# EDGAR Filing Document

**Accession Number:** 0000202032
**File Stem:** 0000202032-26-000076
**Filing Date:** 2026-2
**Character Count:** 290803
**Document Hash:** 6313ae1ea5ec50c7732451a90c21a43c
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0000202032-26-000076.hdr.sgml**: 20260227

**ACCESSION NUMBER**: 0000202032-26-000076

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20251231

**FILED AS OF DATE**: 20260227

**DATE AS OF CHANGE**: 20260227

**PERIOD START**: 20251231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** AIM GROWTH SERIES (INVESCO GROWTH SERIES)
- **CENTRAL INDEX KEY:** 0000202032

**ORGANIZATION NAME:**
- **EIN:** 942362417
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-02699
- **FILM NUMBER:** 26698650

**BUSINESS ADDRESS:**
- **STREET 1:** 11 GREENWAY PLAZA
- **STREET 2:** SUITE 1000
- **CITY:** HOUSTON
- **STATE:** TX
- **ZIP:** 77046
- **BUSINESS PHONE:** 7136261919

**MAIL ADDRESS:**
- **STREET 1:** 11 GREENWAY PLAZA
- **STREET 2:** SUITE 1000
- **CITY:** HOUSTON
- **STATE:** TX
- **ZIP:** 77046

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** AIM GROWTH SERIES
- **DATE OF NAME CHANGE:** 19980601

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** G T GLOBAL GROWTH SERIES
- **DATE OF NAME CHANGE:** 19920703

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** G T GLOBAL GROWTH FUNDS
- **DATE OF NAME CHANGE:** 19870617

## Series and Classes Contracts Data

### Invesco Quality Income Fund (Series ID: S000027862)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000084602 | CLASS A      | VKMGX           |
| C000084604 | CLASS C      | VUSCX           |
| C000084605 | CLASS Y      | VUSIX           |
| C000084606 | CLASS R5     | VUSJX           |
| C000188964 | Class R6     |  |
| C000217950 | Class R      |  |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** AIM Growth Series (Invesco Growth Series)

- **b. Investment Company Act file number:** 811-02699

- **c. CIK number of Registrant:** 0000202032

- **d. LEI of Registrant:** EHBZ0YMC2UFRMDIU6731

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

  - **Street Address 1:** 11 Greenway Plaza

  - **City:** Houston

  - **State:** TX

  - **Foreign country:** US

  - **Zip / Postal Code:** 77046-1173

  - **Telephone number:** 800-959-4246

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

- **a. Name of Series:** Invesco Quality Income Fund

- **b. EDGAR series identifier (if any):** S000027862

- **c. LEI of Series:** Z5XM6FHQ2ZGIRVHR7B13

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

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

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $657445075.08

**Total Liabilities:** $147548575.81

**Net Assets:** $509896499.27

**Delayed Delivery Securities:** $130813342.31

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -2880.81212510 | **1-Year:** -34147.63705711 | **5-Year:** -90404.35037462 | **10-Year:** -149116.59101011 | **30-Year:** -39566.54427997

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

- **3-Month:** -12.68897649 | **1-Year:** -163.70458271 | **5-Year:** -304.93954350 | **10-Year:** -986.66848880 | **30-Year:** -146.48351635

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000084606 | 0.92%                | 0.62%                | 0.01%                |
| Class ID C000217950 | 0.88%                | 0.57%                | -0.03%               |
| Class ID C000188964 | 0.93%                | 0.62%                | 0.02%                |
| Class ID C000084605 | 0.92%                | 0.61%                | 0.01%                |
| Class ID C000084602 | 0.90%                | 0.69%                | -0.01%               |
| Class ID C000084604 | 0.74%                | 0.63%                | -0.07%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-198371.93              | $3308569.20                                |
| Month 2  | $64518.11                | $1832900.90                                |
| Month 3  | $-277866.88              | $-1092977.70                               |

