# EDGAR Filing Document

**Accession Number:** 0000837274
**File Stem:** 0002071691-26-012266
**Filing Date:** 2026-5
**Character Count:** 274729
**Document Hash:** 2cd5494a3a5d5e2168fa24dc426e0e8e
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0002071691-26-012266.hdr.sgml**: 20260527

**ACCESSION NUMBER**: 0002071691-26-012266

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20260331

**FILED AS OF DATE**: 20260527

**DATE AS OF CHANGE**: 20260527

**PERIOD START**: 20261231

**FILER**: 

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

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

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-05583
- **FILM NUMBER:** 261024659

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

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

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

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

## Series and Classes Contracts Data

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

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

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** Franklin Templeton Variable Insurance Products Trust

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

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

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

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

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

  - **City:** San Mateo

  - **State:** CA

  - **Foreign country:** US

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

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

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

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

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

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

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

- **a. Date of fiscal year-end:** 2026-12-31

- **b. Date as of which information is reported:** 2026-03-31

**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:** $486369881.29

**Total Liabilities:** $375071.77

**Net Assets:** $485994809.52

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -0.01000000 | **1-Year:** -8969.02000000 | **5-Year:** -10547.86000000 | **10-Year:** -58885.62000000 | **30-Year:** -120925.23000000

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

- **3-Month:** 0.00000000 | **1-Year:** -38.98000000 | **5-Year:** -138.28000000 | **10-Year:** 0.00000000 | **30-Year:** 0.00000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000020103 | 0.48%                | 1.33%                | -1.40%               |
| Class ID C000020102 | 0.56%                | 1.29%                | -1.28%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $8237.56                 | $1295042.93                                |
| Month 2  | $0.00                    | $5453457.72                                |
| Month 3  | $0.00                    | $-7823370.50                               |

