# EDGAR Filing Document

**Accession Number:** 0001485894
**File Stem:** 0002071691-26-009292
**Filing Date:** 2026-4
**Character Count:** 1158241
**Document Hash:** fbd681c38410d8d0563b288b452d2814
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0002071691-26-009292.hdr.sgml**: 20260429

**ACCESSION NUMBER**: 0002071691-26-009292

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20260228

**FILED AS OF DATE**: 20260429

**DATE AS OF CHANGE**: 20260429

**PERIOD START**: 20260228

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** J.P. Morgan Exchange-Traded Fund Trust
- **CENTRAL INDEX KEY:** 0001485894

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **STATE OF INCORPORATION:** DE

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-22903
- **FILM NUMBER:** 26912537

**BUSINESS ADDRESS:**
- **STREET 1:** 390 MADISON AVENUE
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10017
- **BUSINESS PHONE:** (800) 480-4111

**MAIL ADDRESS:**
- **STREET 1:** 390 MADISON AVENUE
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10017

## Series and Classes Contracts Data

### JPMorgan Mortgage-Backed Securities ETF (Series ID: S000090417)

| Class ID   | Class Name                              | Ticker Symbol   |
|:---|:---|:---|
| C000257464 | JPMorgan Mortgage-Backed Securities ETF | JMTG            |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** J.P. Morgan Exchange-Traded Fund Trust

- **b. Investment Company Act file number:** 811-22903

- **c. CIK number of Registrant:** 0001485894

- **d. LEI of Registrant:** 5493001E1K1DVWDV2464

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

  - **Street Address 1:** 390 Madison Avenue

  - **City:** New York

  - **State:** NY

  - **Foreign country:** US

  - **Zip / Postal Code:** 10017

  - **Telephone number:** 844-457-6383

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

- **a. Name of Series:** JPMorgan Mortgage-Backed Securities ETF

- **b. EDGAR series identifier (if any):** S000090417

- **c. LEI of Series:** 5299009W5D9FG1N8GU90

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

- **a. Date of fiscal year-end:** 2026-02-28

- **b. Date as of which information is reported:** 2026-02-28

**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:** $6711118536.75

**Total Liabilities:** $89859422.97

**Net Assets:** $6621259113.78

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 3105.65659000 | **1-Year:** 144722.62668000 | **5-Year:** 1691816.04332000 | **10-Year:** 1026973.70276000 | **30-Year:** 0.00000000

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

- **3-Month:** 0.00000000 | **1-Year:** 17847.50054000 | **5-Year:** 21948.97499000 | **10-Year:** 2745.20745000 | **30-Year:** 84.02752000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000257464 | -0.09%               | 0.59%                | 1.77%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $225715.46               | $-27944521.40                              |
| Month 2  | $184496.85               | $14325470.62                               |
| Month 3  | $222340.39               | $92603545.70                               |

