# EDGAR Filing Document

**Accession Number:** 0000106444
**File Stem:** 0000106444-25-000122
**Filing Date:** 2025-9
**Character Count:** 195749
**Document Hash:** c73449bddb18ee205d151efa7234b705
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0000106444-25-000122.hdr.sgml**: 20250925

**ACCESSION NUMBER**: 0000106444-25-000122

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250731

**FILED AS OF DATE**: 20250925

**DATE AS OF CHANGE**: 20250925

**PERIOD START**: 20260131

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** VANGUARD FIXED INCOME SECURITIES FUNDS
- **CENTRAL INDEX KEY:** 0000106444

**ORGANIZATION NAME:**
- **EIN:** 231899003
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 0131

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-02368
- **FILM NUMBER:** 251343539

**BUSINESS ADDRESS:**
- **STREET 1:** PO BOX 2600
- **STREET 2:** V26
- **CITY:** VALLEY FORGE
- **STATE:** PA
- **ZIP:** 19482
- **BUSINESS PHONE:** 6106691000

**MAIL ADDRESS:**
- **STREET 1:** PO BOX 2600
- **STREET 2:** V26
- **CITY:** VALLEY FORGE
- **STATE:** PA
- **ZIP:** 19482

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** VANGUARD FIXED INCOME SECURITIES FUND INC
- **DATE OF NAME CHANGE:** 19920703

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** WESTMINSTER BOND FUND INC
- **DATE OF NAME CHANGE:** 19800619

## Series and Classes Contracts Data

### Vanguard Short-Term Federal Fund (Series ID: S000002590)

| Class ID   | Class Name      | Ticker Symbol   |
|:---|:---|:---|
| C000007105 | Investor Shares | VSGBX           |
| C000007106 | Admiral Shares  | VSGDX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** VANGUARD FIXED INCOME SECURITIES FUNDS

- **b. Investment Company Act file number:** 811-02368

- **c. CIK number of Registrant:** 0000106444

- **d. LEI of Registrant:** 549300F3N7VQKU6I4K64

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

  - **Street Address 1:** 100 Vanguard Boulevard

  - **City:** Malvern

  - **State:** PA

  - **Foreign country:** US

  - **Zip / Postal Code:** 19355

  - **Telephone number:** 610-669-1000

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

- **a. Name of Series:** VANGUARD SHORT-TERM FEDERAL FUND

- **b. EDGAR series identifier (if any):** S000002590

- **c. LEI of Series:** K4A6QLIWM1594TB2F156

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

- **a. Date of fiscal year-end:** 2026-01-31

- **b. Date as of which information is reported:** 2025-07-31

**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:** $5310169644.66

**Total Liabilities:** $951759792.27

**Net Assets:** $4358409852.39

**Delayed Delivery Securities:** $349323539.06

**Cash Not Reported:** $455430.21

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -13554.68559363 | **1-Year:** -201749.11634235 | **5-Year:** -440957.63269495 | **10-Year:** -11997.01504925 | **30-Year:** 21655.79703406

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

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

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000007105 | -0.17%               | 0.82%                | -0.15%               |
| Class ID C000007106 | -0.16%               | 0.82%                | -0.14%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-11648347.83            | $-8819544.40                               |
| Month 2  | $5106660.16              | $21460431.45                               |
| Month 3  | $5292246.75              | $-26435486.10                              |

