845 | PA      | $868.16       | 0.00%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 DC3262 09-01-54                 | CUSIP: 3140AQTU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      1761 | PA      | $1809.60      | 0.00%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 CC0879 08-01-55                 | CUSIP: 3140Y66R6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     10665 | PA      | $11099.49     | 0.01%             | 2055-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.0 MA5062 06-01-53                 | CUSIP: 31418ETU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    419556 | PA      | $371639.78    | 0.30%             | 2053-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.0 CB4360 08-01-52                 | CUSIP: 3140QPZ26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     30318 | PA      | $26873.04     | 0.02%             | 2052-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.5 RQ0027 07-01-55                 | CUSIP: 3142J6A52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    431561 | PA      | $437826.20    | 0.35%             | 2055-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.5 SL2621 07-01-52                 | CUSIP: 31427P4F8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    467894 | PA      | $396072.52    | 0.32%             | 2052-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.5 FA2839 07-01-52                 | CUSIP: 3140W3EM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    910018 | PA      | $770327.85    | 0.61%             | 2052-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.5 FP0128 06-01-54                 | CUSIP: 3140XTEA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    150282 | PA      | $156213.01    | 0.12%             | 2054-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.5 FA2842 07-01-55                 | CUSIP: 3140W3EQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    499811 | PA      | $519839.25    | 0.41%             | 2055-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.5 SL2781 09-01-55                 | CUSIP: 31427QCT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    175573 | PA      | $184276.00    | 0.15%             | 2055-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.5 SL2647 09-01-55                 | CUSIP: 31427P5H3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    110685 | PA      | $116284.79    | 0.09%             | 2055-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.5 SL2445 09-01-54                 | CUSIP: 31427PWF7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     79266 | PA      | $82793.22     | 0.07%             | 2054-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.5 SL0673 03-01-55                 | CUSIP: 31427MXB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    280066 | PA      | $294154.31    | 0.23%             | 2055-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.5 FA2843 03-01-55                 | CUSIP: 3140W3ER6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    312919 | PA      | $325458.32    | 0.26%             | 2055-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 7.0 MA5649 03-01-55                 | CUSIP: 31418FH34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    428686 | PA      | $450999.49    | 0.36%             | 2055-03-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 7.0 SL2928 01-01-55                 | CUSIP: 31427QHE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     75787 | PA      | $79734.18     | 0.06%             | 2055-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNJMCK 7.0 MA5846 08-01-55                    | CUSIP: 31418FP84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     29894 | PA      | $30600.26     | 0.02%             | 2055-08-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.5 FP0130 12-01-54                 | CUSIP: 3140XTEC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    176654 | PA      | $183626.34    | 0.15%             | 2054-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.5 SL2625 07-01-55                 | CUSIP: 31427P4K7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    498756 | PA      | $518440.91    | 0.41%             | 2055-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.5 190445 03-01-55                 | CUSIP: 31368HP64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    586932 | PA      | $610095.94    | 0.49%             | 2055-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2SF 2.5 MA7881 02-20-52                      | CUSIP: 36179WXJ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     64049 | PA      | $55316.28     | 0.04%             | 2052-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2SF 2.5 MA7987 04-20-52                      | CUSIP: 36179W2U1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    206759 | PA      | $178568.01    | 0.14%             | 2052-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2SF 3.0 MA7988 04-20-52                      | CUSIP: 36179W2V9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     55870 | PA      | $50300.98     | 0.04%             | 2052-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BRIDGECREST LENDING AUTO SECURITIZATION TRUST BLAST_24-4    | BLAST 2024-4 A2 4.84% 09-15-27                | CUSIP: 10806EAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       653 | PA      | $653.53       | 0.00%             | 2027-09-15      | Fixed         | 4.84%                 | No            |                  2 | On Loan: No      |
| CPS 2024-D                                                  | CPS 2024-D A 144A 4.91% 06-15-28              | CUSIP: 22411JAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     21611 | PA      | $21636.71     | 0.02%             | 2028-06-15      | Fixed         | 4.91%                 | Yes           |                  2 | On Loan: No      |
| DRIVE 2024-2                                                | DRIVE 2024-2 A3 4.5% 09-15-28                 | CUSIP: 26207AAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     21000 | PA      | $21029.15     | 0.02%             | 2028-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| DRIVE 2024-2                                                | DRIVE 2024-2 A2 4.94% 12-15-27                | CUSIP: 26207AAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1012 | PA      | $1012.37      | 0.00%             | 2027-12-15      | Fixed         | 4.94%                 | No            |                  2 | On Loan: No      |
| FORD CREDIT AUTO OWNER TRUST FORDR_23-2                     | FORDR 2023-2 A 144A 5.28% 02-15-36            | CUSIP: 34535CAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    257000 | PA      | $265847.48    | 0.21%             | 2036-02-15      | Fixed         | 5.28%                 | Yes           |                  2 | On Loan: No      |
| GCAR 2024-3A                                                | GCAR 2024-3A A3 144A 5.02% 04-17-28           | CUSIP: 37989AAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     43330 | PA      | $43400.39     | 0.03%             | 2028-04-17      | Fixed         | 5.02%                 | Yes           |                  2 | On Loan: No      |
| GCAR 2024-4A                                                | GCAR 2024-4A A2 144A 4.76% 10-15-27           | CUSIP: 36270YAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      2751 | PA      | $2752.50      | 0.00%             | 2027-10-15      | Fixed         | 4.76%                 | Yes           |                  2 | On Loan: No      |