**Designated Index Information**

- **Index Name:** Global Aggregate - U.S. MBS

- **Index Identifier:** 3446TRUSD0

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| AMSR Trust                                                           | AMSR Trust, Series 2023-SFR2, Class E1                                                           | CUSIP: 00178YAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10000000 | PA      | $9692857.00   | 0.15%             | 2040-06-17      | Fixed         | 3.95%                 | Yes           |                  2 | On Loan: No      |
| AMSR Trust                                                           | AMSR Trust, Series 2024-SFR1, Class C                                                            | CUSIP: 00179CAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6887000 | PA      | $6790465.61   | 0.10%             | 2041-07-17      | Variable      | 4.29%                 | Yes           |                  2 | On Loan: No      |
| AMSR Trust                                                           | AMSR Trust, Series 2021-SFR1, Class B                                                            | CUSIP: 00179DAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2463000 | PA      | $2337102.52   | 0.04%             | 2038-06-17      | Fixed         | 2.15%                 | Yes           |                  2 | On Loan: No      |
| AMSR Trust                                                           | AMSR Trust, Series 2021-SFR1, Class D                                                            | CUSIP: 00179DAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3400000 | PA      | $3229723.58   | 0.05%             | 2038-06-17      | Fixed         | 2.60%                 | Yes           |                  2 | On Loan: No      |
| AMSR Trust                                                           | AMSR Trust, Series 2024-SFR2, Class D                                                            | CUSIP: 00179UAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6550000 | PA      | $6370177.61   | 0.10%             | 2041-11-17      | Fixed         | 4.15%                 | Yes           |                  2 | On Loan: No      |
| AMSR Trust                                                           | AMSR Trust, Series 2025-SFR2, Class D                                                            | CUSIP: 00180BAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5903000 | PA      | $5720027.07   | 0.09%             | 2042-11-17      | Fixed         | 4.28%                 | Yes           |                  2 | On Loan: No      |
| AMSR Trust                                                           | AMSR Trust, Series 2025-SFR1, Class C                                                            | CUSIP: 00182MAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6095000 | PA      | $5830518.45   | 0.09%             | 2042-06-17      | Fixed         | 3.65%                 | Yes           |                  2 | On Loan: No      |
| AMSR Trust                                                           | AMSR Trust, Series 2025-SFR1, Class D                                                            | CUSIP: 00182MAG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5250000 | PA      | $4962686.40   | 0.07%             | 2042-06-17      | Fixed         | 3.65%                 | Yes           |                  2 | On Loan: No      |
| ASG Resecuritization Trust                                           | ASG Resecuritization Trust, Series 2011-1, Class 2A35                                            | CUSIP: 00190VDB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     28399 | PA      | $8520.63      | 0.00%             | 2036-09-28      | Variable      | 6.00%                 | Yes           |                  2 | On Loan: No      |
| Accelerated Assets LLC                                               | Accelerated Assets LLC, Series 2018-1, Class B                                                   | CUSIP: 00436MAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    272646 | PA      | $269484.38    | 0.00%             | 2033-12-02      | Fixed         | 4.51%                 | Yes           |                  2 | On Loan: No      |
| Accelerated LLC                                                      | Accelerated LLC, Series 2021-1H, Class C                                                         | CUSIP: 00439KAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2410699 | PA      | $2277934.28   | 0.03%             | 2040-10-20      | Fixed         | 2.35%                 | Yes           |                  2 | On Loan: No      |
| ACHM Trust                                                           | ACHM Trust, Series 2025-HE3, Class A                                                             | CUSIP: 00449VAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7966032 | PA      | $8076367.46   | 0.12%             | 2055-11-25      | Variable      | 5.20%                 | Yes           |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                                             | Ajax Mortgage Loan Trust, Series 2022-A, Class A1                                                | CUSIP: 009695AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1628818 | PA      | $1597966.64   | 0.02%             | 2061-10-25      | Variable      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                                             | Ajax Mortgage Loan Trust, Series 2021-G, Class A                                                 | CUSIP: 009703AA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1839371 | PA      | $1840768.72   | 0.03%             | 2061-06-25      | Variable      | 5.87%                 | Yes           |                  2 | On Loan: No      |
| FNMA/FHLMC                                                           | FNMA/FHLMC UMBS, Single Family, 30 Year                                                          | CUSIP: 01F040636<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  12250000 | PA      | $11904713.42  | 0.18%             | 2056-03-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLMC                                                           | FNMA/FHLMC UMBS, Single Family, 30 Year                                                          | CUSIP: 01F050635<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  76485000 | PA      | $76828068.88  | 1.16%             | 2056-03-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                               | Alternative Loan Trust, Series 2006-26CB, Class A9                                               | CUSIP: 02147WAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    291546 | PA      | $139031.90    | 0.00%             | 2036-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| American General Mortgage Loan Trust                                 | American General Mortgage Loan Trust, Series 2006-1, Class A5                                    | CUSIP: 02639MAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       412 | PA      | $478.02       | 0.00%             | 2035-12-25      | Variable      | 5.75%                 | Yes           |                  2 | On Loan: No      |
| Anchor Mortgage Trust                                                | Anchor Mortgage Trust, Series 2025-RTL1, Class A1                                                | CUSIP: 03290CAA4<br>LEI: 254900S7O2LYCU17JI96 | Long             | ABS-MBS          | CORP              | US        |   8890000 | PA      | $8940701.45   | 0.14%             | 2040-05-25      | Variable      | 5.72%                 | Yes           |                  2 | On Loan: No      |
| Anchor Mortgage Trust                                                | Anchor Mortgage Trust, Series 2025-RTL1, Class A2                                                | CUSIP: 03290CAB2<br>LEI: 254900S7O2LYCU17JI96 | Long             | ABS-MBS          | CORP              | US        |   3580000 | PA      | $3595482.07   | 0.05%             | 2040-05-25      | Variable      | 6.36%                 | Yes           |                  2 | On Loan: No      |
| Anchor Mortgage Trust                                                | Anchor Mortgage Trust                                                                            | CUSIP: 03332JAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12000000 | PA      | $12077817.60  | 0.18%             | 2031-03-25      | Variable      | 8.23%                 | No            |                  3 | On Loan: No      |
| BAMLL Re-REMIC Trust                                                 | BAMLL Re-REMIC Trust, Series 2024-FRR2, Class A                                                  | CUSIP: 05493UAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  15000000 | PA      | $14277169.50  | 0.22%             | 2050-07-27      | Variable      | 2.44%                 | Yes           |                  3 | On Loan: No      |