**Designated Index Information**

- **Index Name:** Bloomberg Barclays U.S. MBS Index

- **Index Identifier:** 100% BB-US MBS

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 38377YX47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-APCP         | USGA              | US        |    442969 | PA      | $460542.10    | 0.09%             | 2039-01-20      | Variable      | 5.87%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31414UJU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    209779 | PA      | $215782.99    | 0.04%             | 2038-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36202WX95<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       499 | PA      | $511.27       | 0.00%             | 2033-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36225A5Z9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        24 | PA      | $24.09        | 0.00%             | 2028-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31418DVC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6312581 | PA      | $5396591.92   | 1.06%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs, IO                                                              | CUSIP: 31392BJ98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     50726 | PA      | $4996.77      | 0.00%             | 2032-03-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31417GAT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    777338 | PA      | $719089.42    | 0.14%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs, IO                                                              | CUSIP: 3136A1DN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |      6837 | PA      | $9.08         | 0.00%             | 2026-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                 | GSR Mortgage Loan Trust, Series 2004-12, Class 3A6                                 | CUSIP: 36242DLF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    123194 | PA      | $115717.06    | 0.02%             | 2034-12-25      | Variable      | 1.46%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs, IO                                                              | CUSIP: 3136ACAP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |    286846 | PA      | $4834.94      | 0.00%             | 2028-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31412MPQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       677 | PA      | $706.60       | 0.00%             | 2038-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31405V4M6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       356 | PA      | $361.06       | 0.00%             | 2034-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31380RHF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16113 | PA      | $16723.52     | 0.00%             | 2028-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31410GLY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    147848 | PA      | $156313.74    | 0.03%             | 2036-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31371KF97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        72 | PA      | $76.08        | 0.00%             | 2031-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 3138XTAS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    652372 | PA      | $635949.90    | 0.12%             | 2044-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31371GN63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1075 | PA      | $1115.44      | 0.00%             | 2028-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Australia & New Zealand Banking Group Ltd.              | Australia & New Zealand Banking Group Ltd.                                         | CUSIP: 05253MZZ0<br>LEI: JHE42UYNWWTJB8YTTU19 | Long             | DBT              | CORP              | AU        |   6000000 | PA      | $6001109.82   | 1.18%             | 2026-09-25      | Floating      | 4.01%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31409EGT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21464 | PA      | $22452.55     | 0.00%             | 2036-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 3133ARDX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3270748 | PA      | $2816872.47   | 0.55%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                      | Freddie Mac REMICs, IO                                                             | CUSIP: 3137B26D7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |     55234 | PA      | $1117.28      | 0.00%             | 2028-05-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36207VWA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        77 | PA      | $78.21        | 0.00%             | 2028-01-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                      | Freddie Mac REMICs, IO                                                             | CUSIP: 31394YF74<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |       488 | PA      | $2.23         | 0.00%             | 2026-07-15      | Floating      | 3.55%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association, TBA                                      | CUSIP: 21H042612<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4300000 | PA      | $4189140.63   | 0.82%             | 2056-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 38378CE94<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-APCP         | USGA              | US        |    602009 | PA      | $607828.32    | 0.12%             | 2041-07-20      | Variable      | 4.53%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31404MUP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16037 | PA      | $16847.49     | 0.00%             | 2034-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31385HQ88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4108 | PA      | $4264.30      | 0.00%             | 2030-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | U.S. Treasury 2 Year Notes Future                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |        65 | NC      | $1937.33      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31405RLZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     51804 | PA      | $52545.12     | 0.01%             | 2034-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31414CK72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1616 | PA      | $1684.72      | 0.00%             | 2038-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Interest STRIPS                              | Fannie Mae Interest STRIPS, IO                                                     | CUSIP: 3136FCQE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     95057 | PA      | $12655.41     | 0.00%             | 2035-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 31307TDS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    161024 | PA      | $157575.86    | 0.03%             | 2032-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31380EJH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       675 | PA      | $701.34       | 0.00%             | 2028-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31383LTC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4185 | PA      | $4342.83      | 0.00%             | 2029-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Trust                                         | JP Morgan Trust, Series 2015-3, Class A3                                           | CUSIP: 46644MAS5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    459143 | PA      | $431132.31    | 0.08%             | 2045-05-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36209JEL1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13628 | PA      | $13826.42     | 0.00%             | 2028-06-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                      | Freddie Mac REMICs                                                                 | CUSIP: 31393VKX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |    214506 | PA      | $211836.82    | 0.04%             | 2032-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 3140M0BG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3566493 | PA      | $3070692.24   | 0.60%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31403C6L0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    183414 | PA      | $188473.40    | 0.04%             | 2036-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 3138EGQ31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    208619 | PA      | $212133.48    | 0.04%             | 2038-01-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 31283HB20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6733 | PA      | $6995.26      | 0.00%             | 2028-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                      | Freddie Mac REMICs, IO                                                             | CUSIP: 3137ADPN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |      4185 | PA      | $4171.54      | 0.00%             | 2026-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association, IO                                       | CUSIP: 38380HQY1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-APCP         | USGA              | US        |    509739 | PA      | $61751.49     | 0.01%             | 2047-10-16      | Floating      | 2.35%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                      | Freddie Mac REMICs                                                                 | CUSIP: 31397BZ79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |    333301 | PA      | $332113.62    | 0.07%             | 2036-10-15      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31378CTK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        74 | PA      | $77.13        | 0.00%             | 2027-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36206NU52<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        99 | PA      | $99.18        | 0.00%             | 2029-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Structured Pass-Through Ctfs.   | Freddie Mac Multifamily Structured Pass-Through Ctfs., Series K093, Class X1, IO   | CUSIP: 3137FMCT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |  12137715 | PA      | $321860.64    | 0.06%             | 2029-05-25      | Variable      | 0.94%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31403RFD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11554 | PA      | $12139.63     | 0.00%             | 2033-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                      | Freddie Mac REMICs, IO                                                             | CUSIP: 3137AUFY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |     45581 | PA      | $343.52       | 0.00%             | 2027-09-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36209BE20<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       427 | PA      | $431.76       | 0.00%             | 2029-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36209AEY2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       750 | PA      | $776.29       | 0.00%             | 2028-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31371GVE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       116 | PA      | $120.88       | 0.00%             | 2028-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs, IO                                                              | CUSIP: 3136BFCF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |   5540325 | PA      | $776086.47    | 0.15%             | 2051-03-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                           | Citigroup Mortgage Loan Trust, Series 2006-AR2, Class 1A2                          | CUSIP: 17307G6L7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5386 | PA      | $5281.54      | 0.00%             | 2036-03-25      | Variable      | 2.56%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 3128M4AH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     48678 | PA      | $50979.32     | 0.01%             | 2036-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Interest STRIPS                              | Fannie Mae Interest STRIPS, IO                                                     | CUSIP: 3136FAXK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |    183750 | PA      | $19630.50     | 0.00%             | 2033-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Trust                            | Chase Mortgage Finance Trust, Series 2007-A2, Class 2A1                            | CUSIP: 16163LAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    114911 | PA      | $115284.98    | 0.02%             | 2035-06-25      | Variable      | 6.16%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36207KAH3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       182 | PA      | $186.60       | 0.00%             | 2028-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                      | Freddie Mac REMICs                                                                 | CUSIP: 31339LHR4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |      6155 | PA      | $6162.47      | 0.00%             | 2029-01-15      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31390MJW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34298 | PA      | $36030.28     | 0.01%             | 2032-11-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 3140J9C25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1719110 | PA      | $1663637.86   | 0.33%             | 2046-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31405V4N4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4718 | PA      | $4840.99      | 0.00%             | 2034-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac STRIPS                                      | Freddie Mac STRIPS, IO                                                             | CUSIP: 31282YC80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |    168133 | PA      | $21542.35     | 0.00%             | 2031-06-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 3138EQKK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2124015 | PA      | $2053286.35   | 0.40%             | 2040-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31368HKY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17534 | PA      | $17996.63     | 0.00%             | 2030-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31387KFT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       828 | PA      | $859.63       | 0.00%             | 2031-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31403DQG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    182079 | PA      | $184905.87    | 0.04%             | 2035-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs                                                                  | CUSIP: 3136AXEG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |   2347504 | PA      | $2324762.58   | 0.46%             | 2045-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36208QSB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        33 | PA      | $34.12        | 0.00%             | 2028-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36210XUH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1462 | PA      | $1479.86      | 0.00%             | 2029-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Vendee Mortgage Trust                                   | Vendee Mortgage Trust, Series 2001-3, IO                                           | CUSIP: 911760RC2<br>LEI: N/A                  | Long             | ABS-APCP         | USGSE             | US        |   1114006 | PA      | $11.14        | 0.00%             | 2031-10-15      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association, IO                                       | CUSIP: 38377VGZ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-APCP         | USGA              | US        |    549085 | PA      | $37180.36     | 0.01%             | 2041-04-16      | Floating      | 2.80%                 | No            |                  2 | On Loan: No      |
| Mitsubishi UFJ Trust & Banking Corp.                    | Mitsubishi UFJ Trust & Banking Corp.                                               | CUSIP: 60683D7D5<br>LEI: JBONEPAGQXF4QP29B387 | Long             | DBT              | CORP              | JP        |   5000000 | PA      | $5001057.00   | 0.98%             | 2026-01-30      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs, IO                                                              | CUSIP: 31394CXB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |    450397 | PA      | $40624.90     | 0.01%             | 2035-03-25      | Floating      | 2.06%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 3140M2EC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4994684 | PA      | $4121563.51   | 0.81%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac STRIPS                                      | Freddie Mac STRIPS, IO                                                             | CUSIP: 31325UP42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |     17196 | PA      | $340.55       | 0.00%             | 2027-12-15      | Variable      | 3.15%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31403DCQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    189121 | PA      | $198707.25    | 0.04%             | 2034-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31410GYN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    128211 | PA      | $130271.43    | 0.03%             | 2035-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36211C4C3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3756 | PA      | $3832.76      | 0.00%             | 2029-08-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 3140K3DN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3002654 | PA      | $2904766.88   | 0.57%             | 2050-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 312940ZC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    413976 | PA      | $426429.23    | 0.08%             | 2040-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs, IO                                                              | CUSIP: 3136BKWM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |  17782235 | PA      | $2395688.55   | 0.47%             | 2049-08-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Bank of Nova Scotia                                     | Bank of Nova Scotia                                                                | CUSIP: 06418NHS4<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |   3000000 | PA      | $3001029.90   | 0.59%             | 2026-07-22      | Floating      | 4.04%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31412XFC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19057 | PA      | $19785.09     | 0.00%             | 2037-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 3128M7V29<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    242939 | PA      | $250244.55    | 0.05%             | 2039-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 3132QSYT9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1992955 | PA      | $1882292.83   | 0.37%             | 2045-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs                                                                  | CUSIP: 31394EG51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     52091 | PA      | $51867.61     | 0.01%             | 2035-08-25      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 3138EGCJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31928 | PA      | $31990.38     | 0.01%             | 2032-08-01      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                      | Freddie Mac REMICs                                                                 | CUSIP: 31393F7B6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |     48833 | PA      | $48814.15     | 0.01%             | 2032-02-15      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs, IO                                                              | CUSIP: 31394EGR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |      1630 | PA      | $20.08        | 0.00%             | 2031-10-25      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 3138AUFS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1221025 | PA      | $1177034.65   | 0.23%             | 2042-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Interest STRIPS                              | Fannie Mae Interest STRIPS, IO                                                     | CUSIP: 3136FCWD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |    118715 | PA      | $15940.90     | 0.00%             | 2035-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 31287PHP1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12934 | PA      | $13588.67     | 0.00%             | 2032-02-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 3138X3XR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4584215 | PA      | $4481583.76   | 0.88%             | 2043-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 3133BEVJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3917754 | PA      | $3862841.18   | 