### Schedule of Portfolio Investments

| Name                                                     | Title                                                    | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36202DNX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6254 | PA      | $6474.83      | 0.00%             | 2031-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA, 30 Year                                            | CUSIP: 31384WM23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1123 | PA      | $1161.27      | 0.00%             | 2031-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36296QDE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     53317 | PA      | $55465.21     | 0.01%             | 2038-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC Gold Pool, 30 Year                                 | CUSIP: 31297DT40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     64125 | PA      | $66560.76     | 0.01%             | 2034-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36213HL80<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1846 | PA      | $1897.17      | 0.00%             | 2031-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36198QTT5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     28393 | PA      | $27110.26     | 0.01%             | 2044-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31404RUK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9001 | PA      | $9241.62      | 0.00%             | 2034-03-01      | Variable      | 5.55%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36202DZF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    209577 | PA      | $213845.79    | 0.04%             | 2033-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31378QHM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1159 | PA      | $1165.38      | 0.00%             | 2037-12-01      | Variable      | 5.95%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31404WPZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1898 | PA      | $1937.66      | 0.00%             | 2034-06-01      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC Gold Pool, 30 Year                                 | CUSIP: 31293TF77<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       304 | PA      | $317.54       | 0.00%             | 2029-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36202EGR4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    161893 | PA      | $169691.12    | 0.03%             | 2036-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31402Q5Q0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       904 | PA      | $938.93       | 0.00%             | 2035-02-01      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA, 30 Year                                            | CUSIP: 31418D3Y6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  16555687 | PA      | $14048959.27  | 2.89%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36179WLQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4711821 | PA      | $4212479.32   | 0.87%             | 2051-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC Gold Pool, 30 Year                                 | CUSIP: 312933T95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    115440 | PA      | $116876.35    | 0.02%             | 2039-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36202DPR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1168 | PA      | $1198.32      | 0.00%             | 2031-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31385Y2D6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       551 | PA      | $559.08       | 0.00%             | 2040-06-01      | Variable      | 5.26%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA, 30 Year                                            | CUSIP: 31406TTT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25553 | PA      | $25694.80     | 0.01%             | 2035-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36202CYS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       715 | PA      | $742.29       | 0.00%             | 2027-12-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36198RNE2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12247 | PA      | $11755.19     | 0.00%             | 2044-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA, 30 Year                                            | CUSIP: 31415QMT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    114919 | PA      | $118032.80    | 0.02%             | 2038-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31402TH24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10235 | PA      | $10443.20     | 0.00%             | 2033-08-01      | Variable      | 6.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA, 30 Year                                            | CUSIP: 31406P3F4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    369574 | PA      | $373705.89    | 0.08%             | 2035-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36200KNB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3927 | PA      | $3949.66      | 0.00%             | 2033-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36210VUU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2570 | PA      | $2581.39      | 0.00%             | 2029-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA, 30 Year                                            | CUSIP: 31407JDD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28102 | PA      | $29804.54     | 0.01%             | 2036-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36179YS62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3946830 | PA      | $4005783.94   | 0.82%             | 2054-03-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31403NKS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5041 | PA      | $5100.74      | 0.00%             | 2033-09-01      | Variable      | 5.89%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31406NYV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21550 | PA      | $22158.89     | 0.00%             | 2035-02-01      | Variable      | 5.91%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31385XHB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        30 | PA      | $30.15        | 0.00%             | 2033-05-01      | Variable      | 6.61%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36201A2R8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       405 | PA      | $413.64       | 0.00%             | 2031-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36202FCM6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    244928 | PA      | $234739.04    | 0.05%             | 2039-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36202C6G3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3504 | PA      | $3577.32      | 0.00%             | 2028-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA, 30 Year                                            | CUSIP: 31418D2N1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3169049 | PA      | $2804312.51   | 0.58%             | 2051-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36212J3A2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     15254 | PA      | $15292.75     | 0.00%             | 2033-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36292LGX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6754 | PA      | $6974.27      | 0.00%             | 2036-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36202E7K9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     28807 | PA      | $30194.62     | 0.01%             | 2039-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31386TRN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       941 | PA      | $938.48       | 0.00%             | 2041-02-01      | Variable      | 5.06%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36202FM78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    264767 | PA      | $255000.69    | 0.05%             | 2040-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31406X7G1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2716 | PA      | $2780.97      | 0.00%             | 2035-04-01      | Variable      | 6.06%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA, 30 Year                                            | CUSIP: 3140QEBU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         0 | PA      | $0.01         | 0.00%             | 2050-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36202FXC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1336740 | PA      | $1325574.61   | 0.27%             | 2041-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 3620AM2U5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    178515 | PA      | $176153.64    | 0.04%             | 2041-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36200DHY2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8118 | PA      | $8141.15      | 0.00%             | 2033-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA, 30 Year                                            | CUSIP: 31376J4B2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16665 | PA      | $17145.74     | 0.00%             | 2032-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36202ET25<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     37964 | PA      | $39197.97     | 0.01%             | 2038-06-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA, 30 Year                                            | CUSIP: 31405SDH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20889 | PA      | $21070.48     | 0.00%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31385WVC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       454 | PA      | $453.44       | 0.00%             | 2027-09-01      | Variable      | 5.35%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36208WGW7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       761 | PA      | $767.02       | 0.00%             | 2028-04-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36210GEC4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11413 | PA      | $11458.46     | 0.00%             | 2029-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36202EHF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10895 | PA      | $11248.75     | 0.00%             | 2036-03-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36189EKA3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     28747 | PA      | $27564.14     | 0.01%             | 2045-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31407DUE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       572 | PA      | $585.46       | 0.00%             | 2035-05-01      | Variable      | 5.92%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC Gold Pool, 30 Year                                 | CUSIP: 3128MJAX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    151321 | PA      | $155210.74    | 0.03%             | 2034-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31414CPN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11107 | PA      | $11407.35     | 0.00%             | 2035-06-01      | Variable      | 5.90%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36182WCW1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    377918 | PA      | $362584.02    | 0.07%             | 2044-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36201FX69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7185 | PA      | $7388.97      | 0.00%             | 2032-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA, 30 Year                                            | CUSIP: 31416BTA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    161489 | PA      | $162581.47    | 0.03%             | 2039-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36202FVF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    304950 | PA      | $293447.69    | 0.06%             | 2041-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36202CSK0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       185 | PA      | $185.51       | 0.00%             | 2026-11-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36290RQP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3106 | PA      | $3156.82      | 0.00%             | 2033-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36179MK74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1603583 | PA      | $1520790.91   | 0.31%             | 2042-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA, 30 Year                                            | CUSIP: 31418D3H3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7501730 | PA      | $6367050.02   | 1.31%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31385XPP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       175 | PA      | $175.52       | 0.00%             | 2033-09-01      | Variable      | 5.36%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36179QR29<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    663194 | PA      | $655810.96    | 0.13%             | 2044-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36202FTL0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    506701 | PA      | $502572.81    | 0.10%             | 2041-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36184QAK0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     22525 | PA      | $21454.18     | 0.00%             | 2045-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC Gold Pool, 30 Year                                 | CUSIP: 3128K7ND6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     38236 | PA      | $39187.30     | 0.01%             | 2035-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36179R7H6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4441111 | PA      | $4019598.81   | 0.83%             | 2046-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31410MHH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       207 | PA      | $211.36       | 0.00%             | 2036-04-01      | Variable      | 5.92%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, 30 Year                                          | CUSIP: 3622AATC8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5131927 | PA      | $5190155.08   | 1.07%             | 2040-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36294SD20<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     21253 | PA      | $22358.73     | 0.00%             | 2036-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36179WTX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8879301 | PA      | $7345617.09   | 1.51%             | 2051-12-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36212KXF5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     76587 | PA      | $78934.25     | 0.02%             | 2037-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31385HWQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       895 | PA      | $905.52       | 0.00%             | 2040-12-01      | Variable      | 6.12%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36179MX47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3896521 | PA      | $3695226.99   | 0.76%             | 2043-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36296YDR0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     58162 | PA      | $55745.48     | 0.01%             | 2044-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36179NBB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1680074 | PA      | $1593099.42   | 0.33%             | 2043-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA, 30 Year                                            | CUSIP: 31400TX85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21067 | PA      | $21191.03     | 0.00%             | 2033-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36202DPD7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     18121 | PA      | $18833.64     | 0.00%             | 2031-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA, 15 Year                                            | CUSIP: 3140QE5Z1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1404044 | PA      | $1298481.75   | 0.27%             | 2035-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                               | FHLMC Pool, 30 Year                                      | CUSIP: 3133KKY29<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3762798 | PA      | $3080610.77   | 0.63%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31385HJD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       385 | PA      | $381.13       | 0.00%             | 2034-09-01      | Variable      | 5.37%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31402RTY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13060 | PA      | $13353.16     | 0.00%             | 2038-03-01      | Variable      | 5.88%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36179TG41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  11986056 | PA      | $11255395.78  | 2.32%             | 2047-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36194GMJ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     27106 | PA      | $25730.61     | 0.01%             | 2046-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31402RHU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15180 | PA      | $15264.25     | 0.00%             | 2042-08-01      | Variable      | 5.06%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36179M5M8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1369545 | PA      | $1296789.83   | 0.27%             | 2043-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36297FTW2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    141853 | PA      | $141296.45    | 0.03%             | 2039-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31411DUV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1444 | PA      | $1487.06      | 0.00%             | 2036-12-01      | Variable      | 6.41%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31411BAT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        21 | PA      | $21.46        | 0.00%             | 2036-11-01      | Variable      | 6.32%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC Gold Pool, 30 Year                                 | CUSIP: 31296WUR6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2006 | PA      | $2001.71      | 0.00%             | 2034-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36200ME74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11906 | PA      | $12003.10     | 0.00%             | 2033-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36183QFD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     15204 | PA      | $14587.12     | 0.00%             | 