| BAMLL Re-REMIC Trust                                                 | BAMLL Re-REMIC Trust, Series 2025-FRR5, Class AK73                                               | CUSIP: 05494BAN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  17316000 | PA      | $16312354.25  | 0.25%             | 2051-02-27      | Variable      | 2.04%                 | Yes           |                  3 | On Loan: No      |
| BAMLL Re-REMIC Trust                                                 | BAMLL Re-REMIC Trust, Series 2025-FRR5, Class BK86                                               | CUSIP: 05494BBC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  15438000 | PA      | $13333105.89  | 0.20%             | 2051-11-27      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| BAMLL Re-REMIC Trust                                                 | BAMLL Re-REMIC Trust, Series 2024-FRR3, Class B                                                  | CUSIP: 054988AC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13000000 | PA      | $12526618.00  | 0.19%             | 2050-01-27      | Variable      | 1.53%                 | Yes           |                  3 | On Loan: No      |
| BAMLL Commercial Mortgage Securities Trust                           | BAMLL Commercial Mortgage Securities Trust, Series 2014-520M, Class C                            | CUSIP: 05525MAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2500000 | PA      | $1760991.75   | 0.03%             | 2046-08-15      | Variable      | 4.21%                 | Yes           |                  2 | On Loan: No      |
| BX Trust                                                             | BX Trust, Series 2025-DELC, Class B                                                              | CUSIP: 05594MAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2565000 | PA      | $2569809.38   | 0.04%             | 2042-12-15      | Floating      | 5.46%                 | Yes           |                  2 | On Loan: No      |
| BX Trust                                                             | BX Trust, Series 2025-DELC, Class C                                                              | CUSIP: 05594MAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3560000 | PA      | $3571750.14   | 0.05%             | 2042-12-15      | Floating      | 5.86%                 | Yes           |                  2 | On Loan: No      |
| BX Trust                                                             | BX Trust, Series 2025-DELC, Class D                                                              | CUSIP: 05594MAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3020000 | PA      | $3033734.96   | 0.05%             | 2042-12-15      | Floating      | 6.26%                 | Yes           |                  2 | On Loan: No      |
| BXP Trust                                                            | BXP Trust, Series 2017-GM, Class A                                                               | CUSIP: 056083AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $4929888.00   | 0.07%             | 2039-06-13      | Fixed         | 3.38%                 | Yes           |                  2 | On Loan: No      |
| BVRT LLC                                                             | BVRT LLC, Series 2025-1, Class A                                                                 | CUSIP: 05614UAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3191281 | PA      | $3086009.06   | 0.05%             | 2033-05-10      | Floating      | 3.66%                 | Yes           |                  3 | On Loan: No      |
| BOFAS Re-REMIC Trust                                                 | BOFAS Re-REMIC Trust, Series 2026-FRR7, Class BK77                                               | CUSIP: 05620CAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10685527 | PA      | $9916080.37   | 0.15%             | 2051-05-27      | Variable      | 1.34%                 | Yes           |                  3 | On Loan: No      |
| BOFAS Re-REMIC Trust                                                 | BOFAS Re-REMIC Trust, Series 2026-FRR7, Class CK77                                               | CUSIP: 05620CAQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10000000 | PA      | $9180521.00   | 0.14%             | 2051-05-27      | Variable      | 1.34%                 | Yes           |                  3 | On Loan: No      |
| BOFAS Re-REMIC Trust                                                 | BOFAS Re-REMIC Trust, Series 2026-FRR7, Class BK97                                               | CUSIP: 05620CBC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13697000 | PA      | $12428837.23  | 0.19%             | 2052-07-27      | Variable      | 1.85%                 | Yes           |                  3 | On Loan: No      |
| BOFAS Re-REMIC Trust                                                 | BOFAS Re-REMIC Trust, Series 2026-FRR7, Class CK97                                               | CUSIP: 05620CBE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12000000 | PA      | $10569146.40  | 0.16%             | 2052-07-27      | Variable      | 1.50%                 | Yes           |                  3 | On Loan: No      |
| Banc of America Re-REMIC Trust                                       | Banc of America Re-REMIC Trust, Series 2024-FRR1, Class A                                        | CUSIP: 05942XAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9647000 | PA      | $7933827.86   | 0.12%             | 2049-04-27      | Variable      | 2.07%                 | Yes           |                  3 | On Loan: No      |
| Banc of America Re-REMIC Trust                                       | Banc of America Re-REMIC Trust, Series 2024-FRR1, Class B                                        | CUSIP: 05942XAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  14257000 | PA      | $10735148.89  | 0.16%             | 2049-04-27      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| Banc of America Funding Trust                                        | Banc of America Funding Trust, Series 2005-8, Class 30                                           | CUSIP: 05946X3C5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     23788 | PA      | $15931.75     | 0.00%             | 2036-01-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Trust                                        | Banc of America Funding Trust, Series 2005-4, Class 30                                           | CUSIP: 05946XA86<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     19297 | PA      | $13529.83     | 0.00%             | 2035-08-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Trust                                        | Banc of America Funding Trust, Series 2004-1                                                     | CUSIP: 05946XGF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     20175 | PA      | $14656.65     | 0.00%             | 2034-03-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Trust                                        | Banc of America Funding Trust, Series 2004-3, Class 1A1                                          | CUSIP: 05946XGP2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     40554 | PA      | $41345.16     | 0.00%             | 2034-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Trust                                        | Banc of America Funding Trust, Series 2005-6, Class 2A7                                          | CUSIP: 05946XP23<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     65934 | PA      | $60835.19     | 0.00%             | 2035-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Trust                                        | Banc of America Funding Trust, Series 2005-1, Class 30                                           | CUSIP: 05946XQF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     26012 | PA      | $3664.65      | 0.00%             | 2035-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Trust                                        | Banc of America Funding Trust, Series 2005-7, Class 30                                           | CUSIP: 05946XV83<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5511 | PA      | $5626.23      | 0.00%             | 2035-11-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Banc of America Mortgage Trust                                       | Banc of America Mortgage Trust, Series 2003-C, Class 3A1                                         | CUSIP: 0605067V8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9001 | PA      | $8338.49      | 0.00%             | 2033-04-25      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| Bastion Funding I LLC                                                | Bastion Funding I LLC, Series 2023-1A, Class A2                                                  | CUSIP: 07030UAA0<br>LEI: 549300NX3WVP5ASDEU57 | Long             | ABS-O            | CORP              | US        |   3259417 | PA      | $3288999.01   | 0.05%             | 2038-04-25      | Fixed         | 7.12%                 | Yes           |                  3 | On Loan: No      |