| NELNET STUDENT LOAN TRUST NSLT_21-A                         | NSLT 2021-A APT1 144A 1.36% 04-20-62          | CUSIP: 64035DAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     86179 | PA      | $81582.44     | 0.06%             | 2062-04-20      | Fixed         | 1.36%                 | Yes           |                  2 | On Loan: No      |
| NAVIENT PRIVATE EDUCATION LOAN TRUST NAVSL_21-C             | NAVSL 2021-CA A 144A 1.06% 10-15-69           | CUSIP: 63942JAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     75874 | PA      | $69641.27     | 0.06%             | 2069-10-15      | Fixed         | 1.06%                 | Yes           |                  2 | On Loan: No      |
| NELNET STUDENT LOAN TRUST NSLT_21-C                         | NSLT 2021-CA AFL 144A FRN 04-20-62            | CUSIP: 64035GAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     71828 | PA      | $71688.67     | 0.06%             | 2062-04-20      | Variable      | 4.59%                 | Yes           |                  2 | On Loan: No      |
| NAVIENT STUDENT LOAN TRUST NAVSL_21-A                       | NAVSL 2021-A A 144A 0.84% 05-15-69            | CUSIP: 63942BAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     57738 | PA      | $53093.45     | 0.04%             | 2069-05-15      | Fixed         | 0.84%                 | Yes           |                  2 | On Loan: No      |
| SYNCHRONY CARD ISSUANCE TRUST SYNIT_23-A1                   | SYNIT 2023-A1 A 5.54% 07-15-29                | CUSIP: 87166PAK7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     12000 | PA      | $12102.97     | 0.01%             | 2029-07-15      | Fixed         | 5.54%                 | No            |                  2 | On Loan: No      |
| SDART 2023-4                                                | SDART 2023-4 A3 5.73% 04-17-28                | CUSIP: 802927AD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       857 | PA      | $857.60       | 0.00%             | 2028-04-17      | Fixed         | 5.73%                 | No            |                  2 | On Loan: No      |
| CF HIPPOLYTA ISSUER LLC SORT_20-1                           | SORT 2020-1 A1 144A 1.69% 07-15-60            | CUSIP: 12530MAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     88884 | PA      | $75512.21     | 0.06%             | 2060-07-15      | Fixed         | 1.69%                 | Yes           |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                      | UNITED STATES TREASURY NOTE 4.25% 08-15-35    | CUSIP: 91282CNT4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    230000 | PA      | $231832.82    | 0.18%             | 2035-08-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| SEASONED LOANS STRUCTURED TRANSACTION TRUST SLST_22-1       | SLST 2022-1 A1 3.5% 05-25-32                  | CUSIP: 35564CLZ8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    237655 | PA      | $231877.77    | 0.18%             | 2032-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC SLST_20-3                                       | SLST 2020-3 AC 2.0% 11-25-30                  | CUSIP: 35564CJD0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    278285 | PA      | $254709.64    | 0.20%             | 2030-11-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| SEASONED LOANS STRUCTURED TRANSACTION TRUST SLST_21-1       | SLST 2021-1 AC 2.25% 05-26-31                 | CUSIP: 35564CKH9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    279604 | PA      | $258067.04    | 0.21%             | 2031-05-26      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC SLST_20-2                                       | SLST 2020-2 AC 2.0% 09-25-30                  | CUSIP: 35564CGW1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    290173 | PA      | $266936.67    | 0.21%             | 2030-09-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC - SLST SLST_21-2                                | SLST 2021-2 AD 2.0% 07-25-31                  | CUSIP: 35564CLN5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    240384 | PA      | $215554.77    | 0.17%             | 2031-07-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| SCRT 2024-2                                                 | SCRT 2024-2 MT 3.5% 05-25-64                  | CUSIP: 35563PX46<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    614728 | PA      | $540398.25    | 0.43%             | 2064-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                                 | FNCL 4.5 UMBS TBA 01-01-56                    | CUSIP: 01F042616<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    190000 | PA      | $185511.63    | 0.15%             | 2056-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                                 | FNCL 6.5 UMBS TBA 01-01-56                    | CUSIP: 01F062614<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    697565 | PA      | $725046.97    | 0.58%             | 2056-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                                 | FNCL 4.0 UMBS TBA 01-01-56                    | CUSIP: 01F040610<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     96597 | PA      | $91637.61     | 0.07%             | 2056-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                                 | FNCL 3.5 UMBS TBA 01-01-56                    | CUSIP: 01F032617<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     25021 | PA      | $23135.62     | 0.02%             | 2056-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                                 | FNCL 5.5 UMBS TBA 01-01-56                    | CUSIP: 01F052615<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1541631 | PA      | $1563428.12   | 1.24%             | 2056-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                                 | FNCL 2.0 UMBS TBA 01-01-56                    | CUSIP: 01F020612<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    674455 | PA      | $545357.57    | 0.43%             | 2056-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                                 | FNCL 6.0 UMBS TBA 01-01-56                    | CUSIP: 01F060618<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1769110 | PA      | $1816670.75   | 1.45%             | 2056-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                                 | FNCI 4.0 UMBS TBA 01-01-41                    | CUSIP: 01F040412<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    125000 | PA      | $123383.50    | 0.10%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ONTARIO (PROVINCE OF)                                       | ONTARIO (PROVINCE OF) CP 1/23/2026            | CUSIP: 68323KAP7<br>LEI: C7PVKCRGLG18EBQGZV36 | Long             | DBT              | CORP              | CA        |   1400000 | PA      | $1396743.60   | 1.11%             | 2026-01-23      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| VICTORY RECEIVABLES CORP                                    | VICTORY RECEIVABLES CORP 4(a)(2) CP 1/16/2026 | CUSIP: 92646LAG5<br>LEI: 549300D0F37QF0LP7F94 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $998333.00    | 0.79%             | 2026-01-16      | Fixed         | 0.00%                 | Yes           |                  2 | On Loan: No      |