**Designated Index Information**

- **Index Name:** Bloomberg U.S. 1-5 Year Government Bond Index

- **Index Identifier:** I00640

### Schedule of Portfolio Investments

| Name                                                         | Title                          | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |    Balance | Units   | Value (USD)    | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Federal Home Loan Mortgage Corp                              | FREDDIE MAC                    | CUSIP: 3134HBQZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGSE             | US        |  150000000 | PA      | $149952450.00  | 3.44%             | 2027-05-19      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR WG9008                      | CUSIP: 31425SAH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   10600000 | PA      | $10433300.16   | 0.24%             | 2030-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR SB1455                      | CUSIP: 3132CXTL6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5000000 | PA      | $5086910.53    | 0.12%             | 2039-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                        | FG G18547                      | CUSIP: 3128MMTD5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     533473 | PA      | $512282.62     | 0.01%             | 2030-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR SB0635                      | CUSIP: 3132CWV43<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   11350617 | PA      | $10822107.30   | 0.25%             | 2037-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                        | FG J33761                      | CUSIP: 31307QFA0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     321851 | PA      | $309317.76     | 0.01%             | 2031-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                        | FG J17696                      | CUSIP: 3128PXRR9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      29497 | PA      | $29193.48      | 0.00%             | 2027-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR RD5071                      | CUSIP: 3133LPT49<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    9471189 | PA      | $8970248.50    | 0.21%             | 2031-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                | CUSIP: 91282CJA0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   80000000 | PA      | $81718749.60   | 1.87%             | 2028-09-30      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AJ4251                      | CUSIP: 3138AVWM3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3517 | PA      | $3478.89       | 0.00%             | 2026-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                        | FG G18611                      | CUSIP: 3128MMVD2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     136790 | PA      | $131284.25     | 0.00%             | 2031-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN FM5328                      | CUSIP: 3140X84N4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4606063 | PA      | $4338090.55    | 0.10%             | 2031-01-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR WN2058                      | CUSIP: 3132XGJC1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3788015 | PA      | $3586261.25    | 0.08%             | 2027-05-01      | Fixed         | 1.18%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                                    | FNCL 2.5 8/25                  | CUSIP: 01F022683<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -46625000 | PA      | $-38181501.58  | -0.88%            | 2025-08-13      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae-Aces                                              | FNA 2017-M12 A2                | CUSIP: 3136AX7E9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1227717 | PA      | $1198690.51    | 0.03%             | 2027-06-25      | Variable      | 3.06%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                        | FG G18612                      | CUSIP: 3128MMVE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     576664 | PA      | $559128.05     | 0.01%             | 2031-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                | CUSIP: 91282CEV9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   40000000 | PA      | $39034374.80   | 0.90%             | 2029-06-30      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AM0309                      | CUSIP: 3138L0KX8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1015950 | PA      | $965559.23     | 0.02%             | 2032-08-01      | Fixed         | 2.92%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Principal Strip                                   | FNMA PRIN STP                  | CUSIP: 31358DDR2<br>LEI: N/A                  | Long             | DBT              | USGSE             | US        |   36600000 | PA      | $30055005.00   | 0.69%             | 2030-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                        | FG J18812                      | CUSIP: 3128PYYH1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      47055 | PA      | $46479.14      | 0.00%             | 2027-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BS9079                      | CUSIP: 3140LLCR0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3100000 | PA      | $3138656.38    | 0.07%             | 2028-07-01      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BZ2685                      | CUSIP: 3140NW6X8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2387436 | PA      | $2400906.05    | 0.06%             | 2029-12-01      | Fixed         | 4.49%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AS7051                      | CUSIP: 3138WGZR8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     435902 | PA      | $419051.53     | 0.01%             | 2031-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                            | GN AA8333                      | CUSIP: 36178GHJ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     235073 | PA      | $230495.83     | 0.01%             | 2028-02-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BJ3109                      | CUSIP: 3140H4N34<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      46081 | PA      | $43873.49      | 0.00%             | 2032-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                        | FG J35715                      | CUSIP: 31307SK44<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     186214 | PA      | $178562.33     | 0.00%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN DE5603                      | CUSIP: 3140BJGM3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     750000 | PA      | $752016.53     | 0.02%             | 2040-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AS6141                      | CUSIP: 3138WFZF6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6094 | PA      | $5873.61       | 0.00%             | 2030-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN FS3563                      | CUSIP: 3140XJ5Z2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4169452 | PA      | $4007809.78    | 0.09%             | 2038-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                        | FG J34500                      | CUSIP: 31307Q7M3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2521296 | PA      | $2423139.65    | 0.06%             | 2031-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AN4354                      | CUSIP: 3138LGZU3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4100000 | PA      | $4027079.86    | 0.09%             | 2027-01-01      | Fixed         | 3.16%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR RD5062                      | CUSIP: 3133LPTT4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1006036 | PA      | $940527.94     | 0.02%             | 2031-07-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR ZS8621                      | CUSIP: 3132A9SJ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      27358 | PA      | $26227.26      | 0.00%             | 2031-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                     | GNR 2025-118 JZ                | CUSIP: 38381NC55<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8078835 | PA      | $4739690.92    | 0.11%             | 2055-07-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AS8241                      | CUSIP: 3138WJEP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     730942 | PA      | $700760.42     | 0.02%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                        | FG V60563                      | CUSIP: 3132KETU9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     311508 | PA      | $304799.51     | 0.01%             | 2029-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR RD5072                      | CUSIP: 3133LPT56<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   15010158 | PA      | $13991349.46   | 0.32%             | 2031-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN MA4368                      | CUSIP: 31418D2A9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   17051536 | PA      | $16196475.20   | 0.37%             | 2031-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae-Aces                                              | FNA 2024-M6 A2                 | CUSIP: 3136BTGM9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   92800000 | PA      | $90526177.28   | 2.08%             | 2027-07-25      | Variable      | 2.91%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                           | G2 MA4871                      | CUSIP: 36179TMU6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   32075391 | PA      | $30971173.06   | 0.71%             | 2032-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AP2276                      | CUSIP: 3138M5Q69<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      64586 | PA      | $63691.35      | 0.00%             | 2027-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                           | G2 MA0138                      | CUSIP: 36179MEK2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      97099 | PA      | $95490.98      | 0.00%             | 2027-06-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AB9503                      | CUSIP: 31417GRZ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    8856826 | PA      | $8605391.57    | 0.20%             | 2028-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                        | FG J18874                      | CUSIP: 3128PY2F0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      16229 | PA      | $16061.67      | 0.00%             | 2027-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                        | FG J17723                      | CUSIP: 3128PXSL1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      67274 | PA      | $66582.23      | 0.00%             | 2027-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                        | FG J19173                      | CUSIP: 3128Q0FN2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     220100 | PA      | $217308.14     | 0.00%             | 2027-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AN5831                      | CUSIP: 3138LJPR5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   38200000 | PA      | $37112961.70   | 0.85%             | 2027-07-01      | Fixed         | 2.87%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                           | G2 MA4425                      | CUSIP: 36179S4J3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   13721150 | PA      | $13274939.96   | 0.30%             | 2032-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN FM1649                      | CUSIP: 3140X4ZP4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4115029 | PA      | $4027628.29    | 0.09%             | 2030-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BS3238                      | CUSIP: 3140LDS42<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    8074459 | PA      | $7449693.89    | 0.17%             | 2028-09-01      | Fixed         | 1.53%                 | No            |                  2 | On Loan: No      |
| Fannie Mae-Aces                                              | FNA 2017-M1 A2                 | CUSIP: 3136AUG21<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   21384218 | PA      | $20852144.29   | 0.48%             | 2026-10-25      | Variable      | 2.42%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR RD5052                      | CUSIP: 3133LPTH0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5305807 | PA      | $4981362.41    | 0.11%             | 2031-03-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN MA2898                      | CUSIP: 31418CGG3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2369 | PA      | $2267.52       | 0.00%             | 2032-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN MA5745                      | CUSIP: 31418FL39<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3900821 | PA      | $3911309.31    | 0.09%             | 2040-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                        | FG J19738                      | CUSIP: 3128Q0ZB6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      17569 | PA      | $17323.74      | 0.00%             | 2027-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BL5369                      | CUSIP: 3140HW6F4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4186772 | PA      | $4052998.98    | 0.09%             | 2027-02-01      | Fixed         | 2.22%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR SB0492                      | CUSIP: 3132CWRM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5818515 | PA      | $5319114.44    | 0.12%             | 2035-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AK2663                      | CUSIP: 3138E65Z5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      55374 | PA      | $54685.33      | 0.00%             | 2027-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BZ0750                      | CUSIP: 3140NUZQ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    7800000 | PA      | $7967680.50    | 0.18%             | 2029-04-01      | Fixed         | 5.08%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                        | FG J19394                      | CUSIP: 3128Q0NK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      55434 | PA      | $54755.52      | 0.00%             | 2027-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AS7046                      | CUSIP: 3138WGZL1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     338955 | PA      | $325850.54     | 0.01%             | 2031-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                        | FG J35097                      | CUSIP: 31307RUW3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2573653 | PA      | $2471043.97    | 0.06%             | 2031-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICS                                           | FHR 4212 MB                    | CUSIP: 3137B2R51<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   23593526 | PA      | $22618251.74   | 0.52%             | 2033-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AN3933                      | CUSIP: 3138LGLP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3800659 | PA      | $3721046.61    | 0.09%             | 2026-12-01      | Fixed         | 2.83%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BC2777                      | CUSIP: 3140EXCP6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     259879 | PA      | $249595.27     | 0.01%             | 2031-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN FM8471                      | CUSIP: 3140XCMV7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5635792 | PA      | $5243103.64    | 0.12%             | 2036-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICS                                           | FHR 4104 KJ                    | CUSIP: 3137ATTJ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1837801 | PA      | $1768368.76    | 0.04%             | 2032-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICS                                            | FNR 2014-63 BW                 | CUSIP: 3136AK7H0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    9901169 | PA      | $9600677.97    | 0.22%             | 2034-10-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BD8034                      | CUSIP: 3140FF4U2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     839386 | PA      | $805404.94     | 0.02%             | 2031-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR ZT1989                      | CUSIP: 3132AEF68<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   10842720 | PA      | $10615503.64   | 0.24%             | 2033-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AN1371                      | CUSIP: 3138LDQZ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   14700000 | PA      | $14067717.72   | 0.32%             | 2028-06-01      | Fixed         | 2.68%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BL4424                      | CUSIP: 3140HV4J0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3251464 | PA      | $2987016.75    | 0.07%             | 2029-10-01      | Fixed         | 2.14%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AS8893                      | CUSIP: 3138WJ3B2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     721055 | PA      | $690063.76     | 0.02%             | 2032-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AJ2838                      | CUSIP: 3138AUEL7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     133267 | PA      | $131668.11     | 0.00%             | 2026-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BM3578                      | CUSIP: 3140J76Q3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6435 | PA      | $6160.67       | 0.00%             | 2032-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR SB1476                      | CUSIP: 3132CXT93<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4346876 | PA      | $4296546.37    | 0.10%             | 2040-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BL5705                      | CUSIP: 3140HXKT6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    7754158 | PA      | $7487784.11    | 0.17%             | 2027-03-01      | Fixed         | 2.17%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AS8208                      | CUSIP: 3138WJDN5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      12286 | PA      | $11778.54      | 0.00%             | 2031-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BS3081                      | CUSIP: 3140LDM71<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6955000 | PA      | $6401482.15    | 0.15%             | 2028-10-01      | Fixed         | 1.53%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN CB1469                      | CUSIP: 3140QLT30<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     722015 | PA      | $656434.53     | 0.02%             | 2036-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR SB0983                      | CUSIP: 3132CXCU4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    8034718 | PA      | $7790254.79    | 0.18%             | 2033-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                        | FG G18665                      | CUSIP: 3128MMW33<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      86347 | PA      | $82407.20      | 0.00%             | 2032-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AS8245                      | CUSIP: 3138WJET1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     221733 | PA      | $212576.80     | 0.00%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AJ0867                      | CUSIP: 3138AR6D1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      14340 | PA      | $14148.59      | 0.00%             | 2027-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BZ3905                      | CUSIP: 3140NYKT7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2200000 | PA      | $2176352.42    | 0.05%             | 2030-05-01      | Fixed         | 4.11%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Strips                                           | FRE PRIN STRIP                 | CUSIP: 3134A4AB0<br>LEI: N/A                  | Long             | DBT              | USGSE             | US        |   19983000 | PA      | $15760751.96   | 0.36%             | 2031-03-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AN3336                      | CUSIP: 3138LFV62<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2310990 | PA      | $2249579.36    | 0.05%             | 2026-11-01      | Fixed         | 2.28%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AN3270                      | CUSIP: 3138LFT40<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1900000 | PA      | $1855065.38    | 0.04%             | 2026-10-01      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR ZK8908                      | CUSIP: 3131XC3R6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      28454 | PA      | $27103.39      | 0.00%             | 2032-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AS9318                      | CUSIP: 3138WKK87<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5422 | PA      | $5189.09       | 0.00%             | 2032-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN CA7509                      | CUSIP: 3140QFKX6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5177894 | PA      | $4609225.68    | 0.11%             | 2035-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AK7410                      | CUSIP: 3138ECGU1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     198049 | PA      | $195484.58     | 0.00%             | 2027-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                           | G2 MA4294                      | CUSIP: 36179SXX0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   29191029 | PA      | $28250111.73   | 0.65%             | 2032-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | US 10yr Ultra Fut Sep25        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |       -187 | NC      | $15634.94      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae Pool                                              | FN AS8193                      | CUSIP: 3138WJC71<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8676 | PA      | $8313.84       | 0.00%             | 2031-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BS9244                      | CUSIP: 3140LLHW4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     800000 | PA      | $804516.48     | 0.02%             | 2028-08-01      | Fixed         | 4.43%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN FS0427                      | CUSIP: 3140XFPM7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   13288972 | PA      | $12069481.96   | 0.28%             | 2037-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| New Issuer: BB Company ID:69419330                           | FHMR 2021-P007 A1              | CUSIP: 3137F92D2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5152516 | PA      | $4801043.29    | 0.11%             | 2027-11-25      | Variable      | 1.10%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                           | G2 MA0513                      | CUSIP: 36179MSA9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     701266 | PA      | $687636.98     | 0.02%             | 2027-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                     | GNR 2025-118 JA                | CUSIP: 38381NC48<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   32315338 | PA      | $28243669.07   | 0.65%             | 2048-06-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AK3614                      | CUSIP: 3138E8AQ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      20541 | PA      | $20285.72      | 0.00%             | 2027-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                           | G2 MA0204                      | CUSIP: 36179MGM6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    1057619 | PA      | $1039470.77    | 0.02%             | 2027-07-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AK1238                      | CUSIP: 3138E5LU0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      98157 | PA      | $96931.84      | 0.00%             | 2027-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                        | FG J31851                      | CUSIP: 31307NBU7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      52876 | PA      | $50713.56      | 0.00%             | 2030-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AK5121                      | CUSIP: 3138E9VP2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      63194 | PA      | $62438.24      | 0.00%             | 2027-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BZ2911                      | CUSIP: 3140NXGV9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3000000 | PA      | $3020405.70    | 0.07%             | 2030-01-01      | Fixed         | 4.53%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                            | GN 783809                      | CUSIP: 3622A2GS5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    1151160 | PA      | $1129427.72    | 0.03%             | 2028-07-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                        | FG G18695                      | CUSIP: 3128MMXZ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     994206 | PA      | $958601.53     | 0.02%             | 2033-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                        | FG G18658                      | CUSIP: 3128MMWU3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2284 | PA      | $2181.96       | 0.00%             | 2032-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN MA5556                      | CUSIP: 31418FE60<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4447456 | PA      | $4317654.00    | 0.10%             | 2039-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICS                                           | FHR 4815 DA                    | CUSIP: 3137FGT70<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3572782 | PA      | $3538618.03    | 0.08%             | 2046-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                        | FG J19752                      | CUSIP: 3128Q0ZR1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      22788 | PA      | $22480.78      | 0.00%             | 2027-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BS5957                      | CUSIP: 3140LGTP7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     900000 | PA      | $866997.81     | 0.02%             | 2029-07-01      | Fixed         | 3.32%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR RR0017                      | CUSIP: 3142JCAT7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   22963556 | PA      | $23025298.11   | 0.53%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR SB8363                      | CUSIP: 3132D6JG6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   25500022 | PA      | $25568584.35   | 0.59%             | 2040-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                        | FG G18654                      | CUSIP: 3128MMWQ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4348388 | PA      | $4154994.32    | 0.10%             | 2032-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BZ0160                      | CUSIP: 3140NUFA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   13100000 | PA      | $13370046.02   | 0.31%             | 2028-12-01      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                        | FG J36873                      | CUSIP: 31307TT68<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4241 | PA      | $4058.24       | 0.00%             | 2032-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                        | FG J19668                      | CUSIP: 3128Q0W52<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      50578 | PA      | $49914.47      | 0.00%             | 2027-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN MA5800                      | CUSIP: 31418FNS2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   47526507 | PA      | $47654291.52   | 1.09%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR WN5140                      | CUSIP: 3132XKWA1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    8700000 | PA      | $8568750.06    | 0.20%             | 2029-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                        | FG G18684                      | CUSIP: 3128MMXN8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1249985 | PA      | $1205983.81    | 0.03%             | 2033-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR WN1065                      | CUSIP: 3132XFFF0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   13200000 | PA      | $12316003.92   | 0.28%             | 2027-10-01      | Fixed         | 1.05%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Structured Pass Through Certificates | FHMS K071 A2                   | CUSIP: 3137FCLD4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   18400000 | PA      | $18005491.12   | 0.41%             | 2027-11-25      | Fixed         | 3.29%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AK9090                      | CUSIP: 3138EEC49<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      31452 | PA      | $31061.28      | 0.00%             | 2027-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICS                                            | FNR 2012-144 HP                | CUSIP: 3136ABJU8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3861523 | PA      | $3599748.47    | 0.08%             | 2042-07-25      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AK1694                      | CUSIP: 3138E53C0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     142658 | PA      | $140683.44     | 0.00%             | 2027-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR SB0993                      | CUSIP: 3132CXC67<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   24941194 | PA      | $23371707.38   | 0.54%             | 2037-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR SB8371                      | CUSIP: 3132D6JQ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   13067623 | PA      | $13102757.65   | 0.30%             | 2040-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AB6778                      | CUSIP: 31417DQ89<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2523106 | PA      | $2462709.27    | 0.06%             | 2027-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR SB8300                      | CUSIP: 3132D6GH7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1945041 | PA      | $1888882.04    | 0.04%             | 2039-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BZ2686                      | CUSIP: 3140NW6Y6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    8353687 | PA      | $8397531.42    | 0.19%             | 2029-12-01      | Fixed         | 4.48%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BM3793                      | CUSIP: 3140J8GB3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      13456 | PA      | $12974.94      | 0.00%             | 2033-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN MA3158                      | CUSIP: 31418CQL1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     999716 | PA      | $980684.01     | 0.02%             | 2027-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                                    | FNCI 5 8/25                    | CUSIP: 01F050486<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5750000 | PA      | $5765273.15    | 0.13%             | 2025-08-18      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                        | FG J18539                      | CUSIP: 3128PYPY4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      92927 | PA      | $91790.00      | 0.00%             | 2027-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN FS1155                      | CUSIP: 3140XGH93<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4274673 | PA      | $4153469.70    | 0.10%             | 2031-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AK4241                      | CUSIP: 3138E8WB4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      40821 | PA      | $40275.94      | 0.00%             | 2027-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICS                                           | FHR 5097 KE                    | CUSIP: 