| Bear Stearns ARM Trust                                               | Bear Stearns ARM Trust, Series 2004-1, Class 12A1                                                | CUSIP: 07384MG48<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     88338 | PA      | $79216.72     | 0.00%             | 2034-04-25      | Variable      | 5.08%                 | No            |                  2 | On Loan: No      |
| Bear Stearns ARM Trust                                               | Bear Stearns ARM Trust, Series 2004-2, Class 14A                                                 | CUSIP: 07384MM66<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     35861 | PA      | $33546.95     | 0.00%             | 2034-05-25      | Variable      | 4.47%                 | No            |                  2 | On Loan: No      |
| Bear Stearns ARM Trust                                               | Bear Stearns ARM Trust, Series 2003-4, Class 3A1                                                 | CUSIP: 07384MVR0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     28178 | PA      | $27047.24     | 0.00%             | 2033-07-25      | Variable      | 6.34%                 | No            |                  2 | On Loan: No      |
| Bear Stearns ARM Trust                                               | Bear Stearns ARM Trust, Series 2003-7, Class 3A                                                  | CUSIP: 07384MYS5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9143 | PA      | $9199.68      | 0.00%             | 2033-10-25      | Variable      | 6.83%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset-Backed Securities Trust                           | Bear Stearns Asset-Backed Securities Trust, Series 2003-AC5, Class A1                            | CUSIP: 07384YMA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     27170 | PA      | $33195.88     | 0.00%             | 2033-10-25      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| Bear Stearns ARM Trust                                               | Bear Stearns ARM Trust, Series 2006-1, Class A1                                                  | CUSIP: 07387AGZ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    105415 | PA      | $102849.93    | 0.00%             | 2036-02-25      | Floating      | 5.95%                 | No            |                  2 | On Loan: No      |
| BOFAS Re-REMIC Trust                                                 | BOFAS Re-REMIC Trust, Series 2025-FRR6, Class B                                                  | CUSIP: 09711PAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10000000 | PA      | $8968752.00   | 0.14%             | 2051-11-27      | Variable      | 1.50%                 | Yes           |                  3 | On Loan: No      |
| BOFAS Re-REMIC Trust                                                 | BOFAS Re-REMIC Trust, Series 2025-FRR6, Class C                                                  | CUSIP: 09711PAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6838000 | PA      | $5969262.87   | 0.09%             | 2051-11-27      | Variable      | 1.50%                 | Yes           |                  3 | On Loan: No      |
| Brean Asset-Backed Securities Trust                                  | Brean Asset-Backed Securities Trust, Series 2024-RM8, Class A1                                   | CUSIP: 10637YAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4861857 | PA      | $4844230.31   | 0.07%             | 2064-05-25      | Fixed         | 4.50%                 | Yes           |                  3 | On Loan: No      |
| Brean Asset-Backed Securities Trust                                  | Brean Asset-Backed Securities Trust, Series 2025-RM10, Class A1                                  | CUSIP: 10638FAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11087399 | PA      | $11141242.27  | 0.17%             | 2065-01-25      | Fixed         | 5.00%                 | Yes           |                  3 | On Loan: No      |
| Brean Asset-Backed Securities Trust                                  | Brean Asset-Backed Securities Trust, Series 2025-RM11, Class A1                                  | CUSIP: 10638GAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9472575 | PA      | $9446149.64   | 0.14%             | 2065-05-25      | Variable      | 4.75%                 | Yes           |                  3 | On Loan: No      |
| Brean Asset-Backed Securities Trust                                  | Brean Asset-Backed Securities Trust, Series 2025-RM12, Class A1                                  | CUSIP: 10638KAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9255058 | PA      | $9157521.95   | 0.14%             | 2065-07-25      | Fixed         | 4.50%                 | Yes           |                  3 | On Loan: No      |
| Brean Asset-Backed Securities Trust                                  | Brean Asset-Backed Securities Trust, Series 2025-RM13, Class A1                                  | CUSIP: 10638PAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5233824 | PA      | $5140141.83   | 0.08%             | 2065-10-25      | Fixed         | 4.25%                 | Yes           |                  3 | On Loan: No      |
| Brean Asset-Backed Securities Trust                                  | Brean Asset-Backed Securities Trust, Series 2026-RM14, Class A1                                  | CUSIP: 10638QAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  16000000 | PA      | $15617344.00  | 0.24%             | 2066-01-25      | Fixed         | 4.25%                 | Yes           |                  3 | On Loan: No      |
| Bridge Trust                                                         | Bridge Trust, Series 2024-SFR1, Class B                                                          | CUSIP: 10806DAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11538000 | PA      | $11331061.35  | 0.17%             | 2040-08-17      | Fixed         | 4.30%                 | Yes           |                  2 | On Loan: No      |
| Bridge Trust                                                         | Bridge Trust, Series 2025-SFR1, Class B                                                          | CUSIP: 10807GAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  12131248 | PA      | $11763406.86  | 0.18%             | 2042-09-17      | Fixed         | 4.20%                 | Yes           |                  2 | On Loan: No      |
| Bridge Trust                                                         | Bridge Trust, Series 2025-SFR1, Class D                                                          | CUSIP: 10807GAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6879366 | PA      | $6563037.84   | 0.10%             | 2042-09-17      | Fixed         | 4.20%                 | Yes           |                  2 | On Loan: No      |
| BXG Receivables Note Trust                                           | BXG Receivables Note Trust, Series 2023-A, Class B                                               | CUSIP: 123919AB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1393568 | PA      | $1424475.92   | 0.02%             | 2038-11-15      | Fixed         | 6.31%                 | Yes           |                  2 | On Loan: No      |
| BXG Receivables Note Trust                                           | BXG Receivables Note Trust, Series 2023-A, Class C                                               | CUSIP: 123919AC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1436298 | PA      | $1472996.04   | 0.02%             | 2038-11-15      | Fixed         | 7.38%                 | Yes           |                  2 | On Loan: No      |
| BXG Receivables Note Trust                                           | BXG Receivables Note Trust, Series 2022-A, Class C                                               | CUSIP: 12434KAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2346623 | PA      | $2346187.28   | 0.04%             | 2037-09-28      | Fixed         | 5.35%                 | Yes           |                  2 | On Loan: No      |
| CFIN 2022-RTL1 Issuer LLC                                            | CFIN 2022-RTL1 Issuer LLC, Class A                                                               | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | US        |  21662856 | PA      | $21635777.23  | 0.33%             | 2027-08-17      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| CFMT LLC                                                             | CFMT LLC, Series 2023-HB11, Class M2                                                             | CUSIP: 12530KAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4750000 | PA      | $4702540.38   | 0.07%             | 2037-02-25      | Variable      | 4.00%                 | Yes           |                  3 | On Loan: No      |