| WALMART INC                                                 | WALMART INC 4(a)(2) CP 1/14/2026              | CUSIP: 93114FAE4<br>LEI: Y87794H0US1R65VBXU25 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $1997166.00   | 1.59%             | 2026-01-14      | Fixed         | 0.00%                 | Yes           |                  2 | On Loan: No      |
| RISKLESS ISSUER                                             | OIS PAYFIX USD 3.41% 03-09-23/07-28-45 LCH    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $120257.35    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                             | OIS PAYFIX USD 3.6025% 01-08-24/01-08-34 LCH  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $2231.91      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                             | OIS PAYFIX USD 3.8215% 04-23-25/04-23-35 LCH  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $-546.04      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                             | OIS PAYFIX USD 3.6965% 11-05-25/11-05-35 LCH  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $1685.22      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                             | OIS PAYFIX USD 3.3615% 11-20-25/05-31-30 LCH  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $1224.86      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                      | UNITED STATES TREASURY NOTE 4.75% 08-15-55    | CUSIP: 912810UM8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    640000 | PA      | $630596.35    | 0.50%             | 2055-08-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                      | UNITED STATES TREASURY NOTE 3.5% 10-15-28     | CUSIP: 91282CPC9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    800000 | PA      | $799276.32    | 0.64%             | 2028-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.0 CB3523 05-01-52                 | CUSIP: 3140QN4H2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    887466 | PA      | $787082.48    | 0.63%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 FA0287 12-01-54                 | CUSIP: 3140W0J97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    566579 | PA      | $582490.91    | 0.46%             | 2054-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 SL1138 05-01-55                 | CUSIP: 31427NHQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     12986 | PA      | $13346.33     | 0.01%             | 2055-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 SL1137 05-01-55                 | CUSIP: 31427NHP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     13068 | PA      | $13426.15     | 0.01%             | 2055-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 RQ0028 07-01-55                 | CUSIP: 3142J6A60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2292178 | PA      | $2354298.02   | 1.87%             | 2055-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 MA5761 07-01-55                 | CUSIP: 31418FMK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     14681 | PA      | $15086.36     | 0.01%             | 2055-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 DD9889 07-01-55                 | CUSIP: 3140BA7B6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    315875 | PA      | $324588.74    | 0.26%             | 2055-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.5 BU8818 05-01-52                 | CUSIP: 3140MAYQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      9650 | PA      | $8948.47      | 0.01%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 QY7483 07-01-55                 | CUSIP: 31426SJ59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1386497 | PA      | $1425408.69   | 1.14%             | 2055-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 FA1162 04-01-55                 | CUSIP: 3140W1JG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      1753 | PA      | $1800.95      | 0.00%             | 2055-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 DD4459 04-01-55                 | CUSIP: 3140B45V8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      1665 | PA      | $1710.99      | 0.00%             | 2055-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 QY6303 06-01-55                 | CUSIP: 31426RAD3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2050756 | PA      | $2107651.67   | 1.68%             | 2055-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 BU4791 07-01-54                 | CUSIP: 3140M6KD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     17546 | PA      | $18025.63     | 0.01%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 SL1416 04-01-55                 | CUSIP: 31427NSE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     13176 | PA      | $13536.55     | 0.01%             | 2055-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 MA5793 08-01-55                 | CUSIP: 31418FNK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    123701 | PA      | $127116.83    | 0.10%             | 2055-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 QY7786 07-01-55                 | CUSIP: 31426SUL1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     65003 | PA      | $66806.17     | 0.05%             | 2055-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER SCRT_18-3                     | SCRT 2018-3 MA FRN 08-25-57                   | CUSIP: 35563PGG8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     75642 | PA      | $74281.62     | 0.06%             | 2057-08-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 932606 02-01-40                     | CUSIP: 31412RDK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      1527 | PA      | $1568.39      | 0.00%             | 2040-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 4.0 BH3122 06-01-47                 | CUSIP: 3140GRPG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      1188 | PA      | $1150.70      | 0.00%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS AE1283 12-01-41                     | CUSIP: 31419BM93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      1359 | PA      | $1396.57      | 0.00%             | 2041-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 4.5 BK9761 08-01-48                 | CUSIP: 3140HPZ34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      3216 | PA      | $3225.48      | 0.00%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 4.0 BJ5015 12-01-47                 | CUSIP: 3140H6SD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     24751 | PA      | $23982.51     | 0.02%             | 2047-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 4.0 BK9743 08-01-48                 | CUSIP: 3140HPZH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      5993 | PA      | $5801.34      | 0.00%             | 2048-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.0 RA6406 11-01-51                 | CUSIP: 3133KNDK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     65139 | PA      | $53047.76     | 0.04%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.0 AE1290 02-01-42                 | CUSIP: 31419BNG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      3983 | PA      | $4075.64      | 0.00%             | 2042-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.0 931768 08-01-39                 | CUSIP: 31412QFH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |       896 | PA      | $921.40       | 0.00%             | 2039-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.0 RA7938 09-01-52                 | CUSIP: 3133KPZB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    528647 | PA      | $530771.44    | 0.42%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 3.0 SD8213 05-01-52                 | CUSIP: 3132DWDS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1308381 | PA      | $1162125.04   | 0.93%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 FS8866 09-01-54                 | CUSIP: 3140XQZ83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    422473 | PA      | $436869.42    | 0.35%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 FS8758 08-01-54                 | CUSIP: 3140XQWU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    160143 | PA      | $165060.67    | 0.13%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS AT0300 03-01-43                     | CUSIP: 3138WMKN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |       975 | PA      | $944.39       | 0.00%             | 2043-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.0 AD3566 10-01-35                 | CUSIP: 31418Q6C2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |       583 | PA      | $598.81       | 0.00%             | 2035-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.5 MA5470 09-01-54                 | CUSIP: 31418FCG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    192942 | PA      | $195847.39    | 0.16%             | 2054-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.0 CB4620 09-01-52                 | CUSIP: 3140QQD28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    933658 | PA      | $940782.94    | 0.75%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.5 SD6286 08-01-54                 | CUSIP: 3132DT6X3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    267388 | PA      | $273283.29    | 0.22%             | 2054-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.5 SD8464 09-01-54                 | CUSIP: 3132DWMM2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    149011 | PA      | $154894.87    | 0.12%             | 2054-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.0 695412 06-01-33                 | CUSIP: 31400RR94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |        77 | PA      | $79.01        | 0.00%             | 2033-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 4.0 BK5232 05-01-48                 | CUSIP: 3140HJY62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     12868 | PA      | $12467.98     | 0.01%             | 2048-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.5 MA5497 10-01-54                 | CUSIP: 31418FDB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     99966 | PA      | $101460.73    | 0.08%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.5 FS9009 09-01-54                 | CUSIP: 3140XRAK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    257107 | PA      | $262775.42    | 0.21%             | 2054-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.0 FS3056 10-01-52                 | CUSIP: 3140XJME0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    666430 | PA      | $541282.98    | 0.43%             | 2052-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.5 CA6409 07-01-50                 | CUSIP: 3140QEDP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     88436 | PA      | $74992.66     | 0.06%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                      | FGLMC 4.0 Q56175 05-01-48                     | CUSIP: 3132XY2H9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      9554 | PA      | $9267.79      | 0.01%             | 2048-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 4.0 BK6840 06-01-48                 | CUSIP: 3140HLS64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     18636 | PA      | $18057.12     | 0.01%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 MA5498 10-01-54                 | CUSIP: 31418FDC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    370356 | PA      | $380508.71    | 0.30%             | 2054-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.5 FS7879 07-01-52                 | CUSIP: 3140XPXH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1632788 | PA      | $1384600.92   | 1.10%             | 2052-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.0 AC0794 10-01-39                 | CUSIP: 31417J3C2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      3705 | PA      | $3808.24      | 0.00%             | 2039-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 3.5 QA2748 09-01-49                 | CUSIP: 31339SBR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     13319 | PA      | $12585.53     | 0.01%             | 2049-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                      | FGLMC 4.0 Q55971 05-01-48                     | CUSIP: 3132XYT56<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     11327 | PA      | $10899.52     | 0.01%             | 2048-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.0 AE1248 06-01-41                 | CUSIP: 31419BL60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      6843 | PA      | $7025.74      | 0.01%             | 2041-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                      | FGLMC 4.0 Q15874 02-01-43                     | CUSIP: 3132J66L3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |       743 | PA      | $724.03       | 0.00%             | 2043-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                      | FGLMC 4.5 Q58378 09-01-48                     | CUSIP: 3132Y2JY3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     12401 | PA      | $12308.03     | 0.01%             | 2048-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 7.0 CB8089 12-01-53                 | CUSIP: 3140QT7B9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    354355 | PA      | $372813.64    | 0.30%             | 2053-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 SD8463 09-01-54                 | CUSIP: 3132DWML4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     13980 | PA      | $14362.22     | 0.01%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.5 AY1829 12-01-44                 | CUSIP: 3138YFA79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      1653 | PA      | $1575.62      | 0.00%             | 2044-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                      | FGLMC 3.5 Q47615 04-01-47                     | CUSIP: 3132WMN91<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     15075 | PA      | $14066.83     | 0.01%             | 2047-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.5 AT3954 04-01-43                 | CUSIP: 3138WRMC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      1414 | PA      | $1352.28      | 0.00%             | 2043-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                      | FGLMC 4.0 Q56599 06-01-48                     | CUSIP: 3132Y0KM1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     19449 | PA      | $18848.35     | 0.02%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.5 CB0517 05-01-51                 | CUSIP: 3140QKSF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    260177 | PA      | $220857.51    | 0.18%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.5 QD3619 12-01-51                 | CUSIP: 3133B1AU5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    