3137FYP34<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    8143451 | PA      | $7557478.03    | 0.17%             | 2031-04-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN MA4200                      | CUSIP: 31418DU26<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6368236 | PA      | $5997706.53    | 0.14%             | 2030-12-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BH0187                      | CUSIP: 3140GNF57<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3967 | PA      | $3795.20       | 0.00%             | 2032-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN MA5711                      | CUSIP: 31418FKZ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   16515530 | PA      | $16559935.08   | 0.38%             | 2040-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                        | FG J18079                      | CUSIP: 3128PX6Q4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      48941 | PA      | $48387.45      | 0.00%             | 2027-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AS8764                      | CUSIP: 3138WJW20<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3417 | PA      | $3266.99       | 0.00%             | 2032-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AK5385                      | CUSIP: 3138E96X3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      91312 | PA      | $90088.41      | 0.00%             | 2027-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                        | FG J28395                      | CUSIP: 31307HKG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     215462 | PA      | $210702.12     | 0.00%             | 2029-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN MA4367                      | CUSIP: 31418DZ96<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   10737213 | PA      | $10057671.04   | 0.23%             | 2031-06-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BH9242                      | CUSIP: 3140GYHU6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      12285 | PA      | $11702.67      | 0.00%             | 2033-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AS8592                      | CUSIP: 3138WJRN0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     258622 | PA      | $247612.91     | 0.01%             | 2032-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Structured Pass Through Certificates | FHMS K509 A2                   | CUSIP: 3137HAST4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3900000 | PA      | $3958654.83    | 0.09%             | 2028-09-25      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AS5872                      | CUSIP: 3138WFQ25<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7247 | PA      | $6984.35       | 0.00%             | 2030-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae-Aces                                              | FNA 2016-M7 A2                 | CUSIP: 3136AS4R4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    8158061 | PA      | $8013996.56    | 0.18%             | 2026-09-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                        | FG J20162                      | CUSIP: 31306XFB4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      68643 | PA      | $67742.20      | 0.00%             | 2027-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN MA5770                      | CUSIP: 31418FMU8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2973032 | PA      | $2937679.93    | 0.07%             | 2040-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN MA4402                      | CUSIP: 31418D3L4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   10391329 | PA      | $9204627.06    | 0.21%             | 2036-08-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                                    | FNCI 5 9/25                    | CUSIP: 01F050494<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   20250000 | PA      | $20289550.28   | 0.47%             | 2025-09-18      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AI5296                      | CUSIP: 3138AJ3E0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      40512 | PA      | $40027.55      | 0.00%             | 2027-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BL0863                      | CUSIP: 3140HR5Z2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    8200000 | PA      | $8080503.04    | 0.19%             | 2028-12-01      | Fixed         | 3.84%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                | CUSIP: 91282CMH1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  167500000 | PA      | $167657031.25  | 3.85%             | 2027-01-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                           | G2 MA4749                      | CUSIP: 36179TH24<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   28343360 | PA      | $27367384.70   | 0.63%             | 2032-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AI4952                      | CUSIP: 3138AJQE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      20592 | PA      | $20355.11      | 0.00%             | 2026-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BC9043                      | CUSIP: 3140F5BM4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     204978 | PA      | $196420.39     | 0.00%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN MA2803                      | CUSIP: 31418CDH4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     285943 | PA      | $273889.70     | 0.01%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR SB8503                      | CUSIP: 3132D6NU0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   77838465 | PA      | $71400865.76   | 1.64%             | 2035-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN FA0742                      | CUSIP: 3140W0ZG3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5845457 | PA      | $6007460.24    | 0.14%             | 2039-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                        | FG V61427                      | CUSIP: 3132KFSQ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     603714 | PA      | $579177.55     | 0.01%             | 2031-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN MA4424                      | CUSIP: 31418D4J8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1046978 | PA      | $978801.55     | 0.02%             | 2031-09-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AS7605                      | CUSIP: 3138WHNX6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4651 | PA      | $4461.26       | 0.00%             | 2031-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AJ5550                      | CUSIP: 3138AXEY3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     187876 | PA      | $185628.66     | 0.00%             | 2026-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR ZS7502                      | CUSIP: 3132A8KP3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     393593 | PA      | $379148.58     | 0.01%             | 2031-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                        | FG J17998                      | CUSIP: 3128PX3F1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     126044 | PA      | $124501.98     | 0.00%             | 2027-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR RD5065                      | CUSIP: 3133LPTW7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1029125 | PA      | $962112.17     | 0.02%             | 2031-08-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AK1779                      | CUSIP: 3138E56R4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     234023 | PA      | $231004.05     | 0.01%             | 2027-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICS                                            | FNR 2012-110 DA                | CUSIP: 3136A9KB3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4480020 | PA      | $4193351.16    | 0.10%             | 2032-10-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                        | FG G18480                      | CUSIP: 3128MMRA3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9826 | PA      | $9536.54       | 0.00%             | 2028-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                           | G2 MA4624                      | CUSIP: 36179TD51<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   16787618 | PA      | $16223176.34   | 0.37%             | 2032-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AP5109                      | CUSIP: 3138M8VB6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     194630 | PA      | $191535.04     | 0.00%             | 2027-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BJ3746                      | CUSIP: 3140H5EU1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     491520 | PA      | $468571.46     | 0.01%             | 2032-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR RD5067                      | CUSIP: 3133LPTY3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1048125 | PA      | $978406.89     | 0.02%             | 2031-09-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                | CUSIP: 91282CLB5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  215000000 | PA      | $215369531.25  | 4.94%             | 2026-07-31      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                        | FG G18701                      | CUSIP: 3128MMX73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     870112 | PA      | $838343.31     | 0.02%             | 2033-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                        | FG G16000                      | CUSIP: 3128ME3H2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     920020 | PA      | $882198.42     | 0.02%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                        | FG J34184                      | CUSIP: 31307QUH8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      97715 | PA      | $93999.57      | 0.00%             | 2031-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR RD5049                      | CUSIP: 3133LPTE7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   23527020 | PA      | $22088077.28   | 0.51%             | 2031-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                        | FG J20073                      | CUSIP: 31306XCJ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      26659 | PA      | $26397.55      | 0.00%             | 2027-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AJ0918                      | CUSIP: 3138ASAU6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      17839 | PA      | $17585.42      | 0.00%             | 2027-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Structured Pass Through Certificates | FHMS K072 A2                   | CUSIP: 3137FEBQ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   11900000 | PA      | $11678379.16   | 0.27%             | 2027-12-25      | Fixed         | 3.44%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AS7617                      | CUSIP: 3138WHPB2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6279 | PA      | $6025.53       | 0.00%             | 2031-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AK7405                      | CUSIP: 3138ECGP2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      93598 | PA      | $92348.57      | 0.00%             | 2027-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                | CUSIP: 91282CFC0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   85000000 | PA      | $80982421.45   | 1.86%             | 2029-07-31      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BH7081                      | CUSIP: 3140GV2P9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1629 | PA      | $1553.78       | 0.00%             | 2032-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                        | FG J37836                      | CUSIP: 31307UV54<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     906660 | PA      | $893845.22     | 0.02%             | 2027-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Structured Pass Through Certificates | FHMS K086 A2                   | CUSIP: 3137FKSH0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6700000 | PA      | $6620771.16    | 0.15%             | 2028-11-25      | Variable      | 3.86%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AB4927                      | CUSIP: 31417BPM3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      89594 | PA      | $88398.43      | 0.00%             | 2027-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                        | FG J21620                      | CUSIP: 31306YYR6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      24972 | PA      | $24573.62      | 0.00%             | 2028-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AJ2807                      | CUSIP: 3138AUDM6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      72168 | PA      | $71373.74      | 0.00%             | 2026-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                        | FG V61479                      | CUSIP: 3132KFUC4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2135837 | PA      | $2047227.04    | 0.05%             | 2032-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Structured Pass Through Certificates | FHMS K068 A2                   | CUSIP: 3137FBBX3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   15000000 | PA      | $14695711.50   | 0.34%             | 2027-08-25      | Fixed         | 3.24%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AJ2842                      | CUSIP: 3138AUEQ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     191876 | PA      | $189572.95     | 0.00%             | 2027-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AS8195                      | CUSIP: 3138WJC97<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      15901 | PA      | $15244.19      | 0.00%             | 2031-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                        | FG J18025                      | CUSIP: 3128PX4J2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     205116 | PA      | $202710.10     | 0.00%             | 2027-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICS                                            | FNR 2014-83 P                  | CUSIP: 3136ALY88<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    9452820 | PA      | $9077990.74    | 0.21%             | 2043-06-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                        | FG J20179                      | CUSIP: 31306XFU2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      98514 | PA      | $97137.69      | 0.00%             | 2027-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Resolution Funding Corp Principal Strip                      | RFC PRIN STRIP                 | CUSIP: 76116FAB3<br>LEI: N/A                  | Long             | DBT              | USGSE             | US        |  443437000 | PA      | $368389722.12  | 8.45%             | 2030-01-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN CA3748                      | CUSIP: 3140QBEW4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6541 | PA      | $6256.35       | 0.00%             | 2032-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AO4532                      | CUSIP: 3138LVBA0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      60375 | PA      | $59463.99      | 0.00%             | 2027-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AP1528                      | CUSIP: 3138M4VW9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      39459 | PA      | $39004.68      | 0.00%             | 2027-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AS8240                      | CUSIP: 3138WJEN4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     232359 | PA      | $222567.53     | 0.01%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AB3901                      | CUSIP: 31417AKP3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      51291 | PA      | $50726.94      | 0.00%             | 2026-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                           | G2 MA0674                      | CUSIP: 36179MXB1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    4375679 | PA      | $4288023.81    | 0.10%             | 2028-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                                    | FNCL 3 8/25                    | CUSIP: 01F030686<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   93250000 | PA      | $79783385.18   | 1.83%             | 2025-08-13      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AJ7841                      | CUSIP: 3138E0WB1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     120215 | PA      | $118831.69     | 0.00%             | 2026-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN MA3103                      | CUSIP: 31418CNV2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     969344 | PA      | $955310.64     | 0.02%             | 2027-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                                    | FNCL 5.5 8/25                  | CUSIP: 01F052680<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -86750000 | PA      | $-86272198.35  | -1.98%            | 2025-08-13      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AN2417                      | CUSIP: 3138LEVK4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4100000 | PA      | $3994015.41    | 0.09%             | 2026-09-01      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Structured Pass Through Certificates | FHMS K088 A2                   | CUSIP: 3137FKZZ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3900000 | PA      | $3831551.49    | 0.09%             | 2029-01-25      | Fixed         | 3.69%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AS5302                      | CUSIP: 3138WE3L1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1417104 | PA      | $1367097.91    | 0.03%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                                    | FNCL 3.5 8/25                  | CUSIP: 01F032682<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -46625000 | PA      | $-41651058.99  | -0.96%            | 2025-08-13      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                        | FG G14686                      | CUSIP: 3128MDNB5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   10751968 | PA      | $10482073.17   | 0.24%             | 2028-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BM3918                      | CUSIP: 3140J8K85<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     397763 | PA      | $384857.21     | 0.01%             | 2033-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN MA5475                      | CUSIP: 31418FCM7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     562077 | PA      | $563588.73     | 0.01%             | 2039-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AK1662                      | CUSIP: 3138E5Z43<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     217882 | PA      | $215061.81     | 0.00%             | 2027-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AH9595                      | CUSIP: 3138ABUV9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      62962 | PA      | $62271.58      | 0.00%             | 2026-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN DC6105                      | CUSIP: 3140ATYB6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     500001 | PA      | $501344.94     | 0.01%             | 2040-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN MA4225                      | CUSIP: 31418DVT6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   20340385 | PA      | $19142080.07   | 0.44%             | 2031-01-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN FM6612                      | CUSIP: 3140XAK27<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   23086370 | PA      | $21994763.28   | 0.50%             | 2031-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AK7750                      | CUSIP: 3138ECTG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     188393 | PA      | $185962.28     | 0.00%             | 2027-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AS9878                      | CUSIP: 3138WK6Q3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2310 | PA      | $2206.40       | 0.00%             | 2032-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BZ3970                      | CUSIP: 3140NYMU2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1700000 | PA      | $1682048.68    | 0.04%             | 2030-05-01      | Fixed         | 4.11%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN MA5771                      | CUSIP: 31418FMV6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   22692175 | PA      | $22753187.85   | 0.52%             | 2040-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AB3004                      | CUSIP: 31416YKS6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      16940 | PA      | $16810.58      | 0.00%             | 2026-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN MA4409                      | CUSIP: 31418D3T7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1018637 | PA      | $952291.20     | 0.02%             | 2031-08-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AP6298                      | CUSIP: 3138M97L9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     256029 | PA      | $252063.52     | 0.01%             | 2027-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR RC1756                      | CUSIP: 3133L75R4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   22245841 | PA      | $19726194.50   | 0.45%             | 2036-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BL5156                      | CUSIP: 3140HWWS7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1600000 | PA      | $1476705.44    | 0.03%             | 2029-12-01      | Fixed         | 2.37%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN MA5591                      | CUSIP: 31418FF93<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6365751 | PA      | $6472423.16    | 0.15%             | 2040-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR WN5229                      | CUSIP: 3132XKY35<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    7300000 | PA      | $7223531.04    | 0.17%             | 2030-02-01      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                        | FG E03077                      | CUSIP: 31294MM24<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      32160 | PA      | $31812.14      | 0.00%             | 2027-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR SB8287                      | CUSIP: 3132D6F47<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2000001 | PA      | $2006628.26    | 0.05%             | 2039-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                        | FG G15860                      | CUSIP: 3128MEWV9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     107903 | PA      | $103748.45     | 0.00%             | 2031-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                        | FG J19995                      | CUSIP: 3128Q1C86<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      82091 | PA      | $80944.82      | 0.00%             | 2027-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN FS3215                      | CUSIP: 3140XJSD6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     894698 | PA      | $832746.80     | 0.02%             | 2032-05-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                        | FG J35760                      | CUSIP: 31307SMH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1599754 | PA      | $1534033.22    | 0.04%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BJ2987                      | CUSIP: 3140H4J96<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      52248 | PA      | $49730.17      | 0.00%             | 2032-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AM9087                      | CUSIP: 3138LACZ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   20689846 | PA      | $20217523.24   | 0.46%             | 2027-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AK1765                      | CUSIP: 3138E56B9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     272850 | PA      | $269456.33     | 0.01%             | 2027-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR RD5042                      | CUSIP: 3133LPS73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6180102 | PA      | $5815735.78    | 0.13%             | 2030-12-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AO7874                      | CUSIP: 3138LYXC6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      29173 | PA      | $28782.34      | 0.00%             | 2027-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                        | FG J19185                      | CUSIP: 3128Q0F28<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     153436 | PA      | $151489.30     | 0.00%             | 2027-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICS                                            | FNR 2003-90 BA                 | CUSIP: 31393ETS8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4210137 | PA      | $4302453.31    | 0.10%             | 2033-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN MA4389                      | CUSIP: 31418D2X9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   27047187 | PA      | $25304955.99   | 0.58%             | 2031-07-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                        | FG J18743                      | CUSIP: 3128PYWC4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      17936 | PA      | $17750.94      | 0.00%             | 2027-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AM8441                      | CUSIP: 3138L9LX8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4436566 | PA      | $4336190.45    | 0.10%             | 2027-04-01      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                        | FG J18384                      | CUSIP: 3128PYJ54<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      51100 | PA      | $50474.59      | 0.00%             | 2027-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AS8386                      | CUSIP: 3138WJJ82<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3636390 | PA      | $3483153.37    | 0.08%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BZ3500                      | CUSIP: 3140NX3J0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3400000 | PA      | $3405749.40    | 0.08%             | 2030-05-01      | Fixed         | 4.53%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AK5463                      | CUSIP: 3138EAB97<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      55472 | PA      | $54780.22      | 0.00%             | 2027-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BZ3037                      | CUSIP: 3140NXLT8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3100000 | PA      | $3144396.96    | 0.07%             | 2030-02-01      | Fixed         | 4.71%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BS9041                      | CUSIP: 3140LLBK6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   10400000 | PA      | $10519684.24   | 0.24%             | 2028-08-01      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| Vanguard Cmt Funds-Vanguard Market Liquidity Fund            | Vanguard Market Liquidity Fund | CUSIP: N/A<br>LEI: 1I6HV0TLSTR3A4XQ6L78       | Long             | STIV             | CORP              | US        |   51603590 | NS      | $51598429.35   | 1.18%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae Pool                                              | FN AN5171                      | CUSIP: 3138LHW91<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     800000 | PA      | $785698.96     | 0.02%             | 2027-04-01      | Fixed         | 3.29%                 | No            |                  2 | On Loan: No      |
| Resolution Funding Corp Principal Strip                      | RFC PRIN STRIP                 | CUSIP: 76116FAC1<br>LEI: N/A                  | Long             | DBT              | USGSE             | US        |  232107000 | PA      | $190644101.84  | 4.37%             | 2030-04-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN FM9637                      | CUSIP: 3140XDV78<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   45639823 | PA      | $41480113.43   | 0.95%             | 2036-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BJ0958                      | CUSIP: 3140H2B49<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8960 | PA      | $8532.23       | 0.00%             | 2032-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN MA4278                      | CUSIP: 31418DXG2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   12228738 | PA      | $10843666.10   | 0.25%             | 2036-03-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AS8712                      | CUSIP: 3138WJVE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3991 | PA      | $3817.89       | 0.00%             | 2032-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AB6335                      | CUSIP: 31417DBD4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      16836 | PA      | $16445.62      | 0.00%             | 2027-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BP7591                      | CUSIP: 3140KFNH4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4959384 | PA      | $4414713.54    | 0.10%             | 2035-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                     | GNR 2022-30 DA                 | CUSIP: 38383F3W1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6276102 | PA      | $5815189.68    | 0.13%             | 2049-09-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                           | G2 MA4356                      | CUSIP: 36179SZV2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   16715846 | PA      | $16172236.66   | 0.37%             | 2032-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BL5367                      | CUSIP: 3140HW6D9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2227007 | PA      | $2155850.53    | 0.05%             | 2027-02-01      | Fixed         | 2.22%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Banks                                      | FED HOME LN BANK               | CUSIP: 3130B0EE5<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGSE             | US        |  100000000 | PA      | $100228800.00  | 2.30%             | 2028-03-06      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                        | FG J19170                      | CUSIP: 3128Q0FK8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      77500 | PA      | $76587.63      | 0.00%             | 2027-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AS8008                      | CUSIP: 3138WH3S9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     369923 | PA      | $354806.13     | 0.01%             | 2031-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR SB8383                      | CUSIP: 3132D6J43<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5819399 | PA      | $5750201.79    | 0.13%             | 2040-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                        | FG J19616                      | CUSIP: 3128Q0VH7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      87213 | PA      | $85995.25      | 0.00%             | 2027-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AS7697                      | CUSIP: 3138WHRT1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     183130 | PA      | $175565.99     | 0.00%             | 2031-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN CA5269                      | CUSIP: 3140QC2B1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    7309658 | PA      | $6872522.48    | 0.16%             | 2035-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BL1276                      | CUSIP: 3140HSM24<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5000000 | PA      | $4907621.50    | 0.11%             | 2029-01-01      | Fixed         | 3.79%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | US 10YR NOTE (CBT)Sep25        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |        534 | NC      | $-157562.28    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae Pool                                              | FN AB8546                      | CUSIP: 31417FP85<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5526932 | PA      | $5378054.83    | 0.12%             | 2028-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN MA3187                      | CUSIP: 31418CRH9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      98813 | PA      | $94203.49      | 0.00%             | 2032-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                        | FG G18559                      | CUSIP: 3128MMTR4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     151655 | PA      | $145165.89     | 0.00%             | 2030-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN CA8380                      | CUSIP: 3140QGJ24<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1041975 | PA      | $954170.68     | 0.02%             | 2035-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                        | FG J31975                      | CUSIP: 31307NFQ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     328202 | PA      | $314763.67     | 0.01%             | 2030-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICS                                            | FNR 2022-16 KA                 | CUSIP: 3136BMNF1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   16414717 | PA      | $15322855.76   | 0.35%             | 2049-11-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN MA4497                      | CUSIP: 31418D7K2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    9962709 | PA      | $9048460.04    | 0.21%             | 2036-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICS                                           | FHR 4139 EB                    | CUSIP: 3137AWXK6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1480082 | PA      | $1421029.84    | 0.03%             | 2032-12-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                           | G2 MA4808                      | CUSIP: 36179TKV6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   35062356 | PA      | $33864710.53   | 0.78%             | 2032-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN MA2510                      | CUSIP: 31418BYG5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     110171 | PA      | $106128.45     | 0.00%             | 2031-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Private Export Funding Corp                                  | PRIVATE EXPT FDG               | CUSIP: 742651EA6<br>LEI: CYQE6SAYPFKNQJ6FMH60 | Long             | DBT              | CORP              | US        |   34000000 | PA      | $34074578.66   | 0.78%             | 2028-12-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AJ4958                      | CUSIP: 3138AWQL0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     186883 | PA      | $184826.88     | 0.00%             | 2026-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                        | FG J37643                      | CUSIP: 31307UP44<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2325 | PA      | $2218.66       | 0.00%             | 2032-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | US 5YR NOTE (CBT) Sep25        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |      -1002 | NC      | $249899.35     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac Pool                                             | FR SB8508                      | CUSIP: 3132D6NZ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   32747131 | PA      | $29956924.90   | 0.69%             | 2036-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BC0257                      | CUSIP: 3140EUJB6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     415492 | PA      | $400062.27     | 0.01%             | 2031-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                                    | FNCI 2.5 8/25                  | CUSIP: 01F022485<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -4000000 | PA      | $-3712968.80   | -0.09%            | 2025-08-18      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN MA4308                      | CUSIP: 31418DYE6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   10339407 | PA      | $9700060.11    | 0.22%             | 2031-04-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                        | FG J17850                      | CUSIP: 3128PXWK8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      82761 | PA      | $81865.52      | 0.00%             | 2027-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AT2769                      | CUSIP: 3138WQCF7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     578973 | PA      | $562948.99     | 0.01%             | 2028-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Structured Pass Through Certificates | FHMS K061 A2                   | CUSIP: 3137BTUM1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   36231158 | PA      | $35651535.41   | 0.82%             | 2026-11-25      | Variable      | 3.35%                 | No            |                  2 | On Loan: No      |
| United States Treasury Inflation Indexed Bonds               | TSY INFL IX N/B                | CUSIP: 91282CNS6<br>LEI: 254900HROIFWPRGM1V77 | Long             | SN               | UST               | US        |   10009922 | PA      | $9918816.29    | 0.23%             | 2035-07-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR SB8509                      | CUSIP: 3132D6N22<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   46675531 | PA      | $42669389.03   | 0.98%             | 2036-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR RD5075                      | CUSIP: 3133LPT80<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2286170 | PA      | $2128044.21    | 0.05%             | 2031-12-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                        | FG J17640                      | CUSIP: 3128PXPZ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     130988 | PA      | $129507.07     | 0.00%             | 2027-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                        | FG J25237                      | CUSIP: 31307DZA7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     302561 | PA      | $297020.00     | 0.01%             | 2028-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR QS0204                      | CUSIP: 3133HMGM5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5646109 | PA      | $5262869.77    | 0.12%             | 2031-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BM1543                      | CUSIP: 3140J5WD7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     403373 | PA      | $395172.37     | 0.01%             | 2032-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                        | FG J22872                      | CUSIP: 31307BFM7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4780389 | PA      | $4660341.96    | 0.11%             | 2028-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR RC2277                      | CUSIP: 3133L8Q65<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     999391 | PA      | $884634.90     | 0.02%             | 2036-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                        | FG J18807                      | CUSIP: 3128PYYC2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      20737 | PA      | $20484.07      | 0.00%             | 2027-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AL3773                      | CUSIP: 3138ELFP3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     166244 | PA      | $163614.90     | 0.00%             | 2028-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                            | GN 783707                      | CUSIP: 3622A2DL3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    3860830 | PA      | $3787942.90    | 0.09%             | 2028-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AS0001                      | CUSIP: 3138W9AB6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     150053 | PA      | $145580.13     | 0.00%             | 2028-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN FS6029                      | CUSIP: 3140XMVX1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   20168307 | PA      | $19309276.22   | 0.44%             | 2035-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN FM8991                      | CUSIP: 3140XC7D4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   32708875 | PA      | $30538150.88   | 0.70%             | 2036-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                        | FG J20109                      | CUSIP: 31306XDN0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     105718 | PA      | $104241.28     | 0.00%             | 2027-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AN1760                      | CUSIP: 3138LD5W9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     800000 | PA      | $785590.80     | 0.02%             | 2026-06-01      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                        | FG E03033                      | CUSIP: 31294MLN9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      50366 | PA      | $49846.17      | 0.00%             | 2027-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                           | G2 MA0601                      | CUSIP: 36179MU24<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    3197718 | PA      | $3133656.96    | 0.07%             | 2027-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN MA4522                      | CUSIP: 31418EAY6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6899810 | PA      | $6422207.87    | 0.15%             | 2032-01-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BL2246                      | CUSIP: 3140HTP86<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1517355 | PA      | $1456002.93    | 0.03%             | 2029-04-01      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR RD5081                      | CUSIP: 3133LPUE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1205847 | PA      | $1120712.66    | 0.03%             | 2032-03-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AK5116                      | CUSIP: 3138E9VJ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      28832 | PA      | $28473.24      | 0.00%             | 2027-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AP2678                      | CUSIP: 3138M56Q7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      36955 | PA      | $36414.21      | 0.00%             | 2027-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AJ5553                      | CUSIP: 3138AXE31<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      85220 | PA      | $84197.86      | 0.00%             | 2026-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AP4734                      | CUSIP: 3138M8HL0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      72662 | PA      | $71624.42      | 0.00%             | 2027-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                           | G2SF 2.5 8/25                  | CUSIP: 21H022689<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |  -36500000 | PA      | $-30670147.00  | -0.70%            | 2025-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AN6611                      | CUSIP: 3138LKKZ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1096744 | PA      | $1066158.03    | 0.02%             | 2027-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                        | FG J19968                      | CUSIP: 3128Q1CD5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     114562 | PA      | $113009.81     | 0.00%             | 2027-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR SB0545                      | CUSIP: 3132CWTA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   11029745 | PA      | $10100300.50   | 0.23%             | 2035-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                        | FG J18101                      | CUSIP: 3128PYAA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      67314 | PA      | $66524.16      | 0.00%             | 2027-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BE3977                      | CUSIP: 3140FPM30<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5724 | PA      | $5475.70       | 0.00%             | 2032-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae-Aces                                              | FNA 2018-M10 A2                | CUSIP: 3136B2HA3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5526064 | PA      | $5392914.92    | 0.12%             | 2028-07-25      | Variable      | 3.35%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                     | GNR 2014-5 LP                  | CUSIP: 38376MBN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          0 | PA      | $0.01          | 0.00%             | 2043-06-16      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                        | FG G16661                      | CUSIP: 3128MFTS7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1872550 | PA      | $1787101.27    | 0.04%             | 2033-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                        | FG J20933                      | CUSIP: 31306YBA8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      74748 | PA      | $73645.60      | 0.00%             | 2027-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                                    | FNCL 5 8/25                    | CUSIP: 01F050684<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        | -152500000 | PA      | $-148407525.25 | -3.41%            | 2025-08-13      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AJ4252                      | CUSIP: 3138AVWN1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      16325 | PA      | $16162.54      | 0.00%             | 2026-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AK4301                      | CUSIP: 3138E8X72<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     173100 | PA      | $170779.73     | 0.00%             | 2027-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR RD5079                      | CUSIP: 3133LPUC9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1194867 | PA      | $1110538.35    | 0.03%             | 2032-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN MA4476                      | CUSIP: 31418D6N7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    7368326 | PA      | $6873098.51    | 0.16%             | 2031-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR RD5070                      | CUSIP: 3133LPT31<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    7623070 | PA      | $7110787.63    | 0.16%             | 2031-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN MA4390                      | CUSIP: 31418D2Y7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   16143596 | PA      | $15324892.90   | 0.35%             | 2031-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                | CUSIP: 91282CLQ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   75000000 | PA      | $74917968.75   | 1.72%             | 2027-10-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                        | FG G16186                      | CUSIP: 3128MFCX4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5373 | PA      | $5181.37       | 0.00%             | 2031-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                                    | FNCI 5 8/25                    | CUSIP: 01F050486<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        | -195250000 | PA      | $-195768623.05 | -4.49%            | 2025-08-18      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN FS6195                      | CUSIP: 3140XM3D6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     242615 | PA      | $236595.18     | 0.01%             | 2037-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN MA4448                      | CUSIP: 31418D5J7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   18235090 | PA      | $17022435.00   | 0.39%             | 2031-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AK2625                      | CUSIP: 3138E64K9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      62318 | PA      | $61514.08      | 0.00%             | 2027-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN MA3738                      | CUSIP: 31418DEL2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     582066 | PA      | $558965.12     | 0.01%             | 2034-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BZ1079                      | CUSIP: 3140NVFV4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2697266 | PA      | $2763704.32    | 0.06%             | 2029-06-01      | Fixed         | 5.22%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                        | FG G18626                      | CUSIP: 3128MMVU4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     262900 | PA      | $251881.91     | 0.01%             | 2032-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                        | FG J19879                      | CUSIP: 3128Q06Q5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      45074 | PA      | $44408.60      | 0.00%             | 2027-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | US ULTRA BOND CBT Sep25        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |         36 | NC      | $72315.18      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae Pool                                              | FN AS8009                      | CUSIP: 3138WH3T7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6881 | PA      | $6596.99       | 0.00%             | 2031-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae-Aces                                              | FNA 2018-M8 A2                 | CUSIP: 3136B2GX4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   14590483 | PA      | $14223205.40   | 0.33%             | 2028-06-25      | Variable      | 3.