| CFMT LLC                                                             | CFMT LLC, Series 2024-HB13, Class M2                                                             | CUSIP: 12530VAC9<br>LEI: 984500D67D63D8645054 | Long             | ABS-MBS          | CORP              | US        |   1830000 | PA      | $1785755.91   | 0.03%             | 2034-05-25      | Variable      | 3.00%                 | Yes           |                  3 | On Loan: No      |
| CFMT LLC                                                             | CFMT LLC, Series 2024-HB14, Class M1                                                             | CUSIP: 12530XAB7<br>LEI: 9845005986F840FBE847 | Long             | ABS-MBS          | CORP              | US        |   5430000 | PA      | $5299639.28   | 0.08%             | 2034-06-25      | Variable      | 3.00%                 | Yes           |                  3 | On Loan: No      |
| CFMT LLC                                                             | CFMT LLC, Series 2024-HB14, Class M2                                                             | CUSIP: 12530XAC5<br>LEI: 9845005986F840FBE847 | Long             | ABS-MBS          | CORP              | US        |   3735000 | PA      | $3625292.22   | 0.05%             | 2034-06-25      | Variable      | 3.00%                 | Yes           |                  3 | On Loan: No      |
| Cascade Funding Mortgage Trust                                       | Cascade Funding Mortgage Trust, Series 2025-HB16, Class M1                                       | CUSIP: 12531BAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3300000 | PA      | $3212696.85   | 0.05%             | 2035-03-25      | Variable      | 3.00%                 | Yes           |                  3 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                      | CHL Mortgage Pass-Through Trust, Series 2007-4, Class 1A52                                       | CUSIP: 12544RCD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1327841 | PA      | $121064.88    | 0.00%             | 2037-05-25      | Floating      | 1.61%                 | No            |                  2 | On Loan: No      |
| Commercial Mortgage Trust                                            | Commercial Mortgage Trust, Series 2013-CR9, Class XB                                             | CUSIP: 12625UAA1<br>LEI: 549300C72XVZH4MIKU63 | Long             | ABS-MBS          | CORP              | US        |  22985008 | PA      | $163584.30    | 0.00%             | 2045-07-10      | Variable      | 1.18%                 | Yes           |                  2 | On Loan: No      |
| CSMC OA LLC                                                          | CSMC OA LLC, Series 2014-USA, Class A2                                                           | CUSIP: 12649AAC3<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |  13600000 | PA      | $12799285.04  | 0.19%             | 2037-09-15      | Fixed         | 3.95%                 | Yes           |                  2 | On Loan: No      |
| CSMC OA LLC                                                          | CSMC OA LLC, Series 2014-USA, Class B                                                            | CUSIP: 12649AAJ8<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |   8320000 | PA      | $7467505.34   | 0.11%             | 2037-09-15      | Fixed         | 4.18%                 | Yes           |                  2 | On Loan: No      |
| CSMC OA LLC                                                          | CSMC OA LLC, Series 2014-USA, Class C                                                            | CUSIP: 12649AAL3<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |   6000000 | PA      | $5282280.00   | 0.08%             | 2037-09-15      | Fixed         | 4.34%                 | Yes           |                  2 | On Loan: No      |
| CSMC OA LLC                                                          | CSMC OA LLC, Series 2014-USA, Class D                                                            | CUSIP: 12649AAN9<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |   1700000 | PA      | $1465791.00   | 0.02%             | 2037-09-15      | Fixed         | 4.37%                 | Yes           |                  2 | On Loan: No      |
| Alternative Loan Trust                                               | Alternative Loan Trust, Series 2005-1CB, Class 1A6                                               | CUSIP: 12667F2M6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    142414 | PA      | $17343.47     | 0.00%             | 2035-03-25      | Floating      | 3.31%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                               | Alternative Loan Trust, Series 2004-2CB, Class 1A9                                               | CUSIP: 12667FAQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    241325 | PA      | $248993.45    | 0.00%             | 2034-03-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                               | Alternative Loan Trust, Series 2004-J3, Class 4A1                                                | CUSIP: 12667FGZ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7114 | PA      | $7134.64      | 0.00%             | 2019-04-25      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                               | Alternative Loan Trust, Series 2005-37T1, Class A2                                               | CUSIP: 12667G2U6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2141890 | PA      | $182849.76    | 0.00%             | 2035-09-25      | Floating      | 1.26%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                               | Alternative Loan Trust, Series 2005-22T1, Class A2                                               | CUSIP: 12667GGP2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1245523 | PA      | $116644.76    | 0.00%             | 2035-06-25      | Floating      | 1.28%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                               | Alternative Loan Trust, Series 2005-20CB, Class 3A8                                              | CUSIP: 12667GQN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1038111 | PA      | $64526.20     | 0.00%             | 2035-07-25      | Floating      | 0.96%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                               | Alternative Loan Trust, Series 2005-28CB, Class 3A5                                              | CUSIP: 12667GYN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     49581 | PA      | $18533.65     | 0.00%             | 2035-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                               | Alternative Loan Trust, Series 2005-54CB, Class 1A2                                              | CUSIP: 12668ANU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    979911 | PA      | $65268.12     | 0.00%             | 2035-11-25      | Floating      | 1.06%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                               | Alternative Loan Trust, Series 2005-54CB, Class 1A7                                              | CUSIP: 12668ANZ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5505 | PA      | $4115.69      | 0.00%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                               | Alternative Loan Trust, Series 2005-54CB, Class 1A11                                             | CUSIP: 12668APD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    164247 | PA      | $126035.08    | 0.00%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                               | Alternative Loan Trust, Series 2005-57CB, Class 3A2                                              | CUSIP: 12668AYH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    138906 | PA      | $13014.95     | 0.00%             | 2035-12-25      | Floating      | 1.31%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                               | Alternative Loan Trust, Series 2005-64CB, Class 1A9                                              | CUSIP: 12668AZU2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     84271 | PA      | $75603.34     | 0.00%             | 2035-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                               | Alternative Loan Trust, Series 2005-86CB, Class A11                                              | CUSIP: 12668BFL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    175187 | PA      | $97304.51     | 0.00%             | 2036-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                               | Alternative Loan Trust, Series 2006-7CB, Class 1A2                                               | CUSIP: 12668BXT5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6841543 | PA      | $746102.47    | 0.01%             | 2036-05-25      | Floating      | 1.51%                 | No            |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                      | CHL Mortgage Pass-Through Trust, Series 2005-22, Class 2A1                                       | CUSIP: 126694LU0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    248114 | PA      | $205335.58    | 0.00%             | 2035-11-25      | Variable      | 