0.76%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31411UPJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7524 | PA      | $7861.51      | 0.00%             | 2037-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association, TBA                                      | CUSIP: 21H050615<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  16067000 | PA      | $16032790.14  | 3.14%             | 2056-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                      | Freddie Mac REMICs                                                                 | CUSIP: 3133TT4B4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |    161061 | PA      | $163901.98    | 0.03%             | 2031-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 31296XJA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9763 | PA      | $10143.80     | 0.00%             | 2034-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Connecticut Avenue Securities                | Fannie Mae Connecticut Avenue Securities, Series 2023-R02, Class 1M2               | CUSIP: 20755AAC6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5550000 | PA      | $5758617.84   | 1.13%             | 2043-01-25      | Floating      | 7.22%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 3132DM2Y0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6760980 | PA      | $5567851.52   | 1.09%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36200NYP0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       279 | PA      | $288.52       | 0.00%             | 2034-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31405LAT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7149 | PA      | $7251.46      | 0.00%             | 2034-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31405D3R6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2597 | PA      | $2727.86      | 0.00%             | 2034-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36200KEY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1866 | PA      | $1932.49      | 0.00%             | 2034-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31380MBN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       325 | PA      | $337.49       | 0.00%             | 2028-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 3140E0EK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1395743 | PA      | $1276828.70   | 0.25%             | 2045-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31404G2G5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    146260 | PA      | $148398.13    | 0.03%             | 2034-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Interest STRIPS                              | Fannie Mae Interest STRIPS, IO                                                     | CUSIP: 3136FAKM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |    299850 | PA      | $32275.72     | 0.01%             | 2032-04-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 3128M66Y9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    375956 | PA      | $386458.62    | 0.08%             | 2037-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 3140JKBW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1341368 | PA      | $1294465.32   | 0.25%             | 2048-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31403GDU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       992 | PA      | $1018.20      | 0.00%             | 2033-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31374GB89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11903 | PA      | $11952.42     | 0.00%             | 2027-02-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs                                                                  | CUSIP: 31394FD93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |    169380 | PA      | $168640.26    | 0.03%             | 2035-10-25      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31415PFB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    147681 | PA      | $153670.46    | 0.03%             | 2038-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 3133A0BR4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1100775 | PA      | $1098977.82   | 0.22%             | 2049-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                           | Citigroup Mortgage Loan Trust, Series 2005-11, Class A2A                           | CUSIP: 17307GW79<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    322917 | PA      | $330679.93    | 0.06%             | 2035-10-25      | Floating      | 6.48%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs, IO                                                              | CUSIP: 31392F7G6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     83470 | PA      | $8145.33      | 0.00%             | 2032-12-18      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31409TRM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       652 | PA      | $682.48       | 0.00%             | 2036-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs, IO                                                              | CUSIP: 31392HRF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     52119 | PA      | $6821.65      | 0.00%             | 2033-02-25      | Floating      | 4.26%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | U.S. Treasury 10 Year Ultra Future                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |       -47 | NC      | $2181.65      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Vendee Mortgage Trust                                   | Vendee Mortgage Trust, Series 1999-3, IO                                           | CUSIP: 911760NG7<br>LEI: N/A                  | Long             | ABS-APCP         | USGSE             | US        |   1616895 | PA      | $16.25        | 0.00%             | 2029-10-15      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 3132WJQX2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6624494 | PA      | $6272117.51   | 1.23%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Interest STRIPS                              | Fannie Mae Interest STRIPS, IO                                                     | CUSIP: 3136FAZ94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |    113342 | PA      | $14196.64     | 0.00%             | 2033-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31371HLU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       587 | PA      | $609.28       | 0.00%             | 2029-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs, IO                                                              | CUSIP: 31392EHB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     30051 | PA      | $2832.39      | 0.00%             | 2032-09-25      | Floating      | 4.01%                 | No            |                  2 | On Loan: No      |
| Freddie Mac STRIPS                                      | Freddie Mac STRIPS, PO                                                             | CUSIP: 3128CVVZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |     79581 | PA      | $72959.50     | 0.01%             | 2032-03-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs, IO                                                              | CUSIP: 31392ERQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     53448 | PA      | $5615.36      | 0.00%             | 2032-07-25      | Floating      | 4.01%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31390HJF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       352 | PA      | $367.72       | 0.00%             | 2032-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36290SEP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       736 | PA      | $748.14       | 0.00%             | 2033-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 3128ME5M9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1962179 | PA      | $1926541.32   | 0.38%             | 2032-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36210PWH3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       628 | PA      | $638.82       | 0.00%             | 2029-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Mortgage Trust                              | J.P. Morgan Mortgage Trust, Series 2005-A1, Class 3A1                              | CUSIP: 466247LP6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    173087 | PA      | $166566.16    | 0.03%             | 2035-02-25      | Variable      | 5.44%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 3140QCT22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2169868 | PA      | $2108749.79   | 0.41%             | 2035-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Trust                           | Banc of America Funding Trust, Series 2006-A, Class 1A1                            | CUSIP: 058927AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    127925 | PA      | $122327.02    | 0.02%             | 2036-02-20      | Variable      | 5.49%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs, IO                                                              | CUSIP: 3136A1DA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |      3595 | PA      | $3569.27      | 0.00%             | 2026-10-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 3132XCSE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1770534 | PA      | $1717556.53   | 0.34%             | 2048-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 31335PMX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    298980 | PA      | $303751.80    | 0.06%             | 2039-01-20      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Vendee Mortgage Trust                                   | Vendee Mortgage Trust, Series 2002-2, IO                                           | CUSIP: 911760RZ1<br>LEI: N/A                  | Long             | ABS-APCP         | USGSE             | US        |   3140071 | PA      | $459.71       | 0.00%             | 2032-01-15      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 3138E4MG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    946504 | PA      | $926398.64    | 0.18%             | 2042-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 31335PMW2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    450734 | PA      | $457442.02    | 0.09%             | 2038-10-17      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs                                                                  | CUSIP: 31395DUU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     35897 | PA      | $43137.75     | 0.01%             | 2036-06-25      | Floating      | 9.57%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31374GWP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       310 | PA      | $321.54       | 0.00%             | 2028-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association, Series 2020-137, Class A                 | CUSIP: 38380P4N1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-APCP         | USGA              | US        |   7403849 | PA      | $5616826.05   | 1.10%             | 2062-04-16      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 3140F5PA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    524508 | PA      | $507786.22    | 0.10%             | 2046-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Credit Agricole Corporate and Investment Bank           | Credit Agricole Corporate and Investment Bank                                      | CUSIP: 22532XF52<br>LEI: 254900BN8XS34XZDJ223 | Long             | DBT              | CORP              | FR        |   6000000 | PA      | $6002991.00   | 1.18%             | 2026-08-28      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 3140L85E6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5580534 | PA      | $4983316.73   | 0.98%             | 2051-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31403C7D7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    596998 | PA      | $612717.31    | 0.12%             | 2035-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                           | Citigroup Mortgage Loan Trust, Series 2004-UST1, Class A4                          | CUSIP: 17307GLB2<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |     20448 | PA      | $19349.73     | 0.00%             | 2034-08-25      | Variable      | 6.53%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                      | Freddie Mac REMICs, IO                                                             | CUSIP: 31398LPG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |    114247 | PA      | $10656.00     | 0.00%             | 2039-12-15      | Floating      | 2.15%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 3133KHQ66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    439748 | PA      | $418172.16    | 0.08%             | 2049-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31414GS34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       864 | PA      | $903.29       | 0.00%             | 2037-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31418EBS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4163075 | PA      | $3544615.07   | 0.70%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 3133A0TY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2666158 | PA      | $2422853.78   | 0.48%             | 2050-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31405YVE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     60222 | PA      | $61555.31     | 0.01%             | 2034-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs                                                                  | CUSIP: 31392EF88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     49422 | PA      | $49961.68     | 0.01%             | 2032-07-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36209ASX9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       656 | PA      | $661.46       | 0.00%             | 2028-02-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association, TBA                                      | CUSIP: 21H020618<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  23444000 | PA      | $19421795.44  | 3.81%             | 2056-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31385XEE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       263 | PA      | $272.59       | 0.00%             | 2033-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 3133KHDE3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1482847 | PA      | $1337571.83   | 0.26%             | 2049-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31381CV61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       204 | PA      | $208.92       | 0.00%             | 2029-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31371HQX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21992 | PA      | $22828.13     | 0.00%             | 2029-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Zaxby's Funding LLC                                     | Zaxby's Funding LLC, Series 2021-1A, Class A2                                      | CUSIP: 98920MAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2776750 | PA      | $2624234.23   | 0.51%             | 2051-07-30      | Fixed         | 3.24%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Whole Loan Securities Trust                 | Freddie Mac Whole Loan Securities Trust, Series 2015-SC02, Class 1A                | CUSIP: 3137G1AK3<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |    175635 | PA      | $154896.60    | 0.03%             | 2045-09-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31416B4J4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11653 | PA      | $12331.52     | 0.00%             | 2038-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31385HQN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     92372 | PA      | $94803.82     | 0.02%             | 2029-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs                                                                  | CUSIP: 3136A4HF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     94160 | PA      | $93168.97     | 0.02%             | 2042-03-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association, TBA                                      | CUSIP: 21H022614<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  20125000 | PA      | $17362529.40  | 3.41%             | 2056-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs, IO                                                              | CUSIP: 31393BZV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     86244 | PA      | $9657.93      | 0.00%             | 2033-05-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| CD Mortgage Trust                                       | CD Mortgage Trust, Series 2017-CD6, Class XA                                       | CUSIP: 125039AG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5405126 | PA      | $62337.85     | 0.01%             | 2050-11-13      | Variable      | 0.89%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31404EGK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6011 | PA      | $6242.69      | 0.00%             | 2031-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs, IO                                                              | CUSIP: 31392EGP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     53750 | PA      | $5008.33      | 0.00%             | 2032-09-25      | Floating      | 4.01%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 3133KQDB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10089985 | PA      | $10403377.04  | 2.04%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 3140X55Y5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3817589 | PA      | $3675367.62   | 0.72%             | 2050-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corp.                            | Chase Mortgage Finance Corp., Series 2016-SH2, Class M4                            | CUSIP: 16164AAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1098965 | PA      | $1023696.83   | 0.20%             | 2045-12-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 38381WQG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-APCP         | USGA              | US        |    257308 | PA      | $266321.63    | 0.05%             | 2033-11-20      | Variable      | 6.90%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                      | Freddie Mac REMICs, IO                                                             | CUSIP: 3137ARKB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |    112013 | PA      | $1580.86      | 0.00%             | 2027-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31379PZT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2413 | PA      | $2476.48      | 0.00%             | 2028-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust                  | Merrill Lynch Mortgage Investors Trust, Series 2005-3, Class 3A                    | CUSIP: 59020UL52<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     82758 | PA      | $79036.50     | 0.02%             | 2035-11-25      | Variable      | 2.39%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs, IO                                                              | CUSIP: 31397L5D7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |      2441 | PA      | $127.59       | 0.00%             | 2038-07-25      | Floating      | 2.06%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 31292GZZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7506 | PA      | $7798.85      | 0.00%             | 2029-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31386FPL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1396 | PA      | $1466.88      | 0.00%             | 2030-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31371M5N3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     78768 | PA      | $83351.23     | 0.02%             | 2037-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36210SFX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       911 | PA      | $923.53       | 0.00%             | 2029-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 3138WD4F5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1432963 | PA      | $1389360.08   | 0.27%             | 2045-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36202DFF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2885 | PA      | $2978.71      | 0.00%             | 2030-01-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 3128KL3H8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     43459 | PA      | $44724.68     | 0.01%             | 2037-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CSMLT Trust                                             | CSMLT Trust, Series 2015-1, Class A9                                               | CUSIP: 12592UAQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    251403 | PA      | $233192.86    | 0.05%             | 2045-05-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31415VNS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       658 | PA      | $690.39       | 0.00%             | 2038-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs, IO                                                              | CUSIP: 3136AXQT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |    187958 | PA      | $37923.95     | 0.01%             | 2047-08-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Shellpoint Asset Funding Trust                          | Shellpoint Asset Funding Trust, Series 2013-1, Class A3                            | CUSIP: 822804AK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    281288 | PA      | $271082.42    | 0.05%             | 2043-07-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs                                                                  | CUSIP: 31392JY29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |      2516 | PA      | $2508.18      | 0.00%             | 2033-03-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs, IO                                                              | CUSIP: 31359QJV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     22644 | PA      | $773.86       | 0.00%             | 2027-09-18      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust                     | GS Mortgage-Backed Securities Trust, Series 2025-HE2, Class M1                     | CUSIP: 362934AB7<br>LEI: 254900J0PZAB9KZBPX66 | Long             | ABS-MBS          | CORP              | US        |   1350000 | PA      | $1355495.85   | 0.27%             | 2065-12-25      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31405VZ26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       652 | PA      | $676.53       | 0.00%             | 2034-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31405NDC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4871 | PA      | $4965.63      | 0.00%             | 2034-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31371HHT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3313 | PA      | $3438.87      | 0.00%             | 2029-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36208WEG4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       388 | PA      | $392.84       | 0.00%             | 2028-07-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31374GUA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       386 | PA      | $401.07       | 0.00%             | 2027-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Ctfs. Trust                  | WaMu Mortgage Pass-Through Ctfs. Trust, Series 2003-AR10, Class A7                 | CUSIP: 92922FEB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     81080 | PA      | $78333.51     | 0.02%             | 2033-10-25      | Variable      | 5.69%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31403C5V9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    213166 | PA      | $219322.50    | 0.04%             | 2033-01-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | U.S. Treasury 10 Year Notes Future                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |       -40 | NC      | $4799.04      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31404L5R7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       889 | PA      | $912.61       | 0.00%             | 2033-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31411YXF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5950 | PA      | $6224.13      | 0.00%             | 2037-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31374GBJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       234 | PA      | $242.57       | 0.00%             | 2027-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31405D2K2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3082 | PA      | $3237.91      | 0.00%             | 2034-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 3133BWWF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5186039 | PA      | $5313763.97   | 1.04%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31391BB71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4051 | PA      | $4205.07      | 0.00%             | 2032-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 3128M7S49<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     25949 | PA      | $27248.50     | 0.01%             | 2032-08-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                      | Freddie Mac REMICs                                                                 | CUSIP: 31397JST2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |     49410 | PA      | $49088.90     | 0.01%             | 2037-07-15      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36201U4B7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       260 | PA      | $263.88       | 0.00%             | 2033-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs, IO                                                              | CUSIP: 3136APZR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |    651285 | PA      | $64558.14     | 0.01%             | 2035-08-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association, TBA                                      | CUSIP: 21H052611<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  15162000 | PA      | $15311385.73  | 3.00%             | 2056-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 3138XPWS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    361112 | PA      | $355174.22    | 0.07%             | 2029-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                      | Freddie Mac REMICs                                                                 | CUSIP: 31393FGJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |     28142 | PA      | $28105.85     | 0.01%             | 2029-06-15      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 3128M7SU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     51905 | PA      | $54248.69     | 0.01%             | 2035-05-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31408FQ28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1942 | PA      | $2040.46      | 0.00%             | 2036-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust                           | UBS Commercial Mortgage Trust, Series 2017-C5, Class XA                            | CUSIP: 90276TAH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7212003 | PA      | $97454.35     | 0.02%             | 2050-11-15      | Variable      | 1.09%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Ctfs. Trust                  | WaMu Mortgage Pass-Through Ctfs. Trust, Series 2007-HY2, Class 2A1                 | CUSIP: 92926UAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     25126 | PA      | $21931.73     | 0.00%             | 2036-11-25      | Variable      | 4.61%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36207KTT7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1870 | PA      | $1912.07      | 0.00%             | 2029-07-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                      | Freddie Mac REMICs, IO                                                             | CUSIP: 31395LMA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |    377422 | PA      | $24576.52     | 0.00%             | 2035-01-15      | Floating      | 2.60%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                     | Citigroup Commercial Mortgage Trust, Series 2017-C4, Class XA                      | CUSIP: 17326FAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  15264078 | PA      | $209726.90    | 0.04%             | 2050-10-12      | Variable      | 0.98%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31418MJQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     67356 | PA      | $70726.80     | 0.01%             | 2033-04-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36290VYD0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10224 | PA      | $10561.67     | 0.00%             | 2034-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Interest STRIPS                              | Fannie Mae Interest STRIPS, IO                                                     | CUSIP: 3136FA2H2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     60157 | PA      | $8343.63      | 0.00%             | 2033-10-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| Agate Bay Mortgage Trust                                | Agate Bay Mortgage Trust, Series 2015-2, Class B1                                  | CUSIP: 00841XBH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    865774 | PA      | $813285.54    | 0.16%             | 2045-03-25      | Variable      | 3.61%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 3140XFX55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3673849 | PA      | $3295948.72   | 0.65%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Structured Pass-Through Ctfs.   | Freddie Mac Multifamily Structured Pass-Through Ctfs., Series Q004, Class AFL      | CUSIP: 3137FARM2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |    189906 | PA      | $189834.58    | 0.04%             | 2044-05-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31405MGF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2916 | PA      | $3063.38      | 0.00%             | 2034-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31390VG32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5735 | PA      | $6024.27      | 0.00%             | 2032-08-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                      | Freddie Mac REMICs                                                                 | CUSIP: 31392TMM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |     20407 | PA      | $20420.88     | 0.00%             | 2032-03-15      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31391BEG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16427 | PA      | $17054.99     | 0.00%             | 2032-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36209NAT9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1677 | PA      | $1729.48      | 0.00%             | 2028-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 3140QCG59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3747939 | PA      | $3694807.11   | 0.72%             | 2034-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MASTR Adjustable Rate Mortgages Trust                   | MASTR Adjustable Rate Mortgages Trust, Series 2004-13, Class 2A2                   | CUSIP: 576433WE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     65294 | PA      | $64957.06     | 0.01%             | 2034-04-21      | Variable      | 6.29%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 3140EUBG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1815042 | PA      | $1784457.72   | 0.35%             | 2030-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 31283HK95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2631 | PA      | $2681.99      | 0.00%             | 2031-03-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31416BSR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    178650 | PA      | $190148.23    | 0.04%             | 2038-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 3133B1ST9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2053662 | PA      | $1699221.53   | 0.33%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                      | Freddie Mac REMICs                                                                 | CUSIP: 31339LK33<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |     28890 | PA      | $28942.10     | 0.01%             | 2031-12-15      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31410FY90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15835 | PA      | $16515.48     | 0.00%             | 2036-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Structured Pass-Through Ctfs.   | Freddie Mac Multifamily Structured Pass-Through Ctfs., Series K735, Class X1, IO   | CUSIP: 3137FMU83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |  12048872 | PA      | $26006.29     | 0.01%             | 2026-05-25      | Variable      | 0.96%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 3617LEZF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2003347 | PA      | $1810787.53   | 0.36%             | 2050-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 3140QFBD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4950121 | PA      | $4262668.65   | 0.84%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs, IO                                                              | CUSIP: 3136AAQJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |    297021 | PA      | $32246.25     | 0.01%             | 2042-12-25      | Floating      | 2.16%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31382D6W9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       244 | PA      | $255.91       | 0.00%             | 2029-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31405U3N7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10772 | PA      | $11034.05     | 0.00%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp., ARM                                              | CUSIP: 31288QQF0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2848455 | PA      | $2971913.79   | 0.58%             | 2048-11-01      | Floating      | 5.76%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                          | Morgan Stanley Capital I Trust, Series 2017-HR2, Class XA                          | CUSIP: 61691NAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5291439 | PA      | $70209.99     | 0.01%             | 2050-12-15      | Variable      | 0.85%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 31297BTP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6084 | PA      | $6397.41      | 0.00%             | 2031-10-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31415QNN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       149 | PA      | $153.30       | 0.00%             | 2038-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36291FWL8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       566 | PA      | $575.71       | 0.00%             | 2034-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31386TWY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1370 | PA      | $1438.59      | 0.00%             | 2031-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 3138WEC56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1130806 | PA      | $1096162.56   | 0.21%             | 2045-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 31293TU39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3136 | PA      | $3257.93      | 0.00%             | 2029-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 3140QREJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5545729 | PA      | $5562442.94   | 1.09%             | 2053-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31379JSQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2438 | PA      | $2530.36      | 0.00%             | 2028-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 3617VBN21<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1561291 | PA      | $1315207.35   | 0.26%             | 2051-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31371LM48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       287 | PA      | $295.07       | 0.00%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36202XEG8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       259 | PA      | $266.79       | 0.00%             | 2033-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31410LSH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1302104 | PA      | $1310863.75   | 0.26%             | 2044-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31385JK49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34924 | PA      | $36701.16     | 0.01%             | 2032-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36290WG55<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10748 | PA      | $10969.84     | 0.00%             | 2033-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mortgage Loan Trust          | Structured Adjustable Rate Mortgage Loan Trust, Series 2004-20, Class 3A1          | CUSIP: 863579HD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     17731 | PA      | $17601.41     | 0.00%             | 2035-01-25      | Variable      | 3.89%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31405KRH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22692 | PA      | $23024.06     | 0.00%             | 2034-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36209HDN2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       663 | PA      | $682.73       | 0.00%             | 2028-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mortgage Loan Trust          | Structured Adjustable Rate Mortgage Loan Trust, Series 2004-13, Class A2           | CUSIP: 863579BM9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    175426 | PA      | $164891.26    | 0.03%             | 2034-09-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs, IO                                                              | CUSIP: 3136AB5N9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |    177115 | PA      | $20260.29     | 0.00%             | 2043-02-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31401NXS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2792 | PA      | $2932.58      | 0.00%             | 2033-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs, IO                                                              | CUSIP: 31359QNY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |      2164 | PA      | $74.89        | 0.00%             | 2027-08-18      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31403BZH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14913 | PA      | $15131.22     | 0.00%             | 2033-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association, TBA                                      | CUSIP: 21H030617<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  11830813 | PA      | $10632481.07  | 2.09%             | 2056-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 3132DMKN4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4882492 | PA      | $4421936.85   | 0.87%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31411AJS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10733 | PA      | $11228.52     | 0.00%             | 2036-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31418BQM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1506816 | PA      | $1442334.70   | 0.28%             | 2035-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs, IO                                                              | CUSIP: 31392DW40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     39353 | PA      | $4134.47      | 0.00%             | 2032-07-25      | Floating      | 4.01%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31402RDK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4456 | PA      | $4683.60      | 0.00%             | 2035-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac STRIPS                                      | Freddie Mac STRIPS, IO                                                             | CUSIP: 31325UP26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |     22225 | PA      | $348.23       | 0.00%             | 2027-12-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 3132GRHJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    545110 | PA      | $547811.53    | 0.11%             | 2042-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs, IO                                                              | CUSIP: 3136ARBA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |   3012804 | PA      | $200938.39    | 0.04%             | 2056-02-25      | Variable      | 1.57%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association, IO                                       | CUSIP: 38380HHZ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-APCP         | USGA              | US        |    510557 | PA      | $92473.99     | 0.02%             | 2047-09-16      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Galton Funding Mortgage Trust                           | Galton Funding Mortgage Trust, Series 2018-1, Class A33                            | CUSIP: 36417JAS8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    194152 | PA      | $177036.81    | 0.03%             | 2057-11-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 31283HV85<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2796 | PA      | $2904.54      | 0.00%             | 2028-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 3140K9ND7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4349805 | PA      | $3922108.03   | 0.77%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association, TBA                                      | CUSIP: 21H062610<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3395000 | PA      | $3509846.50   | 0.69%             | 2056-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Interest STRIPS                              | Fannie Mae Interest STRIPS, IO                                                     | CUSIP: 3136FAA67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     71472 | PA      | $9070.92      | 0.00%             | 2033-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31371NMF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10487 | PA      | $10948.49     | 0.00%             | 2037-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 3128M6FN3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     64626 | PA      | $67974.13     | 0.01%             | 2035-03-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36179SB89<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    952617 | PA      | $888027.25    | 0.17%             | 2046-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                      | Freddie Mac REMICs                                                                 | CUSIP: 31393JAZ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |     39763 | PA      | $39654.34     | 0.01%             | 2033-01-15      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Interest STRIPS                              | Fannie Mae Interest STRIPS, IO                                                     | CUSIP: 3136FCYY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     66001 | PA      | $7544.59      | 0.00%             | 2035-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36202DBH3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13534 | PA      | $13922.79     | 0.00%             | 2029-04-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 31293LRR7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1450 | PA      | $1505.90      | 0.00%             | 2029-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31405QPC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2215 | PA      | $2258.41      | 0.00%             | 2034-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 3133KHFY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2940295 | PA      | $2636916.01   | 0.52%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust                                  | GSAA Home Equity Trust, Series 2007-7, Class A4                                    | CUSIP: 36249BAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7098 | PA      | $6921.80      | 0.00%             | 2037-07-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs, IO                                                              | CUSIP: 31392DPX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     62575 | PA      | $6348.65      | 0.00%             | 2032-03-18      | Floating      | 3.95%                 | No            |                  2 | On Loan: No      |