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AN1881                      | CUSIP: 3138LECT6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    8390974 | PA      | $8131128.42    | 0.19%             | 2028-05-01      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Principal Strip                                   | FNMA 0 11/15/2030              | CUSIP: 31358DDS0<br>LEI: N/A                  | Long             | DBT              | USGSE             | US        |    7000000 | PA      | $5610808.00    | 0.13%             | 2030-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR RD5046                      | CUSIP: 3133LPTB3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   10196129 | PA      | $9587457.63    | 0.22%             | 2031-01-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                        | FG J17615                      | CUSIP: 3128PXN85<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      86658 | PA      | $85637.26      | 0.00%             | 2027-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR RR0009                      | CUSIP: 3142JCAK6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   26863143 | PA      | $26935369.47   | 0.62%             | 2040-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Structured Pass Through Certificates | FHMS K059 A2                   | CUSIP: 3137BSRE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   15900000 | PA      | $15668255.91   | 0.36%             | 2026-09-25      | Variable      | 3.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AJ2780                      | CUSIP: 3138AUCS4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     140501 | PA      | $138955.49     | 0.00%             | 2026-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AP3432                      | CUSIP: 3138M6Y68<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     187804 | PA      | $184969.19     | 0.00%             | 2027-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AL9994                      | CUSIP: 3138ESC89<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     366520 | PA      | $351062.09     | 0.01%             | 2032-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AP3419                      | CUSIP: 3138M6YR2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     201396 | PA      | $198290.90     | 0.00%             | 2027-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AK1772                      | CUSIP: 3138E56J2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      32157 | PA      | $31755.91      | 0.00%             | 2027-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AP6603                      | CUSIP: 3138MAKR8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     225782 | PA      | $222192.76     | 0.01%             | 2027-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICS                                           | FHR 4681 DA                    | CUSIP: 3137BYFS4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2809598 | PA      | $2731354.70    | 0.06%             | 2045-04-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN MA3246                      | CUSIP: 31418CTC8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     156449 | PA      | $149087.38     | 0.00%             | 2033-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BE3963                      | CUSIP: 3140FPMM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6294 | PA      | $6020.97       | 0.00%             | 2032-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BC0255                      | CUSIP: 3140EUH93<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     291174 | PA      | $280486.45     | 0.01%             | 2031-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AJ0291                      | CUSIP: 3138ARKD5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     126864 | PA      | $125677.26     | 0.00%             | 2026-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                           | G2 MA4484                      | CUSIP: 36179S6V4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    7805626 | PA      | $7545318.58    | 0.17%             | 2032-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AN8051                      | CUSIP: 3138LL5M3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3919040 | PA      | $3792544.24    | 0.09%             | 2028-01-01      | Fixed         | 2.91%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN MA4172                      | CUSIP: 31418DT69<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     706030 | PA      | $665493.79     | 0.02%             | 2030-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN DD9880                      | CUSIP: 3140BA6S0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1437923 | PA      | $1441789.50    | 0.03%             | 2040-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICS                                            | FNR 2013-24 PD                 | CUSIP: 3136AB7F4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5462669 | PA      | $5133557.40    | 0.12%             | 2033-03-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AK0889                      | CUSIP: 3138E47B1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      58179 | PA      | $57455.83      | 0.00%             | 2027-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN MA4284                      | CUSIP: 31418DXN7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    8507162 | PA      | $7987277.58    | 0.18%             | 2031-03-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AS8011                      | CUSIP: 3138WH3V2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     627924 | PA      | $602263.95     | 0.01%             | 2031-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BC2863                      | CUSIP: 3140EXFD0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1801948 | PA      | $1728218.71    | 0.04%             | 2031-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                           | G2 MA0374                      | CUSIP: 36179MMX5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    1606561 | PA      | $1577138.46    | 0.04%             | 2027-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AN4860                      | CUSIP: 3138LHMJ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4100000 | PA      | $4019810.15    | 0.09%             | 2027-03-01      | Fixed         | 3.14%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR SB0625                      | CUSIP: 3132CWVS0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    7279998 | PA      | $6943300.57    | 0.16%             | 2037-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AB7031                      | CUSIP: 31417DY56<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2468692 | PA      | $2409604.68    | 0.06%             | 2027-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AO0621                      | CUSIP: 3138LQVP6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      38019 | PA      | $37479.08      | 0.00%             | 2027-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                | CUSIP: 91282CHB0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   35000000 | PA      | $34844140.45   | 0.80%             | 2026-05-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BR1050                      | CUSIP: 3140KYEY6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1035570 | PA      | $919572.11     | 0.02%             | 2036-05-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AK5114                      | CUSIP: 3138E9VG2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      89592 | PA      | $88432.42      | 0.00%             | 2027-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BM3753                      | CUSIP: 3140J8E33<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     418495 | PA      | $412387.83     | 0.01%             | 2031-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AN8717                      | CUSIP: 3138LMVK6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     300000 | PA      | $291243.63     | 0.01%             | 2028-03-01      | Fixed         | 3.02%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN FM7428                      | CUSIP: 3140XBHE3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   14255925 | PA      | $12730345.72   | 0.29%             | 2036-05-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN FS0819                      | CUSIP: 3140XF4D0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    7599827 | PA      | $7090714.48    | 0.16%             | 2037-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BS1548                      | CUSIP: 3140LBWJ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   33000000 | PA      | $30566174.10   | 0.70%             | 2028-03-01      | Fixed         | 1.33%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                        | FG J23978                      | CUSIP: 31307CM39<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     259903 | PA      | $255339.61     | 0.01%             | 2028-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AB8440                      | CUSIP: 31417FLW6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5610209 | PA      | $5467417.12    | 0.13%             | 2028-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AL9102                      | CUSIP: 3138ERDG2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     901722 | PA      | $874016.52     | 0.02%             | 2031-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN MA4530                      | CUSIP: 31418EA83<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1185000 | PA      | $1102138.50    | 0.03%             | 2032-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN FS1712                      | CUSIP: 3140XG3W7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    9571235 | PA      | $9257750.64    | 0.21%             | 2033-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AO4444                      | CUSIP: 3138LU5E1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     158709 | PA      | $156185.37     | 0.00%             | 2027-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | US 2YR NOTE (CBT) Sep25        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |       1191 | NC      | $-375989.16    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Federal Home Loan Mortgage Corp                              | FREDDIE MAC                    | CUSIP: 3134GXR97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGSE             | US        |   52950000 | PA      | $52946346.45   | 1.21%             | 2025-08-28      | Fixed         | 4.16%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICS                                           | FHR 5194 AE                    | CUSIP: 3137H5R74<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   14166934 | PA      | $12204476.79   | 0.28%             | 2049-08-25      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Tennessee Valley Authority                                   | TENN VALLEY AUTH               | CUSIP: 880591FD9<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGA              | US        |   14600000 | PA      | $14810586.60   | 0.34%             | 2035-05-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BM4130                      | CUSIP: 3140J8SU8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1256174 | PA      | $1238717.27    | 0.03%             | 2032-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                        | FG J18991                      | CUSIP: 3128PY7C2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     188724 | PA      | $186246.47     | 0.00%             | 2027-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | US LONG BOND(CBT) Sep25        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |         52 | NC      | $17637.66      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac Gold Pool                                        | FG J17562                      | CUSIP: 3128PXMK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      35934 | PA      | $35564.79      | 0.00%             | 2026-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AH9592                      | CUSIP: 3138ABUS6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      67298 | PA      | $66523.95      | 0.00%             | 2026-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN MA2921                      | CUSIP: 31418CG73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3516 | PA      | $3363.17       | 0.00%             | 2032-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                        | FG J24867                      | CUSIP: 31307DMQ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     173763 | PA      | $170644.14     | 0.00%             | 2028-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR RD5055                      | CUSIP: 3133LPTL1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    7333303 | PA      | $6879597.27    | 0.16%             | 2031-04-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR ZS8629                      | CUSIP: 3132A9SS7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     289814 | PA      | $277591.09     | 0.01%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AK2631                      | CUSIP: 3138E64R4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      85286 | PA      | $84221.16      | 0.00%             | 2027-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AS8194                      | CUSIP: 3138WJC89<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     239060 | PA      | $229087.09     | 0.01%             | 2031-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                | CUSIP: 91282CBS9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   80000000 | PA      | $74684375.20   | 1.71%             | 2028-03-31      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AK1215                      | CUSIP: 3138E5K56<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     151104 | PA      | $149087.17     | 0.00%             | 2027-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR RD5059                      | CUSIP: 3133LPTQ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     967244 | PA      | $906012.97     | 0.02%             | 2031-06-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                        | FG J35338                      | CUSIP: 31307R4X0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     148569 | PA      | $142517.82     | 0.00%             | 2031-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                        | FG J18261                      | CUSIP: 3128PYFA7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      72879 | PA      | $72055.36      | 0.00%             | 2027-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                        | FG J28398                      | CUSIP: 31307HKK2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     478718 | PA      | $468237.90     | 