2045-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31373TVT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       421 | PA      | $417.97       | 0.00%             | 2028-10-01      | Variable      | 4.49%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA, 30 Year                                            | CUSIP: 31418FQH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4060410 | PA      | $4200022.61   | 0.86%             | 2055-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36183CA97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5916 | PA      | $5616.75      | 0.00%             | 2044-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31361ELT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        45 | PA      | $44.46        | 0.00%             | 2026-06-01      | Variable      | 4.03%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31402DKW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    286979 | PA      | $294909.72    | 0.06%             | 2034-08-01      | Variable      | 6.68%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31385H5Z1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4267 | PA      | $4320.28      | 0.00%             | 2030-12-01      | Variable      | 5.84%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36202D6E6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    101526 | PA      | $104758.72    | 0.02%             | 2034-06-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36202EHS1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     52640 | PA      | $54347.99     | 0.01%             | 2036-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36202EHT9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5974 | PA      | $6262.01      | 0.00%             | 2036-04-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36202FWA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    672564 | PA      | $684694.90    | 0.14%             | 2041-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36184FN87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4793 | PA      | $4516.58      | 0.00%             | 2045-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36184YG27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     60529 | PA      | $57716.25     | 0.01%             | 2045-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC Gold Pool, 30 Year                                 | CUSIP: 312945RU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    672200 | PA      | $650403.58    | 0.13%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36177PER2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    148486 | PA      | $136198.57    | 0.03%             | 2042-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31402A4W3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1716 | PA      | $1754.85      | 0.00%             | 2033-06-01      | Variable      | 6.12%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36294WXU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     96138 | PA      | $95653.93     | 0.02%             | 2039-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31388JK53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3303 | PA      | $3337.67      | 0.00%             | 2031-09-01      | Variable      | 6.16%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31384V6Q0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        91 | PA      | $91.58        | 0.00%             | 2040-04-01      | Variable      | 6.18%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC Gold Pool, 30 Year                                 | CUSIP: 31297ATW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6528 | PA      | $6759.10      | 0.00%             | 2034-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36296RZY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6627 | PA      | $6691.22      | 0.00%             | 2038-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31403JRR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5940 | PA      | $6121.54      | 0.00%             | 2033-10-01      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31385XUU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       608 | PA      | $606.28       | 0.00%             | 2033-11-01      | Variable      | 5.22%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 3138ELZT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    381020 | PA      | $393745.74    | 0.08%             | 2038-07-01      | Variable      | 6.22%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36194GRA4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     59753 | PA      | $56738.86     | 0.01%             | 2046-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36183JZU8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     16604 | PA      | $15889.14     | 0.00%             | 2044-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36201TJV0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    103444 | PA      | $105488.53    | 0.02%             | 2033-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC Gold Pool, 30 Year                                 | CUSIP: 312942FQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    126113 | PA      | $122102.00    | 0.03%             | 2040-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA, 30 Year                                            | CUSIP: 3138AJKX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    667282 | PA      | $644834.07    | 0.13%             | 2041-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 3620A9PN5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     22831 | PA      | $23454.77     | 0.00%             | 2039-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA, 30 Year                                            | CUSIP: 3138A3S65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     45331 | PA      | $43806.94     | 0.01%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31414CNT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    399295 | PA      | $412499.32    | 0.08%             | 2035-09-01      | Variable      | 6.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31402QUK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1886 | PA      | $1937.09      | 0.00%             | 2034-06-01      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 3620APKB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     95709 | PA      | $94625.82     | 0.02%             | 2040-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC Gold Pool, 30 Year                                 | CUSIP: 3132J9GM4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    110485 | PA      | $101426.59    | 0.02%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36294VHH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     94105 | PA      | $97615.80     | 0.02%             | 2037-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36179WQB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  12604754 | PA      | $11274563.47  | 2.32%             | 2051-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 3620AAJ82<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7306 | PA      | $7477.67      | 0.00%             | 2039-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36212NA49<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       872 | PA      | $897.69       | 0.00%             | 2032-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31402RTR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12655 | PA      | $13006.06     | 0.00%             | 2035-09-01      | Variable      | 6.28%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31403DRK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       304 | PA      | $311.34       | 0.00%             | 2036-08-01      | Variable      | 6.16%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36202FHX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    214538 | PA      | $212868.02    | 0.04%             | 2040-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36202FM60<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         0 | PA      | $0.00         | 0.00%             | 2040-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 3620AL3R3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    185945 | PA      | $183763.29    | 0.04%             | 2041-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36291AVD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12591 | PA      | $12873.16     | 0.00%             | 2033-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31414FXN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       326 | PA      | $331.15       | 0.00%             | 2038-09-01      | Variable      | 5.92%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31413RZM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2288 | PA      | $2376.83      | 0.00%             | 2037-10-01      | Variable      | 6.32%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31401DVU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3126 | PA      | $3207.45      | 0.00%             | 2033-04-01      | Variable      | 6.21%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31384WMQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       213 | PA      | $214.53       | 0.00%             | 2031-05-01      | Variable      | 5.81%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36295FGB4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     16767 | PA      | $17250.78     | 0.00%             | 2037-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31406BJJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2196 | PA      | $2238.97      | 0.00%             | 2034-12-01      | Variable      | 5.79%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36179Y5L4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8369661 | PA      | $8446764.60   | 1.74%             | 2054-08-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA, 30 Year                                            | CUSIP: 31371KEW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        30 | PA      | $30.69        | 0.00%             | 2031-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36202EH44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8561 | PA      | $8794.18      | 0.00%             | 2036-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA, 30 Year                                            | CUSIP: 31418D7F3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5256952 | PA      | $4456890.97   | 0.92%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31407XWX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6321 | PA      | $6466.35      | 0.00%             | 2035-11-01      | Variable      | 5.88%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 3617AACV4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     32965 | PA      | $31502.72     | 0.01%             | 2045-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 3620AAMB1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     30619 | PA      | $30234.97     | 0.01%             | 2039-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36201FTT4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1148 | PA      | $1168.14      | 0.00%             | 2032-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 3138LADF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4000000 | PA      | $3962338.52   | 0.82%             | 2027-07-01      | Fixed         | 3.28%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC Gold Pool, 30 Year                                 | CUSIP: 31296KQD8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3571 | PA      | $3595.26      | 0.00%             | 2033-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31413DTG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8947 | PA      | $9173.70      | 0.00%             | 2037-08-01      | Variable      | 6.27%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31402CUL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       585 | PA      | $594.81       | 0.00%             | 2033-07-01      | Variable      | 6.21%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36201J7L7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4649 | PA      | $4690.97      | 0.00%             | 2032-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA, 30 Year                                            | CUSIP: 31418BSY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7172196 | PA      | $6762241.41   | 1.39%             | 2045-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA, 30 Year                                            | CUSIP: 31402YJL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4737 | PA      | $4762.73      | 0.00%             | 2033-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36201P3P8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9881 | PA      | $10066.98     | 0.00%             | 2032-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36201DRB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7170 | PA      | $7190.92      | 0.00%             | 2033-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, 30 Year                                          | CUSIP: 36241KLV8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     48247 | PA      | $50858.29     | 0.01%             | 2037-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                               | FHLMC Pool, 30 Year                                      | CUSIP: 3132A5EL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6045499 | PA      | $5816997.19   | 1.20%             | 2045-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31402DLW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5848 | PA      | $5947.05      | 0.00%             | 2037-02-01      | Variable      | 5.86%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36183QWR2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     22197 | PA      | $21284.13     | 0.00%             | 2045-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36200KMZ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3596 | PA      | $3616.05      | 0.00%             | 2033-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC Gold Pool, 30 Year                                 | CUSIP: 31292GV45<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1817 | PA      | $1854.51      | 0.00%             | 2028-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36202FDC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     60520 | PA      | $61703.61     | 0.01%             | 2039-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA, 30 Year                                            | CUSIP: 31419AX44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    881151 | PA      | $872522.74    | 0.18%             | 2040-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36201QRF2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10024 | PA      | $10051.58     | 0.00%             | 2033-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31391UVX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14984 | PA      | $15233.85     | 0.00%             | 2033-01-01      | Variable      | 5.83%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36202ED55<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     27008 | PA      | $27883.28     | 0.01%             | 2035-06-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA, 30 Year                                            | CUSIP: 31418E3E8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2892933 | PA      | $2911244.08   | 0.60%             | 2054-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, 30 Year                                          | CUSIP: 36241KKY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8630 | PA      | $9098.44      | 0.00%             | 2036-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31388KXA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3743 | PA      | $3804.32      | 0.00%             | 2031-11-01      | Variable      | 5.93%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36198RH58<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     49257 | PA      | $47259.04     | 0.01%             | 2044-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36179YYY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2088348 | PA      | $2181801.24   | 0.45%             | 2054-06-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 3620A9TV3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     23120 | PA      | $23983.81     | 0.00%             | 2039-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31371LLA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1143 | PA      | $1166.68      | 0.00%             | 2033-12-01      | Variable      | 6.13%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31403GMW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       403 | PA      | $411.72       | 0.00%             | 2033-08-01      | Variable      | 6.34%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36179YW75<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2155167 | PA      | $2243612.95   | 0.46%             | 2054-05-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36200KNA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12339 | PA      | $12690.39     | 0.00%             | 2033-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31390UER3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15013 | PA      | $15363.80     | 0.00%             | 2032-07-01      | Variable      | 6.13%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36181CBF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    296381 | PA      | $280012.20    | 0.06%             | 2044-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36179WLP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  24674959 | PA      | $21256808.85  | 4.37%             | 2051-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 3620ASDT3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     80592 | PA      | $80002.09     | 0.02%             | 2041-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36184CSE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    136821 | PA      | $131159.57    | 0.03%             | 2045-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36183X2F6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4088 | PA      | $3962.88      | 0.00%             | 2045-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31411EP76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1322 | PA      | $1358.83      | 0.00%             | 2037-01-01      | Variable      | 6.12%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC Gold Pool, 30 Year                                 | CUSIP: 31296NT72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     23105 | PA      | $23612.38     | 0.00%             | 