| Uniform Mortgage-Backed Securities                      | Uniform Mortgage-Backed Securities, TBA                                            | CUSIP: 01F060618<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  15740000 | PA      | $16163149.75  | 3.17%             | 2056-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                      | Freddie Mac REMICs                                                                 | CUSIP: 31395XLV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |     13777 | PA      | $16355.97     | 0.00%             | 2035-08-15      | Floating      | 9.72%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                      | Freddie Mac REMICs, IO                                                             | CUSIP: 3137AUC31<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |    422996 | PA      | $7184.08      | 0.00%             | 2027-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                      | Freddie Mac REMICs, IO                                                             | CUSIP: 3137AQBA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |   1059224 | PA      | $59785.34     | 0.01%             | 2039-02-15      | Variable      | 1.82%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs                                                                  | CUSIP: 31359XCD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     33789 | PA      | $34405.95     | 0.01%             | 2029-11-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs                                                                  | CUSIP: 31392EJM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     32405 | PA      | $32387.13     | 0.01%             | 2032-08-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36290RRG0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       111 | PA      | $113.06       | 0.00%             | 2033-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust                  | Merrill Lynch Mortgage Investors Trust, Series 2005-A, Class A1                    | CUSIP: 59020UTB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    161291 | PA      | $156208.33    | 0.03%             | 2030-03-25      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                      | Freddie Mac REMICs, IO                                                             | CUSIP: 3137AXEJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |     49561 | PA      | $769.50       | 0.00%             | 2027-12-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Interest STRIPS                              | Fannie Mae Interest STRIPS, IO                                                     | CUSIP: 3136FAXJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |    172598 | PA      | $18696.21     | 0.00%             | 2033-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36295PTS1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    193290 | PA      | $193517.69    | 0.04%             | 2037-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Uniform Mortgage-Backed Securities                      | Uniform Mortgage-Backed Securities, TBA                                            | CUSIP: 01F062614<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   8000000 | PA      | $8315174.64   | 1.63%             | 2056-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac STRIPS                                      | Freddie Mac STRIPS, PO                                                             | CUSIP: 3128CVRE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |     25608 | PA      | $23366.70     | 0.00%             | 2031-12-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31390ABQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6272 | PA      | $6511.38      | 0.00%             | 2032-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                      | Freddie Mac REMICs                                                                 | CUSIP: 3133994L8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |     41238 | PA      | $41609.73     | 0.01%             | 2031-08-15      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31403BHS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9837 | PA      | $9983.72      | 0.00%             | 2033-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36205YBQ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       482 | PA      | $483.98       | 0.00%             | 2028-08-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Interest STRIPS                              | Fannie Mae Interest STRIPS, IO                                                     | CUSIP: 3136FANS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     87431 | PA      | $10497.52     | 0.00%             | 2032-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31412LJ92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5152 | PA      | $5389.09      | 0.00%             | 2037-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac STRIPS                                      | Freddie Mac STRIPS, IO                                                             | CUSIP: 31282YCE7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |      6213 | PA      | $281.29       | 0.00%             | 2028-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                      | Freddie Mac REMICs                                                                 | CUSIP: 31392UKB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |     39724 | PA      | $39707.47     | 0.01%             | 2032-03-15      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs                                                                  | CUSIP: 31397QWP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |    241025 | PA      | $232143.86    | 0.05%             | 2041-03-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                      | Freddie Mac REMICs, IO                                                             | CUSIP: 31395U5B3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |     61348 | PA      | $3879.46      | 0.00%             | 2035-05-15      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Interest STRIPS                              | Fannie Mae Interest STRIPS, IO                                                     | CUSIP: 3136FCHX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |    132075 | PA      | $17651.61     | 0.00%             | 2034-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 3133G7K36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1093450 | PA      | $1061688.97   | 0.21%             | 2034-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31405WDP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12715 | PA      | $13260.21     | 0.00%             | 2034-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31406UHF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       358 | PA      | $367.93       | 0.00%             | 2030-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                              | Verus Securitization Trust, Series 2023-INV3, Class A3                             | CUSIP: 92540CAC1<br>LEI: 9845008F97BFO762AF95 | Long             | ABS-MBS          | CORP              | US        |   4482584 | PA      | $4555245.29   | 0.89%             | 2068-11-25      | Variable      | 7.73%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36209ER87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     15276 | PA      | $15416.56     | 0.00%             | 2028-04-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 3132GTZ75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1554496 | PA      | $1522926.20   | 0.30%             | 2042-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 3138YTNJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1389581 | PA      | $1318297.03   | 0.26%             | 2045-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs                                                                  | CUSIP: 31394AZZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |    271073 | PA      | $270238.35    | 0.05%             | 2034-09-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| Benchmark Mortgage Trust                                | Benchmark Mortgage Trust, Series 2018-B1, Class XA                                 | CUSIP: 08162PAY7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11130461 | PA      | $109947.80    | 0.02%             | 2051-01-15      | Variable      | 0.52%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31419AKZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    205637 | PA      | $199130.74    | 0.04%             | 2040-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 31335PM36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    774858 | PA      | $795073.43    | 0.16%             | 2038-11-25      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Vendee Mortgage Trust                                   | Vendee Mortgage Trust, Series 2003-1, IO                                           | CUSIP: 911760SZ0<br>LEI: N/A                  | Long             | ABS-APCP         | USGSE             | US        |   5760620 | PA      | $37.44        | 0.00%             | 2032-11-15      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36205XC36<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       225 | PA      | $233.23       | 0.00%             | 2033-09-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 31298EX67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     23955 | PA      | $24889.36     | 0.00%             | 2029-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 3140H0AP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2096417 | PA      | $1983851.98   | 0.39%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31386DC81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4119 | PA      | $4326.34      | 0.00%             | 2030-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Mortgage Trust                              | J.P. Morgan Mortgage Trust, Series 2017-5, Class A1                                | CUSIP: 46590YAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     78978 | PA      | $79921.08     | 0.02%             | 2048-10-26      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs                                                                  | CUSIP: 31392AT65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     54253 | PA      | $54806.83     | 0.01%             | 2031-12-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Trust                            | Chase Mortgage Finance Trust, Series 2007-A2, Class 2A4                            | CUSIP: 16163LBT8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    106153 | PA      | $106050.53    | 0.02%             | 2035-06-25      | Variable      | 6.16%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association, TBA                                      | CUSIP: 21H060614<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9322000 | PA      | $9500793.07   | 1.86%             | 2056-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36209FBN8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4674 | PA      | $4808.42      | 0.00%             | 2029-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31410FV85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42367 | PA      | $44509.14     | 0.01%             | 2030-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 31296LPB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     24873 | PA      | $25840.82     | 0.01%             | 2033-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 3128LXNJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    230823 | PA      | $239375.79    | 0.05%             | 2032-01-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac STRIPS                                      | Freddie Mac STRIPS                                                                 | CUSIP: 3128HVJ75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |    358927 | PA      | $357420.85    | 0.07%             | 2036-05-15      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31412TVH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15883 | PA      | $16749.47     | 0.00%             | 2038-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31417DVZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    492004 | PA      | $469527.94    | 0.09%             | 2042-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs, IO                                                              | CUSIP: 3136ASXP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |    182963 | PA      | $23462.40     | 0.00%             | 2046-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31382NLT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36505 | PA      | $37885.65     | 0.01%             | 2029-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs, IO                                                              | CUSIP: 31392EHP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     36511 | PA      | $3643.22      | 0.00%             | 2032-04-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 3128M7DF0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    146283 | PA      | $147795.80    | 0.03%             | 2038-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, Inc. Trust                  | Residential Accredit Loans, Inc. Trust, Series 2006-QS13, Class 1A8                | CUSIP: 75115DAH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     21913 | PA      | $17669.76     | 0.00%             | 2036-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Seasoned Loans Structured Transaction       | Freddie Mac Seasoned Loans Structured Transaction, Series 2019-1, Class A2         | CUSIP: 35564CBC0<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |   2000000 | PA      | $1952058.60   | 0.38%             | 2029-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                      | Freddie Mac REMICs                                                                 | CUSIP: 31339MRQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |      8714 | PA      | $8729.68      | 0.00%             | 2029-07-15      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31413YRR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        82 | PA      | $86.28        | 0.00%             | 2037-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac STRIPS                                      | Freddie Mac STRIPS, IO                                                             | CUSIP: 31325UPL4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |     34339 | PA      | $625.51       | 0.00%             | 2027-12-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs                                                                  | CUSIP: 31392CE67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     25899 | PA      | $26174.72     | 0.01%             | 2032-04-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| Uniform Mortgage-Backed Securities                      | Uniform Mortgage-Backed Securities, TBA                                            | CUSIP: 01F042418<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1700000 | PA      | $1700863.28   | 0.33%             | 2041-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 38379GZ42<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-APCP         | USGA              | US        |    297213 | PA      | $301658.78    | 0.06%             | 2044-07-20      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31415TSZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       447 | PA      | $479.05       | 0.00%             | 2038-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 3132DNJK0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5350010 | PA      | $5275022.76   | 1.03%             | 2052-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac, Series 2022-DNA4, Class M1                                            | CUSIP: 35564KWT2<br>LEI: 5493000IS4CDPWRMWB65 | Long             | ABS-MBS          | USGSE             | US        |   4615000 | PA      | $4764605.38   | 0.93%             | 2042-05-25      | Floating      | 7.22%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31385XQT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32279 | PA      | $33319.11     | 0.01%             | 2033-03-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Grantor Trust                                | Fannie Mae Grantor Trust, Series 1999-T2, Class A1                                 | CUSIP: 31359VYH0<br>LEI: N/A                  | Long             | ABS-APCP         | USGSE             | US        |     74308 | PA      | $76881.97     | 0.02%             | 2039-01-19      | Variable      | 7.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 3140X9WP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6536436 | PA      | $5328374.13   | 1.04%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31402DGM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     65856 | PA      | $68661.90     | 0.01%             | 2034-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Bank                                                    | Bank, Series 2017-BNK5, Class AS                                                   | CUSIP: 06541WBA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3200000 | PA      | $3134842.88   | 0.61%             | 2060-06-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31416KAX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       629 | PA      | $664.36       | 0.00%             | 2039-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36201DUR1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       982 | PA      | $997.57       | 0.00%             | 2033-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31402DPF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    256696 | PA      | $266432.58    | 0.05%             | 2029-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs, IO                                                              | CUSIP: 31392DCP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     58316 | PA      | $4720.68      | 0.00%             | 2032-04-25      | Floating      | 3.01%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs                                                                  | CUSIP: 3136AR6E3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |    217485 | PA      | $215199.12    | 0.04%             | 2046-06-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 31293MJF0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14488 | PA      | $15146.54     | 0.00%             | 2029-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                 | GSR Mortgage Loan Trust, Series 2005-AR4, Class 6A1                                | CUSIP: 362341FR5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     39406 | PA      | $37950.99     | 0.01%             | 2035-07-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 31286PAA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    292841 | PA      | $304299.61    | 0.06%             | 2038-07-01      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31380D3V6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1421 | PA      | $1482.10      | 0.00%             | 2028-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36209MGF5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5910 | PA      | $5991.57      | 0.00%             | 2028-08-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31411APZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4158 | PA      | $4349.89      | 0.00%             | 2036-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                      | Freddie Mac REMICs                                                                 | CUSIP: 3133TJUT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |     36485 | PA      | $36578.77     | 0.01%             | 2029-03-15      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36209BA24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       149 | PA      | $150.03       | 0.00%             | 2028-01-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36209AE89<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1007 | PA      | $1044.00      | 0.00%             | 2028-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs                                                                  | CUSIP: 31396XCE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |    303984 | PA      | $301801.43    | 0.06%             | 2037-08-25      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs                                                                  | CUSIP: 31394DR28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |    430728 | PA      | $427497.74    | 0.08%             | 2035-06-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association, ARM                                         | CUSIP: 3140JBWP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2035307 | PA      | $2123208.59   | 0.42%             | 2045-04-01      | Floating      | 6.