0.01%             | 2029-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                | CUSIP: 91282CFZ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   43000000 | PA      | $42959687.50   | 0.99%             | 2027-11-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AH9590                      | CUSIP: 3138ABUQ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      76641 | PA      | $75761.37      | 0.00%             | 2026-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                        | FG J17463                      | CUSIP: 3128PXJG2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      26097 | PA      | $25899.64      | 0.00%             | 2026-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AS8429                      | CUSIP: 3138WJLK2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     553838 | PA      | $530729.42     | 0.01%             | 2031-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BL5364                      | CUSIP: 3140HW6A5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3563210 | PA      | $3449360.79    | 0.08%             | 2027-02-01      | Fixed         | 2.22%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                        | FG G18469                      | CUSIP: 3128MMQX4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    9117296 | PA      | $8861788.76    | 0.20%             | 2028-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                        | FG J37112                      | CUSIP: 31307T3V1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2521 | PA      | $2405.34       | 0.00%             | 2032-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                        | FG J18785                      | CUSIP: 3128PYXN9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      41267 | PA      | $40780.50      | 0.00%             | 2027-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                | CUSIP: 91282CMF5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   80000000 | PA      | $80621875.20   | 1.85%             | 2028-01-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN MA4331                      | CUSIP: 31418DY55<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     951639 | PA      | $892073.74     | 0.02%             | 2031-05-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AB7028                      | CUSIP: 31417DY23<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2537862 | PA      | $2477116.55    | 0.06%             | 2027-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR SB8346                      | CUSIP: 3132D6HX1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5815145 | PA      | $5645426.26    | 0.13%             | 2039-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                           | G2 MA4935                      | CUSIP: 36179TPU3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   20601311 | PA      | $19886752.86   | 0.46%             | 2033-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                        | FG J34888                      | CUSIP: 31307RND3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6139372 | PA      | $5900378.17    | 0.14%             | 2031-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                        | FG J20846                      | CUSIP: 31306X5F6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     126515 | PA      | $124697.35     | 0.00%             | 2027-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN FM6278                      | CUSIP: 3140X96Q3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   13699286 | PA      | $12160497.16   | 0.28%             | 2036-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN FM8990                      | CUSIP: 3140XC7C6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   28482931 | PA      | $26663868.87   | 0.61%             | 2036-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN MA4515                      | CUSIP: 31418EAR1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   12600763 | PA      | $11130238.58   | 0.26%             | 2037-01-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AN1613                      | CUSIP: 3138LDYK3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2120403 | PA      | $2080881.75    | 0.05%             | 2026-07-01      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                           | G2 MA4690                      | CUSIP: 36179TF75<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   24017708 | PA      | $23203550.58   | 0.53%             | 2032-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Structured Pass Through Certificates | FHMS K058 A2                   | CUSIP: 3137BSP72<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   26223000 | PA      | $25733912.20   | 0.59%             | 2026-08-25      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                        | FG J35072                      | CUSIP: 31307RT54<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     491689 | PA      | $471876.05     | 0.01%             | 2031-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR SB0982                      | CUSIP: 3132CXCT7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4845258 | PA      | $4694215.76    | 0.11%             | 2037-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AS8388                      | CUSIP: 3138WJKA5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     320533 | PA      | $307024.61     | 0.01%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                        | FG G18622                      | CUSIP: 3128MMVQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2999423 | PA      | $2874967.49    | 0.07%             | 2031-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AK5394                      | CUSIP: 3138E97G9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     125930 | PA      | $124359.13     | 0.00%             | 2027-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                        | FG J25270                      | CUSIP: 31307D2B1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     286670 | PA      | $281527.98     | 0.01%             | 2028-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                           | G2 MA0072                      | CUSIP: 36179MCH1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     733468 | PA      | $721769.16     | 0.02%             | 2027-05-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                        | FG J19973                      | CUSIP: 3128Q1CJ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      74257 | PA      | $73314.39      | 0.00%             | 2027-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BL9595                      | CUSIP: 3140J2UV6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   16500000 | PA      | $15362980.05   | 0.35%             | 2027-12-01      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                                    | FNCL 4 8/25                    | CUSIP: 01F040685<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   44500000 | PA      | $41035603.80   | 0.94%             | 2025-08-13      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AN2411                      | CUSIP: 3138LEVD0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   20000000 | PA      | $19558930.00   | 0.45%             | 2026-08-01      | Fixed         | 2.34%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICS                                           | FHR 5110 HG                    | CUSIP: 3137H0FB9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5224603 | PA      | $4726825.83    | 0.11%             | 2041-05-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AS6268                      | CUSIP: 3138WF6E1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     258071 | PA      | $248839.84     | 0.01%             | 2030-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                        | FG V61321                      | CUSIP: 3132KFPE6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     211060 | PA      | $202477.52     | 0.00%             | 2031-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR RR0002                      | CUSIP: 3142JCAC4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4970685 | PA      | $4984049.24    | 0.11%             | 2040-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                        | FG J19765                      | CUSIP: 3128Q0Z67<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     234577 | PA      | $231512.93     | 0.01%             | 2027-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                        | FG G18669                      | CUSIP: 3128MMW74<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2242114 | PA      | $2138953.42    | 0.05%             | 2032-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BZ2941                      | CUSIP: 3140NXHT3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3700000 | PA      | $3750623.40    | 0.09%             | 2030-01-01      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AN6586                      | CUSIP: 3138LKJ81<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    9660049 | PA      | $9368831.57    | 0.21%             | 2027-09-01      | Fixed         | 2.84%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN MA5683                      | CUSIP: 31418FJ57<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   43000006 | PA      | $43115619.80   | 0.99%             | 2040-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AR6296                      | CUSIP: 3138W37J6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      47047 | PA      | $46223.57      | 0.00%             | 2028-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BM3828                      | CUSIP: 3140J8HE6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2782776 | PA      | $2740834.20    | 0.06%             | 2032-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Structured Pass Through Certificates | FHMS K057 A2                   | CUSIP: 3137BRQJ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   61933466 | PA      | $60882467.87   | 1.40%             | 2026-07-25      | Fixed         | 2.57%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BS5066                      | CUSIP: 3140LFTY0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   10200000 | PA      | $9516102.24    | 0.22%             | 2029-04-01      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| United States Treasury Note/Bond                             | US TREASURY N/B                | CUSIP: 91282CLS8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   57700000 | PA      | $57690984.38   | 1.32%             | 2026-10-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BC9254                      | CUSIP: 3140F5H89<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     256013 | PA      | $245889.79     | 0.01%             | 2031-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae I Pool                                            | GN 783796                      | CUSIP: 3622A2GD8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    1008868 | PA      | $989223.55     | 0.02%             | 2028-04-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR RD5057                      | CUSIP: 3133LPTN7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     933598 | PA      | $875163.50     | 0.02%             | 2031-05-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR RD5044                      | CUSIP: 3133LPS99<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    9454805 | PA      | $8904389.03    | 0.20%             | 2030-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BS3631                      | CUSIP: 3140LEA98<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    8500000 | PA      | $8153651.35    | 0.19%             | 2026-11-01      | Fixed         | 1.16%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR RC2193                      | CUSIP: 3133L8NJ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4113612 | PA      | $3782395.91    | 0.09%             | 2036-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BZ2443                      | CUSIP: 3140NWWD3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1400000 | PA      | $1412893.86    | 0.03%             | 2029-11-01      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN CB0405                      | CUSIP: 3140QKNX2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6961983 | PA      | $6340506.63    | 0.15%             | 2036-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AB7030                      | CUSIP: 31417DY49<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2492021 | PA      | $2432372.89    | 0.06%             | 2027-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                                    | FNCL 4 8/25                    | CUSIP: 01F040685<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -44500000 | PA      | $-41035603.80  | -0.94%            | 2025-08-13      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Gold Pool                                        | FG G18691                      | CUSIP: 3128MMXV0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3101028 | PA      | $2989065.20    | 0.07%             | 2033-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BZ1040                      | CUSIP: 3140NVEN3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2770960 | PA      | $2869365.42    | 0.07%             | 2029-06-01      | Fixed         | 5.47%                 | No            |                  2 | On Loan: No      |
| Fannie Mae-Aces                                              | FNA 2017-M15 A2                | CUSIP: 3136AY6X6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3890210 | PA      | $3787576.51    | 0.09%             | 2027-09-25      | Variable      | 2.97%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN AB8788                      | CUSIP: 31417FXS2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    8032807 | PA      | $7822353.67    | 0.18%             | 2028-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Interest Strip                                    | FNMA GEN STRIP                 | CUSIP: 31359YBA4<br>LEI: N/A                  | Long             | DBT              | USGSE             | US        |    8000000 | PA      | $7898096.00    | 0.18%             | 2025-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                           | G2 MA4235                      | CUSIP: 36179SV46<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   31239001 | PA      | $30250186.80   | 0.69%             | 2032-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BL6627                      | CUSIP: 3140HYLH9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3151174 | PA      | $3004779.76    | 0.07%             | 2027-05-01      | Fixed         | 1.53%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Pool                                             | FR RD5077                      | CUSIP: 3133LPUA3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2363294 | PA      | $2198170.37    | 0.05%             | 2032-01-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                              | FN BS9882                      | CUSIP: 3140LL6U0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4800000 | PA      | $4913918.40    | 0.11%             | 2028-11-01      | Fixed         | 5.09%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II Pool                                           | G2 MA4559                      | CUSIP: 36179TB46<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   12896292 | PA      | $12466211.34   | 0.29%             | 2032-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                          | US 6-7 NOTE FRI W1Aug25C       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | N/A       |        671 | NC      | $178234.38     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae or Freddie Mac                                    | FNCL 5 8/25                    | CUSIP: 01F050684<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   17550000 | PA      | $17079029.96   | 0.39%             | 2025-08-13      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-09-25

**Name of Applicant:** VANGUARD FIXED INCOME SECURITIES FUNDS

**Signature:** Ashley Grim

**Name of Signer:** Ashley Grim

**Title:** Treasurer