2033-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36183CNK8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     38601 | PA      | $36826.54     | 0.01%             | 2044-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31404MN79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7174 | PA      | $7341.83      | 0.00%             | 2034-03-01      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 3138ELMS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2254276 | PA      | $2321807.57   | 0.48%             | 2037-09-01      | Variable      | 6.58%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36179TLS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3210117 | PA      | $3018392.23   | 0.62%             | 2047-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36213UY53<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     30146 | PA      | $30307.96     | 0.01%             | 2033-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC Gold Pool, 30 Year                                 | CUSIP: 31296NUK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3474 | PA      | $3515.18      | 0.00%             | 2033-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31403LQJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2439 | PA      | $2505.99      | 0.00%             | 2033-10-01      | Variable      | 6.31%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA, 30 Year                                            | CUSIP: 31418D3G5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         0 | PA      | $0.01         | 0.00%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA, 30 Year                                            | CUSIP: 31418EVA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7564765 | PA      | $7751531.09   | 1.59%             | 2053-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31410GJK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       176 | PA      | $177.23       | 0.00%             | 2032-01-01      | Variable      | 6.28%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31385XEK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2584 | PA      | $2639.11      | 0.00%             | 2033-05-01      | Variable      | 6.09%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA, 30 Year                                            | CUSIP: 31400RDJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8907 | PA      | $9091.17      | 0.00%             | 2033-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36183QPK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12353 | PA      | $11851.94     | 0.00%             | 2044-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, 30 Year                                          | CUSIP: 36225BUB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12465 | PA      | $13065.68     | 0.00%             | 2032-03-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31374TZQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       117 | PA      | $117.25       | 0.00%             | 2029-07-01      | Variable      | 5.70%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31405KMW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       312 | PA      | $319.27       | 0.00%             | 2034-08-01      | Variable      | 6.17%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC Gold Pool, 30 Year                                 | CUSIP: 31283HN43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3287 | PA      | $3457.43      | 0.00%             | 2031-09-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36202EJH3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     29344 | PA      | $30296.61     | 0.01%             | 2036-06-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36213EMC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       705 | PA      | $713.60       | 0.00%             | 2031-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 3620ARE56<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     77576 | PA      | $76499.50     | 0.02%             | 2040-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36200NZU8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2143 | PA      | $2182.04      | 0.00%             | 2034-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31410FGX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       652 | PA      | $672.97       | 0.00%             | 2036-08-01      | Variable      | 6.67%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA, 30 Year                                            | CUSIP: 3138MRDW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     38625 | PA      | $35556.52     | 0.01%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31404GHQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3977 | PA      | $4024.60      | 0.00%             | 2034-02-01      | Variable      | 5.52%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36200HF74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     19317 | PA      | $19368.46     | 0.00%             | 2033-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31414BEL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25116 | PA      | $26070.54     | 0.01%             | 2038-03-01      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36295R4C9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    811437 | PA      | $818241.41    | 0.17%             | 2039-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31400QSS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2296 | PA      | $2333.68      | 0.00%             | 2033-03-01      | Variable      | 5.77%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36202FMA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    537464 | PA      | $520234.14    | 0.11%             | 2040-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31402VRV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9106 | PA      | $9314.89      | 0.00%             | 2033-09-01      | Variable      | 6.16%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36295GVQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    171024 | PA      | $178857.86    | 0.04%             | 2037-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31402FRU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        71 | PA      | $71.13        | 0.00%             | 2028-06-01      | Variable      | 6.11%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36202FGY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    114506 | PA      | $117028.08    | 0.02%             | 2040-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36200CSL0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13207 | PA      | $13436.72     | 0.00%             | 2033-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                               | FHLMC Pool, 30 Year                                      | CUSIP: 3132DWC84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         0 | PA      | $0.00         | 0.00%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36183CAK2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6204 | PA      | $5893.99      | 0.00%             | 2044-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31386GGH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14303 | PA      | $14538.45     | 0.00%             | 2030-11-01      | Variable      | 5.89%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36290URF5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13728 | PA      | $13589.83     | 0.00%             | 2040-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, 30 Year                                          | CUSIP: 36225BBA5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1178 | PA      | $1198.58      | 0.00%             | 2028-12-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36179MVS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2289700 | PA      | $2171414.36   | 0.45%             | 2042-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36176AFA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4016 | PA      | $3922.73      | 0.00%             | 2041-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36202EUU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     61513 | PA      | $65165.64     | 0.01%             | 2038-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 3620AAJ58<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     20033 | PA      | $20701.80     | 0.00%             | 2039-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31386XY91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1619 | PA      | $1624.41      | 0.00%             | 2041-02-01      | Variable      | 5.06%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36179WG36<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8720960 | PA      | $7513357.84   | 1.55%             | 2051-06-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36213D3C0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       187 | PA      | $189.89       | 0.00%             | 2032-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36201SU49<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12531 | PA      | $12682.12     | 0.00%             | 2033-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA, 30 Year                                            | CUSIP: 31402GR88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5059 | PA      | $5093.06      | 0.00%             | 2033-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC Gold Pool, 30 Year                                 | CUSIP: 3129397F2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1210580 | PA      | $1225650.21   | 0.25%             | 2040-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36179Q3H2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    385726 | PA      | $350791.56    | 0.07%             | 2045-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31412EJ23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2071 | PA      | $2106.50      | 0.00%             | 2037-02-01      | Variable      | 5.46%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, 30 Year                                          | CUSIP: 36225BND6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5237 | PA      | $5428.89      | 0.00%             | 2031-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36201BL38<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     16049 | PA      | $16252.05     | 0.00%             | 2032-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA, 30 Year                                            | CUSIP: 31418U4W1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    286797 | PA      | $290007.81    | 0.06%             | 2040-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36213CPZ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3869 | PA      | $3920.40      | 0.00%             | 2031-04-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36202FY67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1570541 | PA      | $1510973.71   | 0.31%             | 2041-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31402Q4J7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3146 | PA      | $3226.87      | 0.00%             | 2033-11-01      | Variable      | 6.11%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36182WC35<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     60768 | PA      | $57551.34     | 0.01%             | 2044-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31385SBX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8338 | PA      | $8483.97      | 0.00%             | 2030-05-01      | Variable      | 6.28%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31409XZZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6197 | PA      | $6396.32      | 0.00%             | 2036-02-01      | Variable      | 6.41%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36177LW34<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6677 | PA      | $6464.33      | 0.00%             | 2041-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36179MQS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    135619 | PA      | $138249.25    | 0.03%             | 2042-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36184YG35<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     69953 | PA      | $66439.03     | 0.01%             | 2045-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31384VWA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       277 | PA      | $280.83       | 0.00%             | 2039-09-01      | Variable      | 6.22%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36202F4S2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    973317 | PA      | $965236.71    | 0.20%             | 2042-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 3138EGEG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2937 | PA      | $3037.80      | 0.00%             | 2036-09-01      | Variable      | 6.13%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36183MUW2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11903 | PA      | $11336.95     | 0.00%             | 2044-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31412SVV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       264 | PA      | $270.36       | 0.00%             | 2038-07-01      | Variable      | 6.37%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, 30 Year                                          | CUSIP: 36241KWF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11253 | PA      | $11689.84     | 0.00%             | 2033-08-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC Gold Pool, 30 Year                                 | CUSIP: 31296WCS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     62594 | PA      | $63351.17     | 0.01%             | 2034-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31384V7K2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1213 | PA      | $1211.66      | 0.00%             | 2040-10-01      | Variable      | 5.26%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31400DAX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14700 | PA      | $15154.91     | 0.00%             | 2033-02-01      | Variable      | 6.38%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36296Q3C1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     95942 | PA      | $95565.91     | 0.02%             | 2039-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA, 30 Year                                            | CUSIP: 31405UW54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     48268 | PA      | $49218.06     | 0.01%             | 2034-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA, 30 Year                                            | CUSIP: 31418D6C1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3846410 | PA      | $3262228.70   | 0.67%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA, 30 Year                                            | CUSIP: 31416WVK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    243896 | PA      | $246625.69    | 0.05%             | 2040-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36202DS51<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1946 | PA      | $2049.76      | 0.00%             | 2032-05-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36202FP67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    265204 | PA      | $255366.59    | 0.05%             | 2041-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 3138EJ4Z8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    554907 | PA      | $570889.05    | 0.12%             | 2038-07-01      | Variable      | 6.09%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 3618N5VS5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10663781 | PA      | $10852875.43  | 2.23%             | 2055-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 3620ASEX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     49260 | PA      | $48509.91     | 0.01%             | 2041-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36202EBE8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     90564 | PA      | $94199.58     | 0.02%             | 2034-11-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA, 30 Year                                            | CUSIP: 31376KLJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     51241 | PA      | $51686.75     | 0.01%             | 2035-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, 30 Year                                          | CUSIP: 36225BXY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8747 | PA      | $9062.66      | 0.00%             | 2033-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31411HGX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       406 | PA      | $416.54       | 0.00%             | 2037-04-01      | Variable      | 6.58%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31400ANW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4200 | PA      | $4274.74      | 0.00%             | 2033-02-01      | Variable      | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31384V7B2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        49 | PA      | $49.12        | 0.00%             | 2030-03-01      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31389L3H0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1123 | PA      | $1140.71      | 0.00%             | 2032-04-01      | Variable      | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31402CYR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1185 | PA      | $1212.82      | 0.00%             | 2039-08-01      | Variable      | 6.18%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31389GPV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5030 | PA      | $5096.78      | 0.00%             | 2032-01-01      | Variable      | 5.74%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31419AL88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6288 | PA      | $6558.52      | 0.00%             | 2040-09-01      | Variable      | 6.54%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC Gold Pool, 30 Year                                 | CUSIP: 31296NXA0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4650 | PA      | $4729.73      | 0.00%             | 2033-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA, 30 Year                                            | CUSIP: 31389X2H5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28764 | PA      | $29745.86     | 0.01%             | 2029-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                 | U.S. Treasury Notes                                      | CUSIP: 91282CLC3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  24000000 | PA      | $24110625.12  | 4.96%             | 2029-07-31      