4.79%                 | No            |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                      | CHL Mortgage Pass-Through Trust, Series 2004-13, Class 1A4                                       | CUSIP: 12669FJ38<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     97623 | PA      | $99470.06     | 0.00%             | 2034-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                      | CHL Mortgage Pass-Through Trust, Series 2004-HYB1, Class 2A                                      | CUSIP: 12669FNP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     24320 | PA      | $23441.34     | 0.00%             | 2034-05-20      | Variable      | 4.95%                 | No            |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                      | CHL Mortgage Pass-Through Trust, Series 2004-3, Class A26                                        | CUSIP: 12669FQA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     52362 | PA      | $53097.46     | 0.00%             | 2034-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                      | CHL Mortgage Pass-Through Trust, Series 2004-3                                                   | CUSIP: 12669FQB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4597 | PA      | $3642.35      | 0.00%             | 2034-04-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                      | CHL Mortgage Pass-Through Trust, Series 2004-5, Class 1A4                                        | CUSIP: 12669FVR1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    123998 | PA      | $124358.96    | 0.00%             | 2034-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                      | CHL Mortgage Pass-Through Trust, Series 2004-7, Class 2A1                                        | CUSIP: 12669FXJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     18432 | PA      | $17038.43     | 0.00%             | 2034-06-25      | Variable      | 5.23%                 | No            |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                      | CHL Mortgage Pass-Through Trust, Series 2004-HYB3, Class 2A                                      | CUSIP: 12669FYY3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     87798 | PA      | $83712.04     | 0.00%             | 2034-06-20      | Variable      | 4.63%                 | No            |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                      | CHL Mortgage Pass-Through Trust, Series 2005-16, Class A23                                       | CUSIP: 12669G3R0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     50733 | PA      | $30793.13     | 0.00%             | 2035-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                      | CHL Mortgage Pass-Through Trust, Series 2004-HYB6, Class A3                                      | CUSIP: 12669GBC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     75374 | PA      | $72881.48     | 0.00%             | 2034-11-20      | Variable      | 5.27%                 | No            |                  2 | On Loan: No      |
| CSTL Commercial Mortgage Trust                                       | CSTL Commercial Mortgage Trust, Series 2025-GATE2, Class D                                       | CUSIP: 12676JAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5080000 | PA      | $5129533.56   | 0.08%             | 2042-11-10      | Variable      | 5.63%                 | Yes           |                  2 | On Loan: No      |
| CAFL Issuer LP                                                       | CAFL Issuer LP, Series 2025-RRTL2, Class A1                                                      | CUSIP: 12770JAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9730000 | PA      | $9793632.25   | 0.15%             | 2040-11-28      | Variable      | 5.18%                 | Yes           |                  2 | On Loan: No      |
| Cars Net Lease Mortgage Notes                                        | Cars Net Lease Mortgage Notes, Series 2020-1A, Class A3                                          | CUSIP: 14576AAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1115421 | PA      | $1080279.03   | 0.02%             | 2050-12-15      | Fixed         | 3.10%                 | Yes           |                  2 | On Loan: No      |
| Cascade MH Asset Trust                                               | Cascade MH Asset Trust, Series 2021-MH1, Class A1                                                | CUSIP: 14731QAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4985639 | PA      | $4580002.32   | 0.07%             | 2046-02-25      | Fixed         | 1.75%                 | Yes           |                  2 | On Loan: No      |
| Cascade MH Asset Trust                                               | Cascade MH Asset Trust, Series 2021-MH1, Class M1                                                | CUSIP: 14731QAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $1623914.60   | 0.02%             | 2046-02-25      | Fixed         | 2.99%                 | Yes           |                  2 | On Loan: No      |
| Cascade MH Asset Trust                                               | Cascade MH Asset Trust, Series 2024-MH1, Class A1                                                | CUSIP: 14731VAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8053938 | PA      | $8365040.27   | 0.13%             | 2056-11-25      | Variable      | 5.69%                 | Yes           |                  2 | On Loan: No      |
| Cascade MH Asset Trust                                               | Cascade MH Asset Trust, Series 2024-MH1, Class M1                                                | CUSIP: 14731VAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2850000 | PA      | $3021423.80   | 0.05%             | 2056-11-25      | Variable      | 6.26%                 | Yes           |                  2 | On Loan: No      |
| Cascade MH Asset Trust                                               | Cascade MH Asset Trust, Series 2019-MH1, Class A                                                 | CUSIP: 14732FAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    777027 | PA      | $754644.46    | 0.01%             | 2044-11-25      | Variable      | 4.00%                 | Yes           |                  2 | On Loan: No      |
| Cascade MH Asset Trust                                               | Cascade MH Asset Trust, Series 2022-MH1, Class A                                                 | CUSIP: 14732KAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6350921 | PA      | $6245379.59   | 0.09%             | 2054-08-25      | Variable      | 4.25%                 | Yes           |                  2 | On Loan: No      |
| Cendant Mortgage Capital CDMC Mortgage Pass-Through Certificates     | Cendant Mortgage Capital CDMC Mortgage Pass-Through Certificates, Series 2003-9, Class 1P        | CUSIP: 15132EGQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2768 | PA      | $2176.25      | 0.00%             | 2033-11-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Center Street Lending Resi-Investor ABS Mortgage Trust               | Center Street Lending Resi-Investor ABS Mortgage Trust, Series 2024-RTL1, Class A1               | CUSIP: 15169CAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11540000 | PA      | $11661993.96  | 0.18%             | 2029-10-25      | Variable      | 6.89%                 | Yes           |                  3 | On Loan: No      |
| Center Street Lending Resi-Investor ABS Mortgage Trust               | Center Street Lending Resi-Investor ABS Mortgage Trust, Series 2026-RTL1, Class A1               | CUSIP: 151704AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6383000 | PA      | $6408940.51   | 0.10%             | 2030-12-25      | Variable      | 5.38%                 | Yes           |                  3 | On Loan: No      |
| CFMT LLC                                                             | CFMT LLC, Series 2024-HB15, Class M2                                                             | CUSIP: 15723AAC5<br>LEI: 98450050957GF5E1CD92 | Long             | ABS-MBS          | CORP              | US        |   1915000 | PA      | $1878754.22   | 0.03%             | 2034-08-25      | Variable      | 4.00%                 | Yes           |                  3 | On Loan: No      |
| Chase Funding Trust                                                  | Chase Funding Trust, Series 2002-3, Class 1A5                                                    | CUSIP: 161546CW4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    185896 | PA      | $184748.21    | 0.00%             | 2032-06-25      | Variable      | 5.91%                 | No            |                  2 | On Loan: No      |
| Chase Funding Trust                                                  | Chase Funding Trust, Series 2003-4, Class 1A5                                                    | CUSIP: 161546FV3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    159187 | PA      | $158994.81    | 0.00%             | 2033-05-25      | Variable      | 4.95%                 | No            |                  2 | On Loan: No      |