686207 | PA      | $582174.48    | 0.46%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER SCRT_17-2                     | SCRT 2017-2 HA FRN 08-25-56                   | CUSIP: 35563PBF5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    100379 | PA      | $95826.51     | 0.08%             | 2056-08-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER SCRT_17-2                     | SCRT 2017-2 MA 3.0% 08-25-56                  | CUSIP: 35563PBC2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    144297 | PA      | $137063.43    | 0.11%             | 2056-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.5 CB3888 02-01-52                 | CUSIP: 3140QPKA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    566228 | PA      | $480304.14    | 0.38%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.5 SD4815 07-01-52                 | CUSIP: 3132DSK43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    156339 | PA      | $132672.62    | 0.11%             | 2052-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| SEASONED LOAN STRUCTURED TRANSACTION SLST_18-1              | SLST 2018-1 A1 3.5% 06-25-28                  | CUSIP: 35564CAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    176278 | PA      | $173399.58    | 0.14%             | 2028-06-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC - SLST SLST_18-2                                | SLST 2018-2 A1 3.5% 11-25-28                  | CUSIP: 35564CAN7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      9802 | PA      | $9655.54      | 0.01%             | 2028-11-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER SCRT_19-3                     | SCRT 2019-3 MT 3.5% 10-25-58                  | CUSIP: 35563PLG2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     14644 | PA      | $13177.21     | 0.01%             | 2058-10-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER SCRT_19-2                     | SCRT 2019-2 MT 3.5% 08-25-58                  | CUSIP: 35563PKF5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     24929 | PA      | $22341.80     | 0.02%             | 2058-08-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                      | FGLMC 4.5 Q58411 09-01-48                     | CUSIP: 3132Y2KZ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     39043 | PA      | $38873.00     | 0.03%             | 2048-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                      | FGLMC 4.0 Q55970 05-01-48                     | CUSIP: 3132XYT49<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      5945 | PA      | $5728.73      | 0.00%             | 2048-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.5 SD8462 09-01-54                 | CUSIP: 3132DWMK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    192609 | PA      | $195449.75    | 0.16%             | 2054-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.5 BV1262 03-01-52                 | CUSIP: 3140MEML7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    139647 | PA      | $119332.90    | 0.10%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 4.0 AJ1873 10-01-41                 | CUSIP: 3138ATCK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      4667 | PA      | $4571.25      | 0.00%             | 2041-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCT UMBS 1.5 BQ7816 04-01-41                 | CUSIP: 3140KTVJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    211436 | PA      | $180411.41    | 0.14%             | 2041-04-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCT UMBS 2.5 MA4388 07-01-41                 | CUSIP: 31418D2W1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     66329 | PA      | $59470.04     | 0.05%             | 2041-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCT UMBS 2.5 MA4447 10-01-41                 | CUSIP: 31418D5H1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    141804 | PA      | $127450.41    | 0.10%             | 2041-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.5 SD6323 08-01-54                 | CUSIP: 3132DUAY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1307023 | PA      | $1363479.90   | 1.09%             | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.5 FS8934 08-01-54                 | CUSIP: 3140XQ4U8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    104603 | PA      | $109775.53    | 0.09%             | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.5 BU5165 11-01-54                 | CUSIP: 3140M6W33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     47253 | PA      | $48131.69     | 0.04%             | 2054-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.0 FM6332 02-01-51                 | CUSIP: 3140XABA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    160526 | PA      | $129938.74    | 0.10%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.0 QB7053 12-01-50                 | CUSIP: 3133ADZS8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     90045 | PA      | $72887.77     | 0.06%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 RQ0041 08-01-55                 | CUSIP: 3142J6BK8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1711502 | PA      | $1757885.31   | 1.40%             | 2055-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 DC1547 09-01-54                 | CUSIP: 3140ANWH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    164850 | PA      | $169429.12    | 0.13%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNIONP 5.0 256583 12-01-36                    | CUSIP: 31371M6U6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     26758 | PA      | $26852.47     | 0.02%             | 2036-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 4.0 MA5907 12-01-55                 | CUSIP: 31418FR58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     16052 | PA      | $15235.92     | 0.01%             | 2055-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.5 BQ5687 11-01-50                 | CUSIP: 3140KRJ91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    458415 | PA      | $389290.51    | 0.31%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.5 QF0924 09-01-52                 | CUSIP: 3133BNAZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    199846 | PA      | $203289.93    | 0.16%             | 2052-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.0 CA8820 02-01-51                 | CUSIP: 3140QGYS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    331626 | PA      | $272545.87    | 0.22%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.0 CA8108 12-01-50                 | CUSIP: 3140QGAJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    122496 | PA      | $100673.52    | 0.08%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 RQ0057 10-01-55                 | CUSIP: 3142J6B36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    564805 | PA      | $580429.11    | 0.46%             | 2055-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2RF 5.2 725897 01-20-66                      | CUSIP: 3620ACNN0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      1172 | PA      | $1175.47      | 0.00%             | 2066-01-20      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2RF 4.633 AN1825 06-20-65                    | CUSIP: 36185KA22<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     10775 | PA      | $10795.39     | 0.01%             | 2065-06-20      