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31402C7G1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        61 | PA      | $61.61        | 0.00%             | 2034-02-01      | Variable      | 6.04%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 3617AAVK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     50512 | PA      | $48196.31     | 0.01%             | 2045-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36200MFY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5236 | PA      | $5344.32      | 0.00%             | 2033-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31406RA70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14025 | PA      | $14200.41     | 0.00%             | 2035-07-01      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31402RBH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       535 | PA      | $548.81       | 0.00%             | 2034-11-01      | Variable      | 6.39%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA, 30 Year                                            | CUSIP: 31404JBY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22210 | PA      | $22265.93     | 0.00%             | 2034-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31407JNQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       683 | PA      | $698.82       | 0.00%             | 2035-07-01      | Variable      | 6.17%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31408GX28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3032 | PA      | $3133.73      | 0.00%             | 2035-09-01      | Variable      | 6.34%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31403CZ95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       495 | PA      | $509.78       | 0.00%             | 2035-09-01      | Variable      | 6.42%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36294V7K0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     28354 | PA      | $29240.60     | 0.01%             | 2037-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31402RPM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     54485 | PA      | $55954.90     | 0.01%             | 2035-06-01      | Variable      | 5.84%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36202TP26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     25760 | PA      | $26682.23     | 0.01%             | 2036-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36209SMV0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10154 | PA      | $10161.87     | 0.00%             | 2029-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36201MWZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     14960 | PA      | $15042.75     | 0.00%             | 2033-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31410F3M5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       182 | PA      | $184.51       | 0.00%             | 2037-04-01      | Variable      | 5.29%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36202CZ48<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8339 | PA      | $8663.11      | 0.00%             | 2028-03-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36202DMR9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3499 | PA      | $3636.92      | 0.00%             | 2031-04-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, 30 Year                                          | CUSIP: 36225BQ92<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2312 | PA      | $2416.69      | 0.00%             | 2031-12-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36200SR28<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5192 | PA      | $5358.76      | 0.00%             | 2031-09-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                               | FHLMC Pool, 15 Year                                      | CUSIP: 3132CWPH1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         0 | PA      | $0.00         | 0.00%             | 2035-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC Gold Pool, 30 Year                                 | CUSIP: 31288JZB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     33512 | PA      | $35079.57     | 0.01%             | 2032-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36179WY85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5667723 | PA      | $4688760.91   | 0.96%             | 2052-03-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31400VP89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       473 | PA      | $472.94       | 0.00%             | 2028-03-01      | Variable      | 5.47%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36202FPG5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    206152 | PA      | $204504.33    | 0.04%             | 2041-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36182YTK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     27204 | PA      | $25963.93     | 0.01%             | 2044-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36182Q2Z8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10058 | PA      | $9564.49      | 0.00%             | 2044-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36295CLM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11651 | PA      | $10710.43     | 0.00%             | 2042-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                               | FHLMC Pool, 30 Year                                      | CUSIP: 3132DWF65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10478030 | PA      | $10575030.57  | 2.18%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Private Export Funding Corp.                             | Private Export Funding Corp., Series TT                  | CUSIP: 742651EC2<br>LEI: CYQE6SAYPFKNQJ6FMH60 | Long             | DBT              | CORP              | US        |   9075000 | PA      | $8885034.30   | 1.83%             | 2030-03-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36201TNM5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3359 | PA      | $3368.43      | 0.00%             | 2033-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31402QX48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5564 | PA      | $5688.83      | 0.00%             | 2035-01-01      | Variable      | 5.99%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA, 30 Year                                            | CUSIP: 31418D3Z3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2655081 | PA      | $2344560.36   | 0.48%             | 2051-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36179WLN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3965705 | PA      | $3280725.41   | 0.68%             | 2051-08-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36209GTV9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1189 | PA      | $1210.47      | 0.00%             | 2033-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36179MSX9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2912445 | PA      | $2761988.28   | 0.57%             | 2042-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC Gold Pool, 30 Year                                 | CUSIP: 312940M30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    106744 | PA      | $105830.35    | 0.02%             | 2040-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36213JU60<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3190 | PA      | $3216.04      | 0.00%             | 2031-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31391DND1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3464 | PA      | $3539.97      | 0.00%             | 2032-09-01      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 3620A3VP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    215564 | PA      | $213842.67    | 0.04%             | 2039-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36295WJB4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     41339 | PA      | $41062.16     | 0.01%             | 2040-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                    | CUSIP: 3128S5VW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    637631 | PA      | $655097.81    | 0.13%             | 2037-06-01      | Variable      | 6.39%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36184KQ34<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     21016 | PA      | $19983.54     | 0.00%             | 2045-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36202C2H5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       667 | PA      | $678.83       | 0.00%             | 2028-04-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36201GSJ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6401 | PA      | $6569.35      | 0.00%             | 2032-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36208PTR9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4189 | PA      | $4299.80      | 0.00%             | 2028-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36183PM61<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     16622 | PA      | $15931.27     | 0.00%             | 2045-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36183CBA3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     18705 | PA      | $17935.62     | 0.00%             | 2044-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36201MBY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13413 | PA      | $13590.22     | 0.00%             | 2032-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31416BLR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1086 | PA      | $1116.72      | 0.00%             | 2038-09-01      | Variable      | 6.55%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31400AMD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1878 | PA      | $1918.76      | 0.00%             | 2033-01-01      | Variable      | 5.80%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36183KED6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     32863 | PA      | $31391.24     | 0.01%             | 2044-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36183QD44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     27136 | PA      | $25940.22     | 0.01%             | 2044-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31402RHT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10519 | PA      | $10528.30     | 0.00%             | 2042-08-01      | Variable      | 5.06%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36179WJS8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  12082184 | PA      | $10807225.60  | 2.22%             | 2051-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36202FGE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    119560 | PA      | $121828.59    | 0.03%             | 2040-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31363EHV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        38 | PA      | $38.23        | 0.00%             | 2029-06-01      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36179S5L7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7148464 | PA      | $6725259.63   | 1.38%             | 2047-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, 30 Year                                          | CUSIP: 36241KYX0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     78403 | PA      | $81553.31     | 0.02%             | 2036-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31409UWM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13988 | PA      | $14498.44     | 0.00%             | 2035-11-01      | Variable      | 5.59%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31385XG35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25500 | PA      | $26322.62     | 0.01%             | 2033-06-01      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36179VVX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5616273 | PA      | $4648853.22   | 0.96%             | 2050-10-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36200JUK4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4407 | PA      | $4424.28      | 0.00%             | 2033-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, 30 Year                                          | CUSIP: 36225BHJ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       776 | PA      | $790.98       | 0.00%             | 2030-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31409XQG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23536 | PA      | $24109.36     | 0.00%             | 2036-03-01      | Variable      | 5.65%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA, 30 Year                                            | CUSIP: 31407F5W6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5991 | PA      | $6008.34      | 0.00%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 3620C3S86<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     15022 | PA      | $14911.69     | 0.00%             | 2040-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36213JJ89<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3434 | PA      | $3518.07      | 0.00%             | 2032-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36185BQT6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3507 | PA      | $3347.39      | 0.00%             | 2045-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36179MVR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     46754 | PA      | $42878.06     | 0.01%             | 2042-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36295WJC2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    202647 | PA      | $201414.33    | 0.04%             | 2040-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31402RH69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5599 | PA      | $5602.71      | 0.00%             | 2044-10-01      | Variable      | 5.06%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31390AHA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2194 | PA      | $2241.24      | 0.00%             | 2032-04-01      | Variable      | 6.40%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36202ECP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    149102 | PA      | $153151.43    | 0.03%             | 2035-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31384VJ60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       198 | PA      | $199.14       | 0.00%             | 2028-07-01      | Variable      | 6.45%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36200K5S2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10959 | PA      | $11306.73     | 0.00%             | 2033-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36296NTU0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     18913 | PA      | $19635.80     | 0.00%             | 2038-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36198RQC3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     26722 | PA      | $25536.48     | 0.01%             | 2044-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36202FXB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    194270 | PA      | $186902.43    | 0.04%             | 2041-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36213UYW4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13380 | PA      | $13465.21     | 0.00%             | 2033-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC Gold Pool, 30 Year                                 | CUSIP: 31292HVC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11863 | PA      | $12241.31     | 0.00%             | 2033-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36213ADK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8222 | PA      | $8245.52      | 0.00%             | 2033-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31403YHN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10026 | PA      | $10295.03     | 0.00%             | 2033-12-01      | Variable      | 5.91%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36180AAE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5109285 | PA      | $5070102.86   | 1.04%             | 2054-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC Gold Pool, 30 Year                                 | CUSIP: 31297U6R6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     37165 | PA      | $38721.24     | 0.01%             | 2035-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, 30 Year                                          | CUSIP: 36241KLL0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     42642 | PA      | $44355.56     | 0.01%             | 2036-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31401BX83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       148 | PA      | $150.63       | 0.00%             | 2033-01-01      | Variable      | 6.33%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36183PL88<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     33788 | PA      | $32364.27     | 0.01%             | 2044-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31411E2N6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2566 | PA      | $2640.44      | 0.00%             | 2037-01-01      | Variable      | 5.99%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36198RKT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    104318 | PA      | $100085.42    | 0.02%             | 2044-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31409WCG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       816 | PA      | $846.37       | 0.00%             | 2036-02-01      | Variable      | 6.08%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31416BWK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3063 | PA      | $3105.37      | 0.00%             | 2038-09-01      | Variable      | 5.93%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31385WZW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       220 | PA      | $223.82       | 0.00%             | 2032-12-01      | Variable      | 6.26%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC Gold Pool, 30 Year                                 | CUSIP: 31292HYT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     38164 | PA      | $38646.06     | 0.01%             | 2033-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31406LZ68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2870 | PA      | $2941.08      | 0.00%             | 2034-12-01      | Variable      | 5.97%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36184HMS0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    145296 | PA      | $139104.21    | 0.03%             | 2045-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36200X4E6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5740 | PA      | $5880.08      | 0.00%             | 2032-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36202E7H6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    