| Chase Funding Trust                                                  | Chase Funding Trust, Series 2003-6, Class 1A7                                                    | CUSIP: 161546HC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    104262 | PA      | $104376.67    | 0.00%             | 2034-11-25      | Variable      | 4.85%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Trust                                         | Chase Mortgage Finance Trust, Series 2007-A1, Class 1A3                                          | CUSIP: 161630AC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     94304 | PA      | $94847.98     | 0.00%             | 2037-02-25      | Variable      | 6.56%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Trust                                         | Chase Mortgage Finance Trust, Series 2007-A1, Class 2A1                                          | CUSIP: 161630AG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     15430 | PA      | $14904.78     | 0.00%             | 2037-02-25      | Variable      | 5.88%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Trust                                         | Chase Mortgage Finance Trust, Series 2007-A1, Class 7A1                                          | CUSIP: 161630AU2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2865 | PA      | $2882.19      | 0.00%             | 2037-02-25      | Variable      | 6.87%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Trust                                         | Chase Mortgage Finance Trust, Series 2007-A1, Class 9A1                                          | CUSIP: 161630AY4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     56959 | PA      | $56673.72     | 0.00%             | 2037-02-25      | Variable      | 5.97%                 | 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        |     52266 | PA      | $52592.15     | 0.00%             | 2035-06-25      | Variable      | 6.15%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust, Inc.                                  | Citigroup Mortgage Loan Trust, Inc., Series 2003-1, Class 2A5                                    | CUSIP: 17307GBH0<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |      6526 | PA      | $6341.06      | 0.00%             | 2033-10-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust, Inc.                                  | Citigroup Mortgage Loan Trust, Inc., Series 2003-1, Class 3                                      | CUSIP: 17307GCA4<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |      6360 | PA      | $4614.34      | 0.00%             | 2033-09-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust, Inc.                                  | Citigroup Mortgage Loan Trust, Inc., Series 2003-1, Class WA2                                    | CUSIP: 17307GCK2<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |       288 | PA      | $288.03       | 0.00%             | 2031-06-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust, Inc.                                  | Citigroup Mortgage Loan Trust, Inc., Series 2003-1, Class W2                                     | CUSIP: 17307GCN6<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |        13 | PA      | $11.40        | 0.00%             | 2031-06-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                                        | Citigroup Mortgage Loan Trust, Series 2004-UST1, Class A3                                        | CUSIP: 17307GLA4<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |     25655 | PA      | $25367.02     | 0.00%             | 2034-08-25      | Variable      | 6.41%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                                        | Citigroup Mortgage Loan Trust, Series 2004-UST1, Class A6                                        | CUSIP: 17307GLD8<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |     10185 | PA      | $9786.89      | 0.00%             | 2034-08-25      | Variable      | 6.22%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust, Inc.                                  | Citigroup Mortgage Loan Trust, Inc., Series 2005-1, Class 2A1A                                   | CUSIP: 17307GPS1<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |     73133 | PA      | $64357.23     | 0.00%             | 2035-02-25      | Variable      | 3.12%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust, Inc.                                  | Citigroup Mortgage Loan Trust, Inc., Series 2005-2, Class 2A11                                   | CUSIP: 17307GRM2<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |     91458 | PA      | $92596.16     | 0.00%             | 2035-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust, Inc.                                  | Citigroup Mortgage Loan Trust, Inc., Series 2005-5, Class 1A2                                    | CUSIP: 17307GXU7<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |    201726 | PA      | $170696.88    | 0.00%             | 2035-08-25      | Variable      | 4.14%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                                        | Citigroup Mortgage Loan Trust, Series 2009-10, Class 1A1                                         | CUSIP: 17316AAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     20387 | PA      | $20317.30     | 0.00%             | 2033-09-25      | Variable      | 5.37%                 | Yes           |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                                        | Citigroup Mortgage Loan Trust, Series 2015-A, Class B2                                           | CUSIP: 17323MAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    121570 | PA      | $121204.95    | 0.00%             | 2058-06-25      | Variable      | 4.50%                 | Yes           |                  2 | On Loan: No      |
| CoreVest American Finance Trust                                      | CoreVest American Finance Trust, Series 2017-2, Class M                                          | CUSIP: 21870DAV6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6200000 | PA      | $6144789.62   | 0.09%             | 2027-12-25      | Variable      | 5.30%                 | Yes           |                  2 | On Loan: No      |
| CoreVest American Finance Trust                                      | CoreVest American Finance Trust, Series 2019-2, Class B                                          | CUSIP: 21872GAG0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2734431 | PA      | $2675907.36   | 0.04%             | 2052-06-15      | Fixed         | 3.42%                 | Yes           |                  2 | On Loan: No      |
| CoreVest American Finance Trust                                      | CoreVest American Finance Trust, Series 2019-3, Class A                                          | CUSIP: 21872NAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    137132 | PA      | $136876.43    | 0.00%             | 2052-10-15      | Fixed         | 2.71%                 | Yes           |                  2 | On Loan: No      |
| CoreVest American Finance Trust                                      | CoreVest American Finance Trust, Series 2019-3, Class XA                                         | CUSIP: 21872NAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1051049 | PA      | $228.60       | 0.00%             | 2052-10-15      | Variable      | 2.00%                 | Yes           |                  2 | On Loan: No      |
| CoreVest American Finance Trust                                      | CoreVest American Finance Trust, Series 2019-3, Class XB                                         | CUSIP: 21872NAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  27000000 | PA      | $1071716.40   | 0.02%             | 2052-10-15      | Variable      | 1.36%                 | Yes           |                  2 | On Loan: No      |
| CoreVest American Finance Trust                                      | CoreVest American Finance Trust, Series 2021-1, Class A                                          | CUSIP: 21873LAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1615463 | PA      | $1596006.93   | 0.02%             | 2053-04-15      | Fixed         | 1.57%                 | Yes           |                  2 | On Loan: No      |