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac STRIPS                                      | Freddie Mac STRIPS, IO                                                             | CUSIP: 31282YW70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |     37754 | PA      | $4204.73      | 0.00%             | 2032-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31410KQD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    119170 | PA      | $123706.17    | 0.02%             | 2034-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Luminent Mortgage Trust                                 | Luminent Mortgage Trust, Series 2006-1, Class A1                                   | CUSIP: 550279AM5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     23308 | PA      | $20952.70     | 0.00%             | 2036-04-25      | Floating      | 3.85%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31374TWX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2211 | PA      | $2294.45      | 0.00%             | 2029-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36290SU66<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7872 | PA      | $7975.51      | 0.00%             | 2034-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs, IO                                                              | CUSIP: 31393BFR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |      9475 | PA      | $1222.07      | 0.00%             | 2033-05-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31383HYG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8859 | PA      | $9305.24      | 0.00%             | 2029-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs                                                                  | CUSIP: 31392EGN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     53750 | PA      | $53728.09     | 0.01%             | 2032-09-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                      | Freddie Mac REMICs, IO                                                             | CUSIP: 31395MTC3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |     56903 | PA      | $3603.37      | 0.00%             | 2035-02-15      | Floating      | 2.65%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31411EFN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6127 | PA      | $6408.87      | 0.00%             | 2036-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs                                                                  | CUSIP: 31359NUK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |      2611 | PA      | $2608.19      | 0.00%             | 2027-03-18      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 3140QCNM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5128981 | PA      | $5057107.45   | 0.99%             | 2034-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs                                                                  | CUSIP: 31393EJT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     49143 | PA      | $52321.24     | 0.01%             | 2032-09-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 3617MKMA4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2159562 | PA      | $1967713.67   | 0.39%             | 2050-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs                                                                  | CUSIP: 31392EXR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     17154 | PA      | $17151.73     | 0.00%             | 2032-10-18      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31385JNG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6276 | PA      | $6514.77      | 0.00%             | 2032-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                      | Freddie Mac REMICs, IO                                                             | CUSIP: 31393FG91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |     38882 | PA      | $2290.30      | 0.00%             | 2029-06-15      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs, IO                                                              | CUSIP: 31394EGT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |    137701 | PA      | $11525.52     | 0.00%             | 2031-10-25      | Floating      | 2.71%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31371LWT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8740 | PA      | $8990.93      | 0.00%             | 2034-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Mortgage Trust                              | J.P. Morgan Mortgage Trust, Series 2019-INV2, Class A1                             | CUSIP: 46651DAR7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    103504 | PA      | $94037.52     | 0.02%             | 2050-02-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs                                                                  | CUSIP: 31392GDR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     17033 | PA      | $17023.94     | 0.00%             | 2032-09-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 3140KDA75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4595512 | PA      | $4077294.88   | 0.80%             | 2050-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs, IO                                                              | CUSIP: 31392AZY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     40639 | PA      | $4135.11      | 0.00%             | 2031-11-25      | Floating      | 3.91%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 3140EX5Y5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    667924 | PA      | $634702.54    | 0.12%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36211JLK1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7221 | PA      | $7337.52      | 0.00%             | 2029-07-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs, IO                                                              | CUSIP: 31359UB53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |      3567 | PA      | $3630.73      | 0.00%             | 2028-10-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 3133G8DC2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1823829 | PA      | $1768600.69   | 0.35%             | 2035-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36208DUE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       190 | PA      | $192.01       | 0.00%             | 2028-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31418XE53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29045 | PA      | $29884.56     | 0.01%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31418TZ67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     39088 | PA      | $40576.66     | 0.01%             | 2040-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31403JPN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10132 | PA      | $10517.95     | 0.00%             | 2033-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 31296LLP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15531 | PA      | $16135.36     | 0.00%             | 2033-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36209XTH3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       599 | PA      | $607.11       | 0.00%             | 2028-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 3132DVMB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  11611064 | PA      | $10009429.81  | 1.96%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31403DLW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    124495 | PA      | $129491.98    | 0.03%             | 2032-09-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                      | Freddie Mac REMICs                                                                 | CUSIP: 3133TDBK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |     26076 | PA      | $26364.51     | 0.01%             | 2028-03-15      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36291CL94<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       407 | PA      | $412.48       | 0.00%             | 2033-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Deutsche Mortgage Securities, Inc. Re-REMIC Trust Ctfs. | Deutsche Mortgage Securities, Inc. Re-REMIC Trust Ctfs., Series 2007-WM1, Class A1 | CUSIP: 25157TAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1100999 | PA      | $974043.77    | 0.19%             | 2037-06-27      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs                                                                  | CUSIP: 31395DUN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     13707 | PA      | $16148.12     | 0.00%             | 2036-06-25      | Floating      | 9.57%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 3140QGHB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1553667 | PA      | $1378547.48   | 0.27%             | 2050-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 31335BUD6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1610781 | PA      | $1690332.58   | 0.33%             | 2037-08-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Interest STRIPS                              | Fannie Mae Interest STRIPS, IO                                                     | CUSIP: 3136FAXP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |    150800 | PA      | $16157.79     | 0.00%             | 2033-02-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                      | Freddie Mac REMICs                                                                 | CUSIP: 31392MW99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |     24492 | PA      | $24749.06     | 0.00%             | 2032-02-15      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 3140XMPT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3791589 | PA      | $3933526.01   | 0.77%             | 2053-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31411J3H7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4587 | PA      | $4798.66      | 0.00%             | 2037-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31405VC39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       929 | PA      | $964.05       | 0.00%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                      | Freddie Mac REMICs                                                                 | CUSIP: 31339W2H8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |     12924 | PA      | $13563.58     | 0.00%             | 2032-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Swedbank AB/New York                                    | Swedbank AB/New York                                                               | CUSIP: 87019WV69<br>LEI: M312WZV08Y7LYUC71685 | Long             | DBT              | CORP              | SE        |   7000000 | PA      | $7002059.40   | 1.37%             | 2026-10-16      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 3133KGGA0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    501128 | PA      | $483856.88    | 0.09%             | 2049-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 3138A5BX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    971322 | PA      | $999410.99    | 0.20%             | 2041-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 3140KEMQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4399259 | PA      | $4118971.22   | 0.81%             | 2035-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs                                                                  | CUSIP: 31392EQ29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |      7982 | PA      | $8066.36      | 0.00%             | 2032-04-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31385XQX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     59891 | PA      | $60919.29     | 0.01%             | 2032-09-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 3133KKAL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5294641 | PA      | $4496340.62   | 0.88%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Uniform Mortgage-Backed Securities                      | Uniform Mortgage-Backed Securities, TBA                                            | CUSIP: 01F020612<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -6400000 | PA      | $-5174974.53  | -1.01%            | 2056-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31412FK51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8426 | PA      | $8748.51      | 0.00%             | 2037-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 3140JWPE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    993889 | PA      | $963411.78    | 0.19%             | 2034-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Mortgage Trust                              | J.P. Morgan Mortgage Trust, Series 2014-1, Class 1A17                              | CUSIP: 46641CAR2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    495080 | PA      | $474800.94    | 0.09%             | 2044-01-25      | Variable      | 0.79%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 3133KQBC9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6934877 | PA      | $7076653.80   | 1.39%             | 2052-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31405QS90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1032 | PA      | $1077.09      | 0.00%             | 2034-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36210GAF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10368 | PA      | $10556.99     | 0.00%             | 2029-08-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans Mortgage Pass-Through Trust      | Countrywide Home Loans Mortgage Pass-Through Trust, Series 2004-29, Class 1A1      | CUSIP: 12669GHY0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     65088 | PA      | $63417.61     | 0.01%             | 2035-02-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 3132DVKM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4759884 | PA      | $4636781.35   | 0.91%             | 2049-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac STRIPS                                      | Freddie Mac STRIPS, IO                                                             | CUSIP: 31282YCV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |      6849 | PA      | $639.77       | 0.00%             | 2029-12-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31405SXH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19766 | PA      | $20242.14     | 0.00%             | 2034-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 3133KH5S1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4892633 | PA      | $4573089.47   | 0.90%             | 2050-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31404JWD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7022 | PA      | $7125.68      | 0.00%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 3140XMUS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10356023 | PA      | $8448094.39   | 1.66%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31371MMH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     82405 | PA      | $87195.59     | 0.02%             | 2036-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BofA Securities Inc.                                    | BofA Securities Inc.                                                               | CUSIP: 06054CLQ6<br>LEI: 549300HN4UKV1E2R3U73 | Long             | DBT              | CORP              | US        |   5000000 | PA      | $5002690.00   | 0.98%             | 2026-08-06      | Floating      | 4.10%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 3138AWEM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1077818 | PA      | $1084410.83   | 0.21%             | 2041-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31415V3K9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       317 | PA      | $328.97       | 0.00%             | 2038-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                      | Freddie Mac REMICs                                                                 | CUSIP: 31392UVK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |     36989 | PA      | $36977.19     | 0.01%             | 2032-03-15      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                      | Freddie Mac REMICs                                                                 | CUSIP: 3133TTX30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |     46177 | PA      | $48209.84     | 0.01%             | 2031-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                      | Freddie Mac REMICs                                                                 | CUSIP: 3133TJC43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |     35020 | PA      | $34953.09     | 0.01%             | 2029-02-15      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 3140XC6B9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9442325 | PA      | $8142707.52   | 1.60%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 3140XDTX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3836470 | PA      | $3311463.82   | 0.65%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 3617BTGK2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1445028 | PA      | $1370983.04   | 0.27%             | 2048-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 3138YEQK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3521456 | PA      | $3329198.78   | 0.65%             | 2045-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31416BL63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    187974 | PA      | $198476.51    | 0.04%             | 2038-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31374T2L2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       691 | PA      | $716.93       | 0.00%             | 2029-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31389VQ26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4362 | PA      | $4527.45      | 0.00%             | 2032-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36208VSX4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3155 | PA      | $3211.07      | 0.00%             | 2028-04-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 3128M9H70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2105076 | PA      | $2122375.43   | 0.42%             | 2041-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | U.S. Treasury 5 Year Notes Future                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |       -16 | NC      | $747.84       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac REMICs                                      | Freddie Mac REMICs                                                                 | CUSIP: 3133TG5U9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |     14251 | PA      | $14537.37     | 0.00%             | 2028-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Interest STRIPS                              | Fannie Mae Interest STRIPS, IO                                                     | CUSIP: 31364JZP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     27568 | PA      | $1865.72      | 0.00%             | 2029-04-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Interest STRIPS                              | Fannie Mae Interest STRIPS, IO                                                     | CUSIP: 31364HS24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     