394297 | PA      | $402008.53    | 0.08%             | 2039-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36183W5G3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     48455 | PA      | $46490.64     | 0.01%             | 2045-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31391FPC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        79 | PA      | $79.86        | 0.00%             | 2029-08-01      | Variable      | 6.34%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36202EAL3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    154490 | PA      | $159983.68    | 0.03%             | 2034-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA, 30 Year                                            | CUSIP: 31401EWH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3807 | PA      | $3827.50      | 0.00%             | 2033-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31410GMD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6524 | PA      | $6714.91      | 0.00%             | 2037-10-01      | Variable      | 6.21%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36202EYM5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     88387 | PA      | $92926.33     | 0.02%             | 2038-12-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA, 30 Year                                            | CUSIP: 31407JRT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7589 | PA      | $7654.94      | 0.00%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36184QSJ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     14326 | PA      | $13586.03     | 0.00%             | 2045-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36202FEH5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     54406 | PA      | $53982.89     | 0.01%             | 2040-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31406UUX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       588 | PA      | $598.12       | 0.00%             | 2035-03-01      | Variable      | 5.46%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36179NLD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         0 | PA      | $0.01         | 0.00%             | 2043-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36213QZ36<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2021 | PA      | $2081.21      | 0.00%             | 2031-08-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31413GN71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13063 | PA      | $13526.22     | 0.00%             | 2037-08-01      | Variable      | 6.44%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36179RNV7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1917079 | PA      | $1740769.89   | 0.36%             | 2045-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36200EBE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     30679 | PA      | $30872.65     | 0.01%             | 2033-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31409JKQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2047 | PA      | $2094.61      | 0.00%             | 2036-05-01      | Variable      | 6.22%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31410QE23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       205 | PA      | $209.68       | 0.00%             | 2036-10-01      | Variable      | 6.32%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36185BPE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     46217 | PA      | $44037.52     | 0.01%             | 2045-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC Gold Pool, 30 Year                                 | CUSIP: 31283H4Z5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     27958 | PA      | $28649.69     | 0.01%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC Gold Pool, 30 Year                                 | CUSIP: 3128MJJP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     75750 | PA      | $78012.35     | 0.02%             | 2038-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31402RQK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7727 | PA      | $7900.75      | 0.00%             | 2036-07-01      | Variable      | 6.12%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36181CBJ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    463088 | PA      | $437512.54    | 0.09%             | 2044-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, 30 Year                                          | CUSIP: 36225BHZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9141 | PA      | $9295.50      | 0.00%             | 2029-07-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA, 30 Year                                            | CUSIP: 31402LHH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6616 | PA      | $6654.03      | 0.00%             | 2033-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31401GYR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2206 | PA      | $2240.90      | 0.00%             | 2033-04-01      | Variable      | 5.68%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36202FB39<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    110641 | PA      | $109780.03    | 0.02%             | 2039-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36202D5R8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     17116 | PA      | $17661.40     | 0.00%             | 2034-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31389TR46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        12 | PA      | $12.01        | 0.00%             | 2032-06-01      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31376HYP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       243 | PA      | $243.04       | 0.00%             | 2026-10-01      | Variable      | 6.63%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 3620A56A2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     60417 | PA      | $60180.25     | 0.01%             | 2039-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31406V5L6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    173870 | PA      | $177048.45    | 0.04%             | 2035-06-01      | Variable      | 6.11%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31376XXV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       184 | PA      | $183.82       | 0.00%             | 2026-09-01      | Variable      | 6.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31389AZN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1086 | PA      | $1078.00      | 0.00%             | 2036-11-01      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36179TJX4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    994767 | PA      | $927669.07    | 0.19%             | 2047-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31403AMC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1379 | PA      | $1407.45      | 0.00%             | 2033-10-01      | Variable      | 5.89%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36200DQA4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10108 | PA      | $10137.80     | 0.00%             | 2033-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA, 30 Year                                            | CUSIP: 31407DUD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1889 | PA      | $1900.75      | 0.00%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36290YER5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     26728 | PA      | $27803.51     | 0.01%             | 2037-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36200VLB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2273 | PA      | $2328.90      | 0.00%             | 2031-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36201EJQ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3231 | PA      | $3330.26      | 0.00%             | 2031-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA, 30 Year                                            | CUSIP: 31390MVH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1330 | PA      | $1427.24      | 0.00%             | 2032-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                               | FHLMC Pool, 30 Year                                      | CUSIP: 3132DWFR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  11705269 | PA      | $11608019.17  | 2.39%             | 2052-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36179MNH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4787555 | PA      | $4540368.66   | 0.93%             | 2042-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36202DSQ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7425 | PA      | $7690.97      | 0.00%             | 2032-04-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 3138EGG57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       283 | PA      | $292.69       | 0.00%             | 2041-04-01      | Variable      | 6.37%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                               | FHLMC Pool, 30 Year                                      | CUSIP: 3133BBSW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         0 | PA      | $0.00         | 0.00%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 3620AVRB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     56232 | PA      | $55650.45     | 0.01%             | 2040-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36202ECA5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     71300 | PA      | $74182.72     | 0.02%             | 2035-01-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36202FQ66<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    278354 | PA      | $268028.67    | 0.06%             | 2041-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31401DK75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2737 | PA      | $2797.71      | 0.00%             | 2033-05-01      | Variable      | 5.77%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA, 30 Year                                            | CUSIP: 31402VUR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12971 | PA      | $13043.77     | 0.00%             | 2033-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36201MSC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     48773 | PA      | $49630.71     | 0.01%             | 2032-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, 30 Year                                          | CUSIP: 36241KQZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     20919 | PA      | $21760.85     | 0.00%             | 2038-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36202SFH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11385 | PA      | $11456.39     | 0.00%             | 2033-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA, 30 Year                                            | CUSIP: 31376KBG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9195 | PA      | $9246.56      | 0.00%             | 2033-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36183CAT3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6148 | PA      | $5789.79      | 0.00%             | 2044-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 3620ADMM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    197987 | PA      | $197087.61    | 0.04%             | 2039-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31384V7L0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1482 | PA      | $1486.60      | 0.00%             | 2040-10-01      | Variable      | 5.26%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31406AGW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     99547 | PA      | $102232.99    | 0.02%             | 2034-12-01      | Variable      | 6.05%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA, 30 Year                                            | CUSIP: 31407FUH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3364 | PA      | $3393.56      | 0.00%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36202DXU0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       528 | PA      | $549.61       | 0.00%             | 2033-05-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31401B6R1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15966 | PA      | $16317.45     | 0.00%             | 2033-04-01      | Variable      | 6.38%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36202EG45<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    343447 | PA      | $354588.52    | 0.07%             | 2036-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36206HDB1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        39 | PA      | $38.82        | 0.00%             | 2029-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, 30 Year                                          | CUSIP: 36225BLF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8403 | PA      | $8577.93      | 0.00%             | 2030-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC Gold Pool, 30 Year                                 | CUSIP: 31288CT76<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10331 | PA      | $10546.12     | 0.00%             | 2032-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31411RTJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2184 | PA      | $2255.42      | 0.00%             | 2037-03-01      | Variable      | 5.76%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, 30 Year                                          | CUSIP: 36225BVS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10501 | PA      | $10853.74     | 0.00%             | 2032-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                               | FHLMC Pool, 30 Year                                      | CUSIP: 3142J6B36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1974297 | PA      | $2013150.76   | 0.41%             | 2055-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31409GSP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       726 | PA      | $745.50       | 0.00%             | 2037-01-01      | Variable      | 5.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31410GJV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1364 | PA      | $1381.52      | 0.00%             | 2033-09-01      | Variable      | 6.02%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36201AVJ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2874 | PA      | $2914.75      | 0.00%             | 2032-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36202FZY5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    143796 | PA      | $138342.05    | 0.03%             | 2041-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36179MQP8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1473702 | PA      | $1397610.93   | 0.29%             | 2042-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC Gold Pool, 30 Year                                 | CUSIP: 31287SFS1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5601 | PA      | $5864.77      | 0.00%             | 2032-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36202XEG8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     18622 | PA      | $18820.14     | 0.00%             | 2033-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36184CSA4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     59408 | PA      | $56457.88     | 0.01%             | 2045-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36295QMW7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     32339 | PA      | $33660.70     | 0.01%             | 2038-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31404RPH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3234 | PA      | $3292.11      | 0.00%             | 2034-04-01      | Variable      | 5.51%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31408B4W5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3725 | PA      | $3795.02      | 0.00%             | 2036-01-01      | Variable      | 5.79%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36198RH41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     65571 | PA      | $62774.73     | 0.01%             | 2044-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36202EBF5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     57145 | PA      | $60009.31     | 0.01%             | 2034-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31417K2C0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       324 | PA      | $336.33       | 0.00%             | 2039-09-01      | Variable      | 6.53%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                    | CUSIP: 31349URQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     40096 | PA      | $41197.10     | 0.01%             | 2037-05-01      | Variable      | 6.43%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36209HMJ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6331 | PA      | $6601.25      | 0.00%             | 2029-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36202FVG8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    798788 | PA      | $792156.88    | 0.16%             | 2041-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 3620ARFJ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    102123 | PA      | $100803.97    | 0.02%             | 2040-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31401PEL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2375 | PA      | $2409.32      | 0.00%             | 2033-04-01      | Variable      | 6.05%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36202EDQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     34447 | PA      | $35563.23     | 0.01%             | 2035-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36200KD53<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6794 | PA      | $6814.72      | 0.00%             | 2034-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC Gold Pool, 30 Year                                 | CUSIP: 31292SBG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     18102 | PA      | $17063.59     | 0.00%             | 2043-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC Gold Pool, 30 Year                                 | CUSIP: 31298MUU9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6735 | PA      | $6972.55      | 0.00%             | 2031-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA, 30 Year                                            | CUSIP: 31406PZU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     57127 | PA      | $58689.00     | 0.01%             | 2035-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31415VYD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    747502 | PA      | $768418.10    | 0.16%             | 2035-10-01      | Variable      | 6.33%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31410FWR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18016 | PA      | $18665.72     | 0.00%             | 2034-11-01      | Variable      | 6.31%                 | No            |                  2 | On Loan: No      |