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2RF 4.328 AO0385 01-20-66                    | CUSIP: 3617A0NA0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     46680 | PA      | $46555.60     | 0.04%             | 2066-01-20      | Fixed         | 4.33%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2RF 4.625 AO0409 12-20-65                    | CUSIP: 3617A0N28<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      5452 | PA      | $5457.02      | 0.00%             | 2065-12-20      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2RF 4.637 AO0461 08-20-65                    | CUSIP: 3617A0QN9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      3749 | PA      | $3753.08      | 0.00%             | 2065-08-20      | Fixed         | 4.64%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2 6.5 005165 08-20-41                        | CUSIP: 36202FW28<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     75953 | PA      | $77089.66     | 0.06%             | 2041-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2 5.0 005104 06-20-41                        | CUSIP: 36202FU53<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    150846 | PA      | $152920.14    | 0.12%             | 2041-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2SF 2.0 MA6994 11-20-50                      | CUSIP: 36179VXX3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     79540 | PA      | $65956.08     | 0.05%             | 2050-11-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2 3.5 MA0366 06-20-42                        | CUSIP: 36179MMP2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    176342 | PA      | $162406.68    | 0.13%             | 2042-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2SF 6.0 783690 09-20-39                      | CUSIP: 3622A2C34<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     60067 | PA      | $63618.84     | 0.05%             | 2039-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2SF 2.0 MA7051 12-20-50                      | CUSIP: 36179VZQ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     70744 | PA      | $58656.77     | 0.05%             | 2050-12-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2SF AA5326 05-20-42                          | CUSIP: 36178C4K6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     75010 | PA      | $67326.50     | 0.05%             | 2042-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2SF 4.5 5142 08-20-41                        | CUSIP: 36202FWB8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     10456 | PA      | $10265.39     | 0.01%             | 2041-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2SF 3.5 AD4360 175K MAX 07-20-43             | CUSIP: 36180FZZ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     37718 | PA      | $34601.77     | 0.03%             | 2043-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2SF 3.0 MA7937 03-20-52                      | CUSIP: 36179WZA9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     47127 | PA      | $42429.87     | 0.03%             | 2052-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2SF 4.0 MA8346 10-20-52                      | CUSIP: 36179XHX7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    144882 | PA      | $137900.71    | 0.11%             | 2052-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-2          | GNR 2021-2 AH 1.5% 06-16-63                   | CUSIP: 38380RNG1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    200761 | PA      | $149839.63    | 0.12%             | 2063-06-16      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2SF 2.5 786647 03-20-52                      | CUSIP: 3622ACHY9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    154180 | PA      | $133351.20    | 0.11%             | 2052-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 4.0 FS5851 07-01-52                 | CUSIP: 3140XMQD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    447715 | PA      | $427491.07    | 0.34%             | 2052-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 SD4053 10-01-53                 | CUSIP: 3132E0QE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    291314 | PA      | $300095.41    | 0.24%             | 2053-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 SD8396 01-01-54                 | CUSIP: 3132DWKH5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      6425 | PA      | $6613.28      | 0.01%             | 2054-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 MA5247 01-01-54                 | CUSIP: 31418EZM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     22222 | PA      | $22861.54     | 0.02%             | 2054-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.5 SD8395 01-01-54                 | CUSIP: 3132DWKG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    400011 | PA      | $406540.13    | 0.32%             | 2054-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.5 FS6362 08-01-52                 | CUSIP: 3140XNB86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    157664 | PA      | $146203.97    | 0.12%             | 2052-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 RJ0668 01-01-54                 | CUSIP: 3142GQW65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1463092 | PA      | $1506805.20   | 1.20%             | 2054-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 SD4795 01-01-54                 | CUSIP: 3132DSKG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1188069 | PA      | $1224672.54   | 0.98%             | 2054-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.5 FS6873 01-01-54                 | CUSIP: 3140XNT79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    377246 | PA      | $392711.22    | 0.31%             | 2054-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.5 MA5296 03-01-54                 | CUSIP: 31418E3E8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    127408 | PA      | $129365.58    | 0.10%             | 2054-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.5 MA5271 02-01-54                 | CUSIP: 31418E2D1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1330039 | PA      | $1351086.56   | 1.08%             | 2054-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 RA9854 09-01-53                 | CUSIP: 3133KR5P5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    104538 | PA      | $108736.40    | 0.09%             | 2053-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 SD2861 05-01-53                 | CUSIP: 3132DQFA9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     45711 | PA      | $47148.89     | 0.04%             | 2053-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.5 RJ1216 04-01-54                 | CUSIP: 3142GRK66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     58410 | PA      | $59698.21     | 0.05%             | 2054-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.5 RJ1215 04-01-54                 | CUSIP: 3142GRK58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     12072 | PA      | $12270.47     | 0.01%             | 2054-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FARM 2024-1                                                 | FARM 2024-1 A 144A FRN 10-01-53               | CUSIP: 30335JAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    174756 | PA      | $170490.52    | 0.14%             | 2053-10-01      | Variable      | 4.68%                 | Yes           |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 FS5343 07-01-53                 | CUSIP: 3140XL5D6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    365029 | PA      | $376268.67    | 0.30%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.5 FS6809 02-01-54                 | CUSIP: 3140XNR71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    138350 | PA      | $140507.37    | 0.11%             | 2054-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 RJ1964 07-01-54                 | CUSIP: 3142GSFE3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    167704 | PA      | $174982.33    | 0.14%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.5 CB8876 07-01-54                 | CUSIP: 3140QU2J4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    106109 | PA      | $110748.71    | 0.09%             | 2054-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 FS8318 07-01-54                 | CUSIP: 3140XQG43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     54749 | PA      | $56993.83     | 0.05%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2SF 2.5 BZ3978 11-20-50                      | CUSIP: 3617QYM36<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     33321 | PA      | $28695.09     | 0.02%             | 2050-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2SF 2.5 786502 02-20-52                      | CUSIP: 3622ACDF4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    294843 | PA      | $254015.35    | 0.20%             | 2052-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2SF 2.5 786706 12-20-51                      | CUSIP: 3622ACKT6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    471833 | PA      | $402257.90    | 0.32%             | 2051-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2SF 2.5 786701 03-20-52                      | CUSIP: 3622ACKN9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    126075 | PA      | $108895.89    | 0.09%             | 2052-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2SF 2.5 785575 08-20-51                      | CUSIP: 3622ABCL4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    302478 | PA      | $258339.92    | 0.21%             | 2051-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2SF 2.5 785659 10-20-51                      | CUSIP: 3622ABE81<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     72487 | PA      | $62065.99     | 0.05%             | 2051-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2SF 2.5 MA7936 03-20-52                      | CUSIP: 36179WY93<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     39929 | PA      | $34485.05     | 0.03%             | 2052-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2SF 5.0 MA9016 07-20-53                      | CUSIP: 36179YAR5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     12590 | PA      | $12618.16     | 0.01%             | 2053-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2SF 3.5 MA8266 09-20-52                      | CUSIP: 36179XFF8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      4136 | PA      | $3821.99      | 0.00%             | 2052-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2MHD 3.75 AH5894 85K MAX 05-20-34            | CUSIP: 36182NRP0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    532255 | PA      | $522242.52    | 0.42%             | 2034-05-20      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2SF 4.25 AH5884 07-20-44                     | CUSIP: 36182NRD7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    439227 | PA      | $423448.77    | 0.34%             | 2044-07-20      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2SF 4.0 MA9776 07-20-54                      | CUSIP: 36179Y2H6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     77240 | PA      | $73421.37     | 0.06%             | 2054-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2SF 5.5 MB0485 07-20-55                      | CUSIP: 3618N5RF8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     49092 | PA      | $49617.62     | 0.04%             | 2055-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2SF 5.5 MB0205 02-20-55                      | CUSIP: 3618N5GP8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    193525 | PA      | $195756.60    | 0.16%             | 2055-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2SF 5.0 TBA 01-01-56                         | CUSIP: 21H050615<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     80000 | PA      | $79829.68     | 0.06%             | 2056-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2SF 3.5 MB0742 11-20-55                      | CUSIP: 3618N5ZG7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    193907 | PA      | $176611.30    | 0.14%             | 2055-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                          | G2SF 3.5 MB0810 12-20-55                      | CUSIP: 3618N53U1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    101092 | PA      | $92075.10     | 0.07%             | 2055-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY RESIDENTIAL MORTGAGE LOAN TRUST MSRM_24-INV2 | MSRM 2024-INV2 A1 144A FRN 02-25-54           | CUSIP: 617939AA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    144808 | PA      | $147662.15    | 0.12%             | 2054-02-25      | Variable      | 6.50%                 | Yes           |                  2 | On Loan: No      |
| PMTLT 2024-INV1                                             | PMTLT 2024-INV1 A2 144A FRN 10-25-59          | CUSIP: 73015BAB1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     86044 | PA      | $87823.32     | 0.07%             | 2059-10-25      | Variable      | 6.00%                 | Yes           |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER SCRT_17-1                     | SCRT 2017-1 HA 3.0% 01-25-56                  | CUSIP: 35563PAP4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     74822 | PA      | $71509.00     | 0.06%             | 2056-01-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 MA5674 04-01-55                 | CUSIP: 31418FJU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    105279 | PA      | $108178.49    | 0.09%             | 2055-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 SD8525 04-01-55                 | CUSIP: 3132DWPJ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     87760 | PA      | $90172.74     | 0.07%             | 2055-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCT UMBS 7.0 MA5696 03-01-45                 | CUSIP: 31418FKJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     24823 | PA      | $26121.13     | 0.02%             | 2045-03-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCI UMBS 2.5 CB3701 05-01-37                 | CUSIP: 3140QPDF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     90363 | PA      | $85527.78     | 0.07%             | 2037-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCI UMBS 2.5 SB1388 01-01-38                 | CUSIP: 3132CXRH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     37436 | PA      | $35439.49     | 0.03%             | 2038-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCI UMBS 2.5 SB0649 04-01-37                 | CUSIP: 3132CWWJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    134812 | PA      | $127597.42    | 0.10%             | 2037-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 3.5 SL0761 09-01-52                 | CUSIP: 