52195 | PA      | $2247.81      | 0.00%             | 2028-02-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                      | Freddie Mac REMICs                                                                 | CUSIP: 3137AEH57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |     80666 | PA      | $77835.59     | 0.02%             | 2038-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31402RHV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     89001 | PA      | $92375.15     | 0.02%             | 2031-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 3140QMRB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8132367 | PA      | $6685123.49   | 1.31%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                      | Freddie Mac REMICs, IO                                                             | CUSIP: 31397TEH1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |    504005 | PA      | $40041.12     | 0.01%             | 2038-05-15      | Floating      | 1.97%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 3140XMBJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4361978 | PA      | $4546355.19   | 0.89%             | 2053-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31406CGC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10589 | PA      | $11030.04     | 0.00%             | 2034-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 31283H3D5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     70633 | PA      | $72563.79     | 0.01%             | 2029-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                      | Freddie Mac REMICs                                                                 | CUSIP: 31392RNB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |     25057 | PA      | $25320.30     | 0.00%             | 2032-02-15      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31383EAP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       142 | PA      | $149.67       | 0.00%             | 2029-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                      | Freddie Mac REMICs, IO                                                             | CUSIP: 3137AWK87<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |    218704 | PA      | $3853.06      | 0.00%             | 2027-11-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31403DA33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    138911 | PA      | $142552.07    | 0.03%             | 2033-08-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| U.S. Treasury Bills                                     | U.S. Treasury Bills                                                                | CUSIP: 912797QN0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2359000 | PA      | $2328983.62   | 0.46%             | 2026-05-14      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                      | Freddie Mac REMICs                                                                 | CUSIP: 31392R6E6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |     34938 | PA      | $35306.77     | 0.01%             | 2032-03-15      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Structured Pass-Through Ctfs.   | Freddie Mac Multifamily Structured Pass-Through Ctfs., Series K734, Class X1, IO   | CUSIP: 3137FLN59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |   2514227 | PA      | $445.77       | 0.00%             | 2026-02-25      | Variable      | 0.76%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31382NP48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14805 | PA      | $15365.20     | 0.00%             | 2029-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 3132DNNW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5853416 | PA      | $5867506.45   | 1.15%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs                                                                  | CUSIP: 31392DPW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     64475 | PA      | $65148.31     | 0.01%             | 2032-03-18      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                      | Freddie Mac REMICs                                                                 | CUSIP: 3133TKCT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |     35604 | PA      | $36229.91     | 0.01%             | 2029-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 3140K7HQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2942756 | PA      | $2748923.41   | 0.54%             | 2050-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Vendee Mortgage Trust                                   | Vendee Mortgage Trust, Series 2002-3, IO                                           | CUSIP: 911760SQ0<br>LEI: N/A                  | Long             | ABS-APCP         | USGSE             | US        |   3403876 | PA      | $4814.10      | 0.00%             | 2032-08-15      | Variable      | 0.11%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | U.S. Treasury Ultra Bonds Future                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |       -10 | NC      | $14687.50     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| HSBC Bank PLC                                           | HSBC Bank PLC                                                                      | CUSIP: 40433FVV8<br>LEI: MP6I5ZYZBEU3UXPYFY54 | Long             | DBT              | CORP              | GB        |   2000000 | PA      | $2000358.80   | 0.39%             | 2026-10-14      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs, IO                                                              | CUSIP: 31392EWW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     77932 | PA      | $7162.45      | 0.00%             | 2032-08-25      | Floating      | 3.01%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corp.                            | Chase Mortgage Finance Corp., Series 2016-SH1, Class M3                            | CUSIP: 16163YAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    786913 | PA      | $735510.68    | 0.14%             | 2045-04-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                      | Freddie Mac REMICs, IO                                                             | CUSIP: 31392RT84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |     20713 | PA      | $1230.32      | 0.00%             | 2029-09-15      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31402QSA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15046 | PA      | $15441.04     | 0.00%             | 2029-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36210BBL8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1193 | PA      | $1214.73      | 0.00%             | 2029-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                      | Freddie Mac REMICs                                                                 | CUSIP: 3133THTM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |     21474 | PA      | $21921.57     | 0.00%             | 2029-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs                                                                  | CUSIP: 31397NL45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |    185956 | PA      | $194924.05    | 0.04%             | 2039-06-25      | Variable      | 6.60%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31371KEX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1426 | PA      | $1480.11      | 0.00%             | 2031-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 3140J9WH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5435596 | PA      | $5279093.48   | 1.04%             | 2048-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31386NCA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       321 | PA      | $332.90       | 0.00%             | 2031-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31371HNN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       454 | PA      | $471.65       | 0.00%             | 2029-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36200KA49<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1359 | PA      | $1380.43      | 0.00%             | 2033-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31384VTE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        33 | PA      | $34.13        | 0.00%             | 2030-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Invesco Government & Agency Portfolio                   | Invesco Government & Agency Portfolio, Institutional Class                         | CUSIP: 825252885<br>LEI: 5493007T1J7WZ5QI1A47 | Long             | STIV             | RF                | US        |  12385434 | NS      | $12385434.47  | 2.43%             |  |  |  | No            |                  1 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 3131Y7TD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    650631 | PA      | $629125.63    | 0.12%             | 2048-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 3140M1AL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2321443 | PA      | $1912332.21   | 0.38%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 31335ALZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2574842 | PA      | $2508299.77   | 0.49%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs, IO                                                              | CUSIP: 31393BKD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |      7754 | PA      | $1099.40      | 0.00%             | 2033-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36290REU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       281 | PA      | $287.37       | 0.00%             | 2033-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36209WQP0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       144 | PA      | $146.57       | 0.00%             | 2028-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36209LD37<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3317 | PA      | $3365.46      | 0.00%             | 2028-08-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 3128K7XS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     39712 | PA      | $41259.35     | 0.01%             | 2031-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs, IO                                                              | CUSIP: 31394DXZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     90095 | PA      | $4322.64      | 0.00%             | 2035-05-25      | Floating      | 2.61%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31412Q2T5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    350264 | PA      | $353484.17    | 0.07%             | 2040-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs, IO                                                              | CUSIP: 3136A1QW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     77810 | PA      | $6859.60      | 0.00%             | 2041-10-25      | Floating      | 2.56%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                      | Freddie Mac REMICs, IO                                                             | CUSIP: 31397PM49<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |      8062 | PA      | $857.68       | 0.00%             | 2037-12-15      | Floating      | 2.90%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 3128M5F54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8062 | PA      | $8480.08      | 0.00%             | 2037-10-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Structured Pass-Through Ctfs.               | Freddie Mac Structured Pass-Through Ctfs., Series T-54, Class 2A                   | CUSIP: 31393LFK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |   1051276 | PA      | $1056750.78   | 0.21%             | 2043-02-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 3617YYWH5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1472596 | PA      | $1313732.52   | 0.26%             | 2052-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                      | Freddie Mac REMICs, IO                                                             | CUSIP: 31397T4E9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |     22965 | PA      | $2062.36      | 0.00%             | 2038-04-15      | Floating      | 1.90%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31385XNR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       471 | PA      | $483.97       | 0.00%             | 2033-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Interest STRIPS                              | Fannie Mae Interest STRIPS, IO                                                     | CUSIP: 3136FCQG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     46848 | PA      | $6570.32      | 0.00%             | 2035-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                      | Freddie Mac REMICs                                                                 | CUSIP: 3137AUGD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |   3138181 | PA      | $3087929.96   | 0.61%             | 2027-08-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31390MJR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4078 | PA      | $4232.26      | 0.00%             | 2032-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GCAT 2025-INV2 Trust                                    | GCAT 2025-INV2 Trust, Series 2025-INV2, Class A1                                   | CUSIP: 36173QAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2895552 | PA      | $2951722.80   | 0.58%             | 2055-05-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36209CVX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2945 | PA      | $2984.99      | 0.00%             | 2028-07-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 3132DMYY5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  16132206 | PA      | $13924583.41  | 2.73%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Interest STRIPS                              | Fannie Mae Interest STRIPS, IO                                                     | CUSIP: 3136FAXH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |    119295 | PA      | $15098.60     | 0.00%             | 2033-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31403DDN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21514 | PA      | $22604.40     | 0.00%             | 2033-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Mizuho Bank Ltd.                                        | Mizuho Bank Ltd.                                                                   | CUSIP: 60710TE64<br>LEI: RB0PEZSDGCO3JS6CEU02 | Long             | DBT              | CORP              | JP        |   3000000 | PA      | $3000940.80   | 0.59%             | 2026-02-19      | Floating      | 4.10%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36200WP21<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       218 | PA      | $219.71       | 0.00%             | 2034-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36207MK88<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2523 | PA      | $2542.75      | 0.00%             | 2027-12-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31391RHT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1168 | PA      | $1212.29      | 0.00%             | 2032-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs                                                                  | CUSIP: 31392F6Z5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     92450 | PA      | $93401.17     | 0.02%             | 2032-12-18      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36291N4H1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9227 | PA      | $9532.18      | 0.00%             | 2034-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31384WJ84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       557 | PA      | $577.67       | 0.00%             | 2031-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 3140Y7R83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4981585 | PA      | $5152854.02   | 1.01%             | 2055-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36202XLH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       198 | PA      | $199.96       | 0.00%             | 2034-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs, IO                                                              | CUSIP: 3136A9XT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     47231 | PA      | $648.07       | 0.00%             | 2027-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31405X2U6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2605 | PA      | $2642.53      | 0.00%             | 2034-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31404XRP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24234 | PA      | $25353.95     | 0.00%             | 2034-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                      | Freddie Mac REMICs                                                                 | CUSIP: 3133TNPR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |     19072 | PA      | $19772.20     | 0.00%             | 2030-03-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31371KDL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2289 | PA      | $2376.86      | 0.00%             | 2031-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs, IO                                                              | CUSIP: 3136A5AX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     27156 | PA      | $2036.72      | 0.00%             | 2041-04-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31406AWK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3737 | PA      | $3822.25      | 0.00%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31405RAQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    117184 | PA      | $122335.50    | 0.02%             | 2034-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                      | Freddie Mac REMICs                                                                 | CUSIP: 31396J4X0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |    744878 | PA      | $737110.64    | 0.14%             | 2036-03-15      | Floating      | 4.40%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31402U5D0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4820 | PA      | $5063.79      | 0.00%             | 2033-09-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 31292GY34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       415 | PA      | $426.85       | 0.00%             | 2029-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust                     | GS Mortgage-Backed Securities Trust, Series 2025-HE1, Class A1                     | CUSIP: 36272NAA2<br>LEI: 254900RIVK2GCJ08H839 | Long             | ABS-MBS          | CORP              | US        |   1717324 | PA      | $1722677.41   | 0.34%             | 2055-10-25      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36202X4F1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     50730 | PA      | $51639.97     | 0.01%             | 2033-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 3140H9EU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1270826 | PA      | $1228391.08   | 0.24%             | 2048-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs, IO                                                              | CUSIP: 3136ABFE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |    301806 | PA      | $35489.19     | 0.01%             | 2042-08-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                      | Freddie Mac REMICs, IO                                                             | CUSIP: 3133TEPR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |         2 | PA      | $0.00         | 0.00%             | 2028-07-17      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| Lloyds Bank PLC                                         | Lloyds Bank PLC                                                                    | CUSIP: 53944TBR4<br>LEI: H7FNTJ4851HG0EXQ1Z70 | Long             | DBT              | CORP              | GB        |   7000000 | PA      | $7003174.50   | 1.37%             | 2026-10-14      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| Freddie Mac STRIPS                                      | Freddie Mac STRIPS, IO                                                             | CUSIP: 31282YCU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |     78062 | PA      | $6551.58      | 0.00%             | 2029-09-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31405V6H5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18434 | PA      | $19017.12     | 0.00%             | 2034-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 3128MJQD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    271202 | PA      | $273235.52    | 0.05%             | 2041-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31415SNB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        64 | PA      | $66.98        | 0.00%             | 2038-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                      | Freddie Mac REMICs                                                                 | CUSIP: 3137BNCR3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |     59359 | PA      | $59531.77     | 0.01%             | 2042-03-15      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 3133A1E65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2716696 | PA      | $2410315.43   | 0.47%             | 2050-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 3133A47H3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2272317 | PA      | $2016174.79   | 0.40%             | 2050-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                   | Wells Fargo Commercial Mortgage Trust, Series 2017-C42, Class XA                   | CUSIP: 95001GAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7528566 | PA      | $102373.45    | 0.02%             | 2050-12-15      | Variable      | 0.82%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs, IO                                                              | CUSIP: 31392F6J1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     22313 | PA      | $1253.73      | 0.00%             | 2032-12-18      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31371HHS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       178 | PA      | $184.66       | 0.00%             | 2029-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36209DE91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       416 | PA      | $431.43       | 0.00%             | 2028-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs, IO                                                              | CUSIP: 31394DQF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |    179237 | PA      | $15948.22     | 0.00%             | 2035-05-25      | Floating      | 2.71%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31411UGM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6572 | PA      | $6874.88      | 0.00%             | 2037-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Uniform Mortgage-Backed Securities                      | Uniform Mortgage-Backed Securities, TBA                                            | CUSIP: 01F050411<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3920000 | PA      | $3970506.69   | 0.78%             | 2041-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 3617MKLS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4282154 | PA      | $3946827.52   | 0.77%             | 2050-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31418MJP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     82375 | PA      | $86358.34     | 0.02%             | 2037-08-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 3132DWBP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  12790395 | PA      | $10438406.48  | 2.05%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36200NAA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       110 | PA      | $112.28       | 0.00%             | 2034-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31410VD80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1382 | PA      | $1418.05      | 0.00%             | 2036-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Adjustable Rate Mortgage Trust                          | Adjustable Rate Mortgage Trust, Series 2005-7, Class 2A21                          | CUSIP: 007036MT0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    115586 | PA      | $101568.71    | 0.02%             | 2035-10-25      | Variable      | 0.77%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31412SB53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8059 | PA      | $8423.77      | 0.00%             | 2037-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs, IO                                                              | CUSIP: 3136AYAT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |   1289215 | PA      | $129711.56    | 0.03%             | 2047-09-25      | Floating      | 1.91%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs                                                                  | CUSIP: 31394V7G9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     83235 | PA      | $99110.87     | 0.02%             | 2036-03-25      | Floating      | 9.94%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Interest STRIPS                              | Fannie Mae Interest STRIPS, PO                                                     | CUSIP: 3136FART9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     21409 | PA      | $19731.26     | 0.00%             | 2032-09-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31384VPW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        54 | PA      | $56.10        | 0.00%             | 2029-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31418MJT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     68868 | PA      | $71878.31     | 0.01%             | 2032-10-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs                                                                  | CUSIP: 31392FP84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     41943 | PA      | $42408.10     | 0.01%             | 2032-12-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 3132DQMQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2145574 | PA      | $2197760.97   | 0.43%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 3617LKPS3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1535610 | PA      | $1452216.25   | 0.28%             | 2050-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                                 | Standard Chartered Bank                                                            | CUSIP: 85325VRU6<br>LEI: RILFO74KP1CM8P6PCT96 | Long             | DBT              | CORP              | GB        |   7000000 | PA      | $7005488.00   | 1.37%             | 2026-07-24      | Floating      | 4.04%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36194M3Q2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1119801 | PA      | $1020340.73   | 0.20%             | 2046-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 31334XD97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1247220 | PA      | $1198818.10   | 0.24%             | 2049-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CSMC Trust                                              | CSMC Trust, Series 2013-7, Class B1                                                | CUSIP: 12647PAR9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    676628 | PA      | $664256.37    | 0.13%             | 2043-08-25      | Variable      | 3.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs, IO                                                              | CUSIP: 31394CKG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     22331 | PA      | $1147.79      | 0.00%             | 2035-03-25      | Floating      | 2.76%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                      | Freddie Mac REMICs                                                                 | CUSIP: 3133TMBG0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |     66416 | PA      | $67731.26     | 0.01%             | 2029-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 3140EU6V6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8161996 | PA      | $7728188.87   | 1.52%             | 2046-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 3140X5U76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3952784 | PA      | $3874323.35   | 0.76%             | 2035-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36208YJ75<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       778 | PA      | $786.09       | 0.00%             | 2028-08-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 3128LXJQ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     61060 | PA      | $63074.64     | 0.01%             | 2033-09-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                      | Freddie Mac REMICs                                                                 | CUSIP: 3137BHBM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |    591585 | PA      | $563694.79    | 0.11%             | 2038-07-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Uniform Mortgage-Backed Securities                      | Uniform Mortgage-Backed Securities, TBA                                            | CUSIP: 01F022618<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -1783000 | PA      | $-1507610.09  | -0.30%            | 2056-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31419AGW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23054 | PA      | $23379.36     | 0.00%             | 2027-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31371G7E4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10102 | PA      | $10485.18     | 0.00%             | 2028-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 3133KGPY8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1241390 | PA      | $1120193.70   | 0.22%             | 2049-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36200MPE7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     16946 | PA      | $17460.97     | 0.00%             | 2033-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Adjustable Rate Mortgage Trust             | Bear Stearns Adjustable Rate Mortgage Trust, Series 2005-1, Class 2A1              | CUSIP: 07387AAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    496098 | PA      | $456273.94    | 0.09%             | 2035-03-25      | Variable      | 2.16%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 3140XAJL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7678440 | PA      | $6630337.93   | 1.30%             | 2051-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs                                                                  | CUSIP: 31397NP41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |    449887 | PA      | $454968.01    | 0.09%             | 2037-06-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31418M2C5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6335 | PA      | $6338.03      | 0.00%             | 2027-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Trust                            | Chase Mortgage Finance Trust, Series 2005-A1, Class 3A1                            | CUSIP: 16162WPJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9637 | PA      | $8429.70      | 0.00%             | 2035-12-25      | Variable      | 3.93%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31405X3Q4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4794 | PA      | $4955.01      | 0.00%             | 2034-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36202SUB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       134 | PA      | $137.69       | 0.00%             | 2033-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 3128M7S56<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     38682 | PA      | $40867.16     | 0.01%             | 2031-08-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 38379GM79<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-APCP         | USGA              | US        |    366703 | PA      | $372783.31    | 0.07%             | 2041-09-20      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| Structured Asset Sec Mortgage Pass-Through Ctfs.        | Structured Asset Sec Mortgage Pass-Through Ctfs., Series 2002-21A, Class B1II      | CUSIP: 86359ACC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         1 | PA      | $1.03         | 0.00%             | 2032-11-25      | Variable      | 6.56%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31405ND51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9515 | PA      | $9916.32      | 0.00%             | 2034-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CSFB Mortgage-Backed Pass-Through Ctfs.                 | CSFB Mortgage-Backed Pass-Through Ctfs., Series 2004-AR5, Class 5A1                | CUSIP: 22541SJD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    133076 | PA      | $129729.08    | 0.03%             | 2034-06-25      | Variable      | 5.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36202SWM6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     43131 | PA      | $43930.23     | 0.01%             | 2033-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 31283HTM7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     25608 | PA      | $26605.14     | 0.01%             | 2030-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                        | Federal Home Loan Mortgage Corp.                                                   | CUSIP: 3128MMUL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    547030 | PA      | $531762.85    | 0.10%             | 2031-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs, IO                                                              | CUSIP: 31392DAG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     28778 | PA      | $3111.15      | 0.00%             | 2032-04-25      | Floating      | 3.81%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31371MLC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     51503 | PA      | $54496.77     | 0.01%             | 2035-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Interest STRIPS                              | Fannie Mae Interest STRIPS, IO                                                     | CUSIP: 3136FANL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     36422 | PA      | $4303.74      | 0.00%             | 2032-01-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Uniform Mortgage-Backed Securities                      | Uniform Mortgage-Backed Securities, TBA                                            | CUSIP: 01F052615<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2735000 | PA      | $2773669.73   | 0.54%             | 2056-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 3140M9XT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4450073 | PA      | $3682041.29   | 0.72%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31385WX20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3156 | PA      | $3276.91      | 0.00%             | 2033-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36202V7K1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2794 | PA      | $2819.41      | 0.00%             | 2034-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36210A5W3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        68 | PA      | $70.86        | 0.00%             | 2029-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31412XLG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17130 | PA      | $17624.43     | 0.00%             | 2037-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                      | Freddie Mac REMICs, IO                                                             | CUSIP: 3137B93W3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |    200418 | PA      | $20687.58     | 0.00%             | 2044-01-15      | Floating      | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 3140XLND6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5318037 | PA      | $4398264.23   | 0.86%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs                                                                  | CUSIP: 31392GDQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     17714 | PA      | $17704.91     | 0.00%             | 2032-09-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 3140X5FH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5870192 | PA      | $5287577.49   | 1.04%             | 2049-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31387V3B3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        27 | PA      | $28.43        | 0.00%             | 2031-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 3140XLKW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6442858 | PA      | $5998822.59   | 1.18%             | 2037-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36209TLA5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4637 | PA      | $4684.53      | 0.00%             | 2028-08-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Interest STRIPS                              | Fannie Mae Interest STRIPS, IO                                                     | CUSIP: 31364JN82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |    131707 | PA      | $14615.93     | 0.00%             | 2030-05-25      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs                                                                  | CUSIP: 31393T4V5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     26850 | PA      | $26784.45     | 0.01%             | 2033-11-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 3140L3GC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8092491 | PA      | $6570882.67   | 1.29%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31405WVG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3661 | PA      | $3822.22      | 0.00%             | 2034-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | U.S. Treasury Long Bond Future                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |       -13 | NC      | $-2172.64     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31405YDX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11972 | PA      | $12319.25     | 0.00%             | 2034-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                           | CUSIP: 36207V3M6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        92 | PA      | $93.66        | 0.00%             | 2028-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31389UVE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12290 | PA      | $13095.78     | 0.00%             | 2032-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                      | Freddie Mac REMICs, IO                                                             | CUSIP: 3137H1KA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |   7376476 | PA      | $1000325.36   | 0.20%             | 2048-09-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs, IO                                                              | CUSIP: 31392ATX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     21668 | PA      | $1122.74      | 0.00%             | 2031-12-18      | Floating      | 3.85%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31410FV77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    181110 | PA      | $190298.32    | 0.04%             | 2032-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                      | Freddie Mac REMICs                                                                 | CUSIP: 3133TRLY9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |    112676 | PA      | $114108.28    | 0.02%             | 2031-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 3140K2VW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    745401 | PA      | $705250.19    | 0.14%             | 2049-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 3140QKQQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6506103 | PA      | $5778627.43   | 1.13%             | 2041-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31376J5M7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3374 | PA      | $3502.09      | 0.00%             | 2033-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | Federal National Mortgage Association                                              | CUSIP: 31419AB71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       451 | PA      | $477.50       | 0.00%             | 2040-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs, IO                                                              | CUSIP: 31393BGX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |    104604 | PA      | $16002.73     | 0.00%             | 2033-05-25      | Floating      | 4.26%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs                                                                  | CUSIP: 31395D7F0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     50336 | PA      | $56589.88     | 0.01%             | 2036-06-25      | Floating      | 9.57%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                       | Fannie Mae REMICs, IO                                                              | CUSIP: 31392BMY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |     27326 | PA      | $2451.66      | 0.00%             | 2032-01-25      | Floating      | 3.96%                 | No            |                  2 | On Loan: No      |
| Commonbond Student Loan Trust                           | Commonbond Student Loan Trust, Series 2018-CGS, Class A1                           | CUSIP: 20267XAA1<br>LEI: 549300O1CSZVJJTIR319 | Long             | ABS-O            | CORP              | US        |    431751 | PA      | $421351.30    | 0.08%             | 2046-02-25      | Fixed         | 3.87%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                      | Freddie Mac REMICs                                                                 | CUSIP: 31393G5Y6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |      5071 | PA      | $5079.08      | 0.00%             | 2032-12-15      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2026-01-30

**Name of Applicant:** AIM Growth Series (Invesco Growth Series)

**Signature:** Adrien Deberghes

**Name of Signer:** Adrien Deberghes

**Title:** Principal Financial Officer and Treasurer