| United States of America                                 | U.S. Treasury Notes                                      | CUSIP: 91282CAE1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   8500000 | PA      | $7382880.87   | 1.52%             | 2030-08-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 3138EH6Z0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    571195 | PA      | $585252.60    | 0.12%             | 2040-01-01      | Variable      | 5.81%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31385Y2E4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7977 | PA      | $8017.27      | 0.00%             | 2040-06-01      | Variable      | 5.26%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA, 30 Year                                            | CUSIP: 31409T6V5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     88458 | PA      | $91529.82     | 0.02%             | 2036-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 3620ASD71<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     37382 | PA      | $36907.15     | 0.01%             | 2041-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC Gold Pool, 30 Year                                 | CUSIP: 31283HJU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8685 | PA      | $9134.94      | 0.00%             | 2031-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36210ETV1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1411 | PA      | $1458.88      | 0.00%             | 2029-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36194GLS1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5252 | PA      | $4986.85      | 0.00%             | 2046-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| U.S. International Development Finance Corp. (The)       | U.S. International Development Finance Corp. (The)       | CUSIP: 690353TK3<br>LEI: 254900QI8QTIK0FY6E92 | Long             | DBT              | UST               | US        |    860000 | PA      | $852597.90    | 0.18%             | 2030-05-15      | Fixed         | 4.01%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31402RH77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13727 | PA      | $13784.83     | 0.00%             | 2044-10-01      | Variable      | 5.06%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31402JVC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4185 | PA      | $4284.77      | 0.00%             | 2033-08-01      | Variable      | 6.15%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31400QYE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18240 | PA      | $18498.73     | 0.00%             | 2032-10-01      | Variable      | 5.88%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36202DL90<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       477 | PA      | $485.39       | 0.00%             | 2031-03-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31400L6P4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       214 | PA      | $219.38       | 0.00%             | 2037-08-01      | Variable      | 6.51%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31403DK24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4511 | PA      | $4600.24      | 0.00%             | 2034-07-01      | Variable      | 5.95%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                               | FHLMC Pool, 30 Year                                      | CUSIP: 3132DWE66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  12193129 | PA      | $11824935.96  | 2.43%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC Gold Pool, 30 Year                                 | CUSIP: 31298PVR8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7852 | PA      | $8257.58      | 0.00%             | 2031-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31385W6E4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       635 | PA      | $645.28       | 0.00%             | 2036-08-01      | Variable      | 5.96%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC Gold Pool, 30 Year                                 | CUSIP: 31293PLU7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       701 | PA      | $725.71       | 0.00%             | 2029-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36202EBV0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     80773 | PA      | $83418.84     | 0.02%             | 2034-12-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31405RXD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29554 | PA      | $30190.09     | 0.01%             | 2034-10-01      | Variable      | 5.87%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36202FDB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    156880 | PA      | $155658.81    | 0.03%             | 2039-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36201GBJ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     37240 | PA      | $38389.03     | 0.01%             | 2032-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31416CAK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1849 | PA      | $1898.25      | 0.00%             | 2038-12-01      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36179WJR0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3678428 | PA      | $3168866.31   | 0.65%             | 2051-07-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36179QGF2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    653254 | PA      | $666038.16    | 0.14%             | 2044-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC Gold Pool, 30 Year                                 | CUSIP: 31298EZN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5163 | PA      | $5345.08      | 0.00%             | 2029-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36213LJB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3626 | PA      | $3715.86      | 0.00%             | 2031-05-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31403HNX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17788 | PA      | $18320.66     | 0.00%             | 2033-10-01      | Variable      | 6.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31408GJF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       511 | PA      | $525.93       | 0.00%             | 2035-12-01      | Variable      | 6.13%                 | No            |                  2 | On Loan: No      |
| United States of America                                 | U.S. Treasury Notes                                      | CUSIP: 9128282R0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  34040000 | PA      | $33327287.50  | 6.86%             | 2027-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 313625FB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        43 | PA      | $42.87        | 0.00%             | 2026-11-01      | Variable      | 4.03%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36202C3X9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        13 | PA      | $13.41        | 0.00%             | 2028-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36201BBQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1174 | PA      | $1204.63      | 0.00%             | 2032-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36185B7E0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     72512 | PA      | $69062.73     | 0.01%             | 2045-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 3620AFYB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     44688 | PA      | $44101.66     | 0.01%             | 2039-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31403C7L9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1499 | PA      | $1529.57      | 0.00%             | 2035-10-01      | Variable      | 5.52%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36297FRG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     68310 | PA      | $68041.69     | 0.01%             | 2039-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36213AC85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     16650 | PA      | $16869.33     | 0.00%             | 2032-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                    | CUSIP: 3128QTEQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    619027 | PA      | $637167.38    | 0.13%             | 2038-05-01      | Variable      | 6.54%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36202DLU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       948 | PA      | $985.59       | 0.00%             | 2031-02-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31404VDY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6776 | PA      | $6937.68      | 0.00%             | 2034-06-01      | Variable      | 6.09%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36290V7K4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     43428 | PA      | $44180.18     | 0.01%             | 2033-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 3618N5TQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4749457 | PA      | $4938344.79   | 1.02%             | 2055-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31385HSE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       418 | PA      | $425.12       | 0.00%             | 2040-12-01      | Variable      | 6.42%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31388XVV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4251 | PA      | $4216.94      | 0.00%             | 2033-08-01      | Variable      | 4.03%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC Gold Pool, 30 Year                                 | CUSIP: 31292HZK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     36587 | PA      | $37846.36     | 0.01%             | 2033-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31413MUF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       682 | PA      | $701.73       | 0.00%             | 2037-08-01      | Variable      | 6.28%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36202DQA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5356 | PA      | $5537.51      | 0.00%             | 2031-10-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31413FKS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2829 | PA      | $2880.46      | 0.00%             | 2037-07-01      | Variable      | 6.27%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC Gold Pool, 30 Year                                 | CUSIP: 31288JZA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     32380 | PA      | $33819.09     | 0.01%             | 2032-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36291GTF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13179 | PA      | $13216.82     | 0.00%             | 2034-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36182R5E0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6256 | PA      | $6001.91      | 0.00%             | 2044-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36202D2F7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12965 | PA      | $13413.32     | 0.00%             | 2033-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC Gold Pool, 30 Year                                 | CUSIP: 31283HR80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     19059 | PA      | $20058.28     | 0.00%             | 2031-07-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36183W5H1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    192404 | PA      | $184362.49    | 0.04%             | 2045-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36201F5K9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1651 | PA      | $1663.36      | 0.00%             | 2032-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36202DZX2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     34864 | PA      | $35147.88     | 0.01%             | 2033-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, 30 Year                                          | CUSIP: 36225BSB5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4344 | PA      | $4395.91      | 0.00%             | 2032-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31404EQE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30637 | PA      | $31281.92     | 0.01%             | 2034-03-01      | Variable      | 5.78%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA, 30 Year                                            | CUSIP: 31419JH84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     55501 | PA      | $53184.33     | 0.01%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36207VNV4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       189 | PA      | $190.00       | 0.00%             | 2027-02-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36183HMP7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     14487 | PA      | $13809.70     | 0.00%             | 2044-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31391TX94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5019 | PA      | $5088.91      | 0.00%             | 2032-12-01      | Variable      | 5.83%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36295DLW7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     23918 | PA      | $25232.75     | 0.01%             | 2037-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36201XBL1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       511 | PA      | $511.09       | 0.00%             | 2033-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36202EEU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    153733 | PA      | $155788.83    | 0.03%             | 2035-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36202DSR3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10051 | PA      | $10504.12     | 0.00%             | 2032-04-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 3618N5XQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9745355 | PA      | $9817246.75   | 2.02%             | 2055-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36202CQX4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        39 | PA      | $39.15        | 0.00%             | 2026-08-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, 30 Year                                          | CUSIP: 36225BGD4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1407 | PA      | $1438.04      | 0.00%             | 2028-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31402GVQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3838 | PA      | $3907.27      | 0.00%             | 2033-07-01      | Variable      | 6.22%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36296YDQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4795 | PA      | $4595.66      | 0.00%             | 2044-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36185EHH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       749 | PA      | $714.47       | 0.00%             | 2045-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31402QZ46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1026 | PA      | $1060.91      | 0.00%             | 2035-01-01      | Variable      | 5.97%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                               | FHLMC Pool, 30 Year                                      | CUSIP: 3132AD3M8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1813297 | PA      | $1787659.17   | 0.37%             | 2049-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36202D6V8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     67814 | PA      | $70423.80     | 0.01%             | 2034-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36213JQJ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     43272 | PA      | $44565.48     | 0.01%             | 2031-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31384VQU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       709 | PA      | $717.49       | 0.00%             | 2030-01-01      | Variable      | 5.78%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36202EH51<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     24624 | PA      | $25811.25     | 0.01%             | 2036-05-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC Gold Pool, 30 Year                                 | CUSIP: 3128KSCM2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     42113 | PA      | $42606.32     | 0.01%             | 2037-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31401CTE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1118 | PA      | $1138.16      | 0.00%             | 2033-05-01      | Variable      | 6.38%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36202DM57<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     14420 | PA      | $14987.28     | 0.00%             | 2031-05-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA, 30 Year                                            | CUSIP: 31368HKP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        41 | PA      | $42.05        | 0.00%             | 2029-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                               | FHLMC Pool, 15 Year                                      | CUSIP: 3132D6AU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         0 | PA      | $0.01         | 0.00%             | 2036-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA, 30 Year                                            | CUSIP: 31409EW72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     79901 | PA      | $83318.04     | 0.02%             | 2036-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36292GHS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     47524 | PA      | $49224.22     | 0.01%             | 2035-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31403N6X0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5843 | PA      | $5981.77      | 0.00%             | 2033-12-01      | Variable      | 5.93%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA, 30 Year                                            | CUSIP: 31406DEC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     95061 | PA      | $96953.75     | 0.02%             | 2034-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36202DRH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5706 | PA      | $5930.92      | 0.00%             | 2032-01-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31407GCW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       894 | PA      | $922.11       | 0.00%             | 2035-05-01      | Variable      | 6.23%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                    | CUSIP: 