31427MZ38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    832346 | PA      | $776789.21    | 0.62%             | 2052-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.5 FA0608 02-01-55                 | CUSIP: 3140W0VA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    531210 | PA      | $539046.27    | 0.43%             | 2055-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.0 MA5699 05-01-55                 | CUSIP: 31418FKM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    287552 | PA      | $286995.75    | 0.23%             | 2055-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.0 SD8532 05-01-55                 | CUSIP: 3132DWPR8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    265243 | PA      | $264729.05    | 0.21%             | 2055-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 MA5701 05-01-55                 | CUSIP: 31418FKP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    756390 | PA      | $777220.51    | 0.62%             | 2055-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 5.0 MA5734 06-01-55                 | CUSIP: 31418FLQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    147723 | PA      | $147402.70    | 0.12%             | 2055-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.0 RQ0012 06-01-55                 | CUSIP: 3142J6AN3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     88477 | PA      | $88305.32     | 0.07%             | 2055-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 5.0 SL1094 04-01-55                 | CUSIP: 31427NGC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    126275 | PA      | $126210.11    | 0.10%             | 2055-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 SL0797 02-01-55                 | CUSIP: 31427M3F6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     59629 | PA      | $61664.10     | 0.05%             | 2055-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 QX4065 01-01-55                 | CUSIP: 31425YQT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     23171 | PA      | $23806.94     | 0.02%             | 2055-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 SD8534 05-01-55                 | CUSIP: 3132DWPT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    196740 | PA      | $202168.27    | 0.16%             | 2055-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.0 QD8711 03-01-52                 | CUSIP: 3133B6VC1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     65637 | PA      | $53130.41     | 0.04%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 3.0 CB2095 11-01-51                 | CUSIP: 3140QMKH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     30515 | PA      | $27089.07     | 0.02%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.5 MA5762 07-01-55                 | CUSIP: 31418FML8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    746200 | PA      | $775535.09    | 0.62%             | 2055-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 RJ2314 09-01-54                 | CUSIP: 3142GSSC3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    115399 | PA      | $118979.48    | 0.09%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.5 RJ2325 09-01-54                 | CUSIP: 3142GSSP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     14924 | PA      | $15571.66     | 0.01%             | 2054-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.5 RJ2320 09-01-54                 | CUSIP: 3142GSSJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     34615 | PA      | $36138.81     | 0.03%             | 2054-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 RJ2309 09-01-54                 | CUSIP: 3142GSR75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     32396 | PA      | $33391.22     | 0.03%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 RJ2306 09-01-54                 | CUSIP: 3142GSR42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     54093 | PA      | $56291.70     | 0.04%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 RJ2308 09-01-54                 | CUSIP: 3142GSR67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     58051 | PA      | $60430.60     | 0.05%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 RJ2312 09-01-54                 | CUSIP: 3142GSSA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     59137 | PA      | $61152.05     | 0.05%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.5 SD5221 04-01-54                 | CUSIP: 3132DSYS5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     45737 | PA      | $48035.47     | 0.04%             | 2054-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.5 FS7653 03-01-54                 | CUSIP: 3140XPQF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     32567 | PA      | $34203.05     | 0.03%             | 2054-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.5 FS6767 01-01-54                 | CUSIP: 3140XNQV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    184581 | PA      | $193546.32    | 0.15%             | 2054-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.5 RJ0326 11-01-53                 | CUSIP: 3142GQLG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     64821 | PA      | $67584.99     | 0.05%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 FS8756 08-01-54                 | CUSIP: 3140XQWS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     26546 | PA      | $27450.23     | 0.02%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 SD6029 08-01-54                 | CUSIP: 3132DTVW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     34199 | PA      | $35364.21     | 0.03%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 BU4916 08-01-54                 | CUSIP: 3140M6PA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     25179 | PA      | $25952.26     | 0.02%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.0 SD1406 08-01-52                 | CUSIP: 3132DNR39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    119891 | PA      | $97072.15     | 0.08%             | 2052-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 2.0 FS6605 06-01-52                 | CUSIP: 3140XNKT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    676096 | PA      | $547356.11    | 0.44%             | 2052-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                       | FNCL UMBS 6.0 MA5587 01-01-55                 | CUSIP: 31418FF51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    230046 | PA      | $236336.03    | 0.19%             | 2055-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 2.0 RA6816 02-01-52                 | CUSIP: 3133KNSD6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     16505 | PA      | $13359.71     | 0.01%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 4.5 RJ3264 02-01-55                 | CUSIP: 3142GTTW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    270611 | PA      | $264396.23    | 0.21%             | 2055-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                             | FNCL UMBS 6.0 SD8507 02-01-55                 | CUSIP: 3132DWNY5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    737010 | PA      | $757192.91    | 0.60%             | 2055-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2026-02-25

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

**Signature:** Scott Lewis

**Name of Signer:** Scott Lewis

**Title:** Compliance Specialist Senior