31300MEQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1129959 | PA      | $1171565.91   | 0.24%             | 2040-04-01      | Variable      | 6.46%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31402MNK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9500 | PA      | $9758.46      | 0.00%             | 2033-09-01      | Variable      | 6.34%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31387URF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       922 | PA      | $939.03       | 0.00%             | 2030-12-01      | Variable      | 6.41%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 3618M25T0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4760265 | PA      | $4895240.73   | 1.01%             | 2055-10-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Franklin Institutional U.S. Government Money Market Fund | Franklin Institutional U.S. Government Money Market Fund | CUSIP: 457756500<br>LEI: 549300M4TP89K77LG374 | Long             | STIV             | RF                | US        |  41881413 | NS      | $41881413.47  | 8.62%             |  |  |  | No            |                  1 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36183X2E9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     17863 | PA      | $16999.19     | 0.00%             | 2045-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, 30 Year                                          | CUSIP: 36241KXC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     50571 | PA      | $53257.67     | 0.01%             | 2038-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36183J3M1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     15449 | PA      | $14733.33     | 0.00%             | 2044-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA, 30 Year                                            | CUSIP: 3138ABEP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    514845 | PA      | $502353.20    | 0.10%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31404CH37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    210349 | PA      | $214855.81    | 0.04%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36185CBJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     23875 | PA      | $22835.34     | 0.00%             | 2045-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36192SU65<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     25792 | PA      | $24493.47     | 0.01%             | 2046-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36209MCG7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1215 | PA      | $1253.50      | 0.00%             | 2028-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31391SSV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       979 | PA      | $995.27       | 0.00%             | 2032-12-01      | Variable      | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31402CRN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8760 | PA      | $8998.86      | 0.00%             | 2034-01-01      | Variable      | 6.15%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31389R4T0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7825 | PA      | $8009.50      | 0.00%             | 2032-03-01      | Variable      | 6.01%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31400QTZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       892 | PA      | $904.15       | 0.00%             | 2033-03-01      | Variable      | 5.59%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA, 30 Year                                            | CUSIP: 31403JD78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8421 | PA      | $8467.21      | 0.00%             | 2033-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA, 30 Year                                            | CUSIP: 31411JZY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29491 | PA      | $30785.80     | 0.01%             | 2037-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31387A3P8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6658 | PA      | $6737.85      | 0.00%             | 2031-08-01      | Variable      | 5.88%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31389AZX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1858 | PA      | $1845.94      | 0.00%             | 2038-06-01      | Variable      | 4.85%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31404UDP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28701 | PA      | $29728.46     | 0.01%             | 2034-04-01      | Variable      | 6.11%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36202FPF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    558303 | PA      | $537651.50    | 0.11%             | 2041-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31410N6D5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1099 | PA      | $1127.80      | 0.00%             | 2036-07-01      | Variable      | 6.52%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31379MDM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2120 | PA      | $2192.44      | 0.00%             | 2038-04-01      | Variable      | 6.58%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36212J2Y1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     34346 | PA      | $34482.49     | 0.01%             | 2033-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36202FX92<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    280835 | PA      | $278474.42    | 0.06%             | 2041-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA, 15 Year                                            | CUSIP: 31418EHA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8296974 | PA      | $7931726.09   | 1.63%             | 2037-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA, 30 Year                                            | CUSIP: 3138A8RD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    319815 | PA      | $309059.41    | 0.06%             | 2041-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36179N2L1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    563886 | PA      | $557725.16    | 0.11%             | 2044-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA, 30 Year                                            | CUSIP: 31371MDT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7771 | PA      | $8023.71      | 0.00%             | 2035-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, 30 Year                                          | CUSIP: 36225BNQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6615 | PA      | $6798.13      | 0.00%             | 2031-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36202D2D2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     85160 | PA      | $85859.90     | 0.02%             | 2033-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31402DSD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2999 | PA      | $3016.10      | 0.00%             | 2033-07-01      | Variable      | 6.06%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36202T7B6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11484 | PA      | $11666.45     | 0.00%             | 2033-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36182XU74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     22854 | PA      | $21856.53     | 0.00%             | 2044-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36176WVP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     18604 | PA      | $17757.12     | 0.00%             | 2045-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC Gold Pool, 20 Year                                 | CUSIP: 3128P7SY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    553484 | PA      | $543705.99    | 0.11%             | 2032-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31401BG66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5801 | PA      | $5931.90      | 0.00%             | 2033-04-01      | Variable      | 6.29%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36202FSE7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    100965 | PA      | $100147.77    | 0.02%             | 2041-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36179WQA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8134621 | PA      | $7008139.36   | 1.44%             | 2051-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36202FQ74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    245703 | PA      | $243726.60    | 0.05%             | 2041-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36295HF54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    300848 | PA      | $297814.59    | 0.06%             | 2040-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31400FDQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2372 | PA      | $2423.67      | 0.00%             | 2033-02-01      | Variable      | 5.84%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31385HN32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1570 | PA      | $1552.29      | 0.00%             | 2036-05-01      | Variable      | 4.59%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA, 30 Year                                            | CUSIP: 3138APCG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    378308 | PA      | $366290.68    | 0.08%             | 2041-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36206GQZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     17540 | PA      | $17985.34     | 0.00%             | 2038-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36290UP42<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     35602 | PA      | $35106.05     | 0.01%             | 2040-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31387UEK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        11 | PA      | $10.69        | 0.00%             | 2030-12-01      | Variable      | 7.26%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 3620ARLM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8554 | PA      | $8171.51      | 0.00%             | 2040-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA, 30 Year                                            | CUSIP: 31418EHJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12465106 | PA      | $11820951.59  | 2.43%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC Gold Pool, 30 Year                                 | CUSIP: 31296MQV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     24633 | PA      | $24688.26     | 0.01%             | 2033-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 3620ASEH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     86323 | PA      | $85629.79     | 0.02%             | 2041-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36202FUF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    746400 | PA      | $736121.07    | 0.15%             | 2041-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31390S3K5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       994 | PA      | $1002.45      | 0.00%             | 2032-05-01      | Variable      | 5.48%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC                                                    | CUSIP: 3128S5LY8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    240551 | PA      | $246776.24    | 0.05%             | 2036-03-01      | Variable      | 6.13%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31402DG61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1409 | PA      | $1447.87      | 0.00%             | 2034-06-01      | Variable      | 6.19%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31385YCE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2208 | PA      | $2211.82      | 0.00%             | 2040-06-01      | Variable      | 5.26%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 3138EJTV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    894422 | PA      | $919796.96    | 0.19%             | 2036-08-01      | Variable      | 6.14%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC Gold Pool, 30 Year                                 | CUSIP: 3132GLJE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    890557 | PA      | $861481.69    | 0.18%             | 2041-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31410F7G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       426 | PA      | $436.03       | 0.00%             | 2034-07-01      | Variable      | 5.80%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA, 30 Year                                            | CUSIP: 31403HPH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23825 | PA      | $23962.29     | 0.00%             | 2033-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31378EN53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4647 | PA      | $4780.28      | 0.00%             | 2037-08-01      | Variable      | 6.49%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31403GWC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       898 | PA      | $915.30       | 0.00%             | 2033-09-01      | Variable      | 5.56%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36179NF78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1453770 | PA      | $1378432.32   | 0.28%             | 2043-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31406RGS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1382 | PA      | $1409.79      | 0.00%             | 2035-09-01      | Variable      | 5.54%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31403BM83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19468 | PA      | $19839.44     | 0.00%             | 2033-11-01      | Variable      | 5.93%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA, 30 Year                                            | CUSIP: 31418WPP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    106367 | PA      | $105325.54    | 0.02%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC Gold Pool, 30 Year                                 | CUSIP: 31283H6F7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3202 | PA      | $3282.92      | 0.00%             | 2035-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36198QTS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     18068 | PA      | $17237.82     | 0.00%             | 2044-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC Gold Pool, 30 Year                                 | CUSIP: 312942KX2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    336429 | PA      | $333550.73    | 0.07%             | 2040-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36291JGP9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5240 | PA      | $5270.87      | 0.00%             | 2034-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 3620A3ZQ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    441485 | PA      | $436916.88    | 0.09%             | 2040-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36202DNL1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4345 | PA      | $4515.54      | 0.00%             | 2031-06-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36179NDR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         0 | PA      | $0.01         | 0.00%             | 2043-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31402XT63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       171 | PA      | $175.74       | 0.00%             | 2033-12-01      | Variable      | 6.15%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                    | FHLMC Gold Pool, 30 Year                                 | CUSIP: 3132GFLR6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     46397 | PA      | $45699.85     | 0.01%             | 2041-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36295ERD1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     19503 | PA      | $20067.79     | 0.00%             | 2037-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31406G2T5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2954 | PA      | $3011.45      | 0.00%             | 2035-03-01      | Variable      | 5.58%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36184B2D8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     57789 | PA      | $55445.85     | 0.01%             | 2045-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36179MG53<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    444283 | PA      | $421345.52    | 0.09%             | 2042-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36210MQ38<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1568 | PA      | $1570.65      | 0.00%             | 2029-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36198RLN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6165 | PA      | $5883.98      | 0.00%             | 2044-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31409XZU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3408 | PA      | $3477.82      | 0.00%             | 2036-01-01      | Variable      | 5.71%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA                                                     | CUSIP: 31406VYX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23775 | PA      | $24105.93     | 0.00%             | 2035-06-01      | Variable      | 5.94%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA II, Single-family, 30 Year                          | CUSIP: 36202FXD3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     30763 | PA      | $31299.04     | 0.01%             | 2041-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA, 30 Year                                            | CUSIP: 3138EGTC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    177492 | PA      | $179479.35    | 0.04%             | 2041-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA, 30 Year                                            | CUSIP: 31416YRT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37390 | PA      | $36993.40     | 0.01%             | 2041-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36213FUR2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    145643 | PA      | $147509.68    | 0.03%             | 2033-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                     | GNMA I, Single-family, 30 Year                           | CUSIP: 36292LEW0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     29138 | PA      | $29770.22     | 0.01%             | 2036-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                     | FNMA, 30 Year                                            | CUSIP: 31418EBS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6924049 | PA      | $5865947.53   | 1.21%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2026-04-30

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

**Signature:** Monica Krogh

**Name of Signer:** Monica Krogh

**Title:** Assistant Treasurer