| CSFB Mortgage-Backed Pass-Through Certificates                       | CSFB Mortgage-Backed Pass-Through Certificates, Series 2003-29, Class 1A1                        | CUSIP: 22541Q3U4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     58643 | PA      | $60106.95     | 0.00%             | 2033-12-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CSFB Mortgage-Backed Pass-Through Certificates                       | CSFB Mortgage-Backed Pass-Through Certificates, Series 2003-29, Class 5A1                        | CUSIP: 22541Q4B5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     19440 | PA      | $20386.93     | 0.00%             | 2033-12-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp.                 | Credit Suisse First Boston Mortgage Securities Corp., Series 2003-AR15, Class 3A1                | CUSIP: 22541QCV2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     28495 | PA      | $29146.98     | 0.00%             | 2033-06-25      | Variable      | 6.56%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp.                 | Credit Suisse First Boston Mortgage Securities Corp., Series 2003-21, Class 1A4                  | CUSIP: 22541QPB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     30936 | PA      | $31330.67     | 0.00%             | 2033-09-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| CSFB Mortgage-Backed Pass-Through Certificates                       | CSFB Mortgage-Backed Pass-Through Certificates, Series 2004-8, Class 1A4                         | CUSIP: 22541SU55<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    111126 | PA      | $114863.09    | 0.00%             | 2034-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CSFB Mortgage-Backed Pass-Through Certificates                       | CSFB Mortgage-Backed Pass-Through Certificates, Series 2004-4, Class 2A4                         | CUSIP: 22541SUD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     54582 | PA      | $56400.46     | 0.00%             | 2034-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CSFB Mortgage-Backed Pass-Through Certificates                       | CSFB Mortgage-Backed Pass-Through Certificates, Series 2005-9, Class DX                          | CUSIP: 2254586J2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    211172 | PA      | $35178.75     | 0.00%             | 2035-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CSFB Mortgage-Backed Pass-Through Certificates                       | CSFB Mortgage-Backed Pass-Through Certificates, Series 2005-4, Class 2X                          | CUSIP: 225458QZ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    264296 | PA      | $38073.21     | 0.00%             | 2035-06-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp.                 | Credit Suisse First Boston Mortgage Securities Corp., Series 2003-1, Class DB1                   | CUSIP: 2254W0GJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    188472 | PA      | $196012.61    | 0.00%             | 2033-02-25      | Variable      | 6.68%                 | No            |                  2 | On Loan: No      |
| CSTL Commercial Mortgage Trust                                       | CSTL Commercial Mortgage Trust, Series 2026-GATE3, Class C                                       | CUSIP: 228920AE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3232000 | PA      | $3268805.05   | 0.05%             | 2043-02-10      | Variable      | 5.13%                 | Yes           |                  2 | On Loan: No      |
| CSTL Commercial Mortgage Trust                                       | CSTL Commercial Mortgage Trust, Series 2026-GATE3, Class D                                       | CUSIP: 228920AG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2940000 | PA      | $2973176.14   | 0.04%             | 2043-02-10      | Variable      | 5.52%                 | Yes           |                  2 | On Loan: No      |
| DBWF Mortgage Trust                                                  | DBWF Mortgage Trust, Series 2015-LCM, Class A1                                                   | CUSIP: 23306NAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     72242 | PA      | $71694.55     | 0.00%             | 2034-06-10      | Fixed         | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Deephaven Residential Mortgage Trust                                 | Deephaven Residential Mortgage Trust, Series 2025-CES1, Class A1A                                | CUSIP: 24380WAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  14178345 | PA      | $14325289.07  | 0.22%             | 2055-10-25      | Variable      | 5.22%                 | Yes           |                  2 | On Loan: No      |
| Deutsche Alt-A Securities, Inc. Mortgage Loan Trust                  | Deutsche Alt-A Securities, Inc. Mortgage Loan Trust, Series 2005-1, Class 2A1                    | CUSIP: 251510CX9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9621 | PA      | $9417.50      | 0.00%             | 2020-02-25      | Variable      | 3.41%                 | No            |                  2 | On Loan: No      |
| Diversified ABS Phase VIII LLC                                       | Diversified ABS Phase LLC, Series 2024-1A, Class A1                                              | CUSIP: 255123AA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4187689 | PA      | $4232371.20   | 0.06%             | 2044-05-30      | Fixed         | 7.08%                 | Yes           |                  2 | On Loan: No      |
| DLIC Re-REMIC Trust                                                  | DLIC Re-REMIC Trust, Series 2025-FRR1, Class A104                                                | CUSIP: 255928AW3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4100000 | PA      | $3763986.96   | 0.06%             | 2052-12-27      | Variable      | 2.56%                 | Yes           |                  3 | On Loan: No      |
| DLIC Re-REMIC Trust                                                  | DLIC Re-REMIC Trust, Series 2025-FRR1, Class B104                                                | CUSIP: 255928AY9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12130000 | PA      | $10664993.19  | 0.16%             | 2052-12-27      | Variable      | 1.87%                 | Yes           |                  3 | On Loan: No      |
| DLIC Re-REMIC Trust                                                  | DLIC Re-REMIC Trust, Series 2025-FRR1, Class A111                                                | CUSIP: 255928BL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10810000 | PA      | $9606026.52   | 0.15%             | 2053-04-27      | Variable      | 2.25%                 | Yes           |                  3 | On Loan: No      |
| DLIC Re-REMIC Trust                                                  | DLIC Re-REMIC Trust, Series 2025-FRR1, Class A120                                                | CUSIP: 255928BY8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6680000 | PA      | $5899631.04   | 0.09%             | 2053-09-27      | Variable      | 2.60%                 | Yes           |                  3 | On Loan: No      |
| Diversified ABS IX Holdings LLC                                      | Diversified ABS Holdings LLC, Series 2024-2A, Class A                                            | CUSIP: 260968AA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4412228 | PA      | $4453261.65   | 0.07%             | 2044-09-30      | Fixed         | 6.55%                 | Yes           |                  3 | On Loan: No      |
| E3                                                                   | E3, Series 2019-1, Class B                                                                       | CUSIP: 269330AB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    911150 | PA      | $775468.08    | 0.01%             | 2055-09-20      | Fixed         | 4.15%                 | Yes           |                  2 | On Loan: No      |
| FMC GMSR Issuer Trust                                                | FMC GMSR Issuer Trust, Series 2020-GT1, Class A                                                  | CUSIP: 30259RAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13050000 | PA      | $13010900.90  | 0.20%             | 2028-01-25      | Variable      | 4.45%                 | Yes           |                  2 | On Loan: No      |
| FMC GMSR Issuer Trust                                                | FMC GMSR Issuer Trust, Series 2021-GT1, Class A                                                  | CUSIP: 30259RAH8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  15250000 | PA      | $14807347.40  | 0.22%             | 2026-07-25      | Variable      | 3.62%                 | Yes           |                  2 | On Loan: No      |
| FMC GMSR Issuer Trust                                                | FMC GMSR Issuer Trust, Series 2021-GT1, Class B                                                  | CUSIP: 30259RAJ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9050000 | PA      | $8883315.29   | 0.13%             | 2026-07-25      | Variable      | 4.36%                 | Yes           |                  2 | On Loan: No      |
| FMC GMSR Issuer Trust                                                | FMC GMSR Issuer Trust, Series 2021-GT2, Class A                                                  | CUSIP: 30259RAK1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  19222400 | PA      | $18728937.93  | 0.28%             | 2026-10-25      | Variable      | 3.85%                 | Yes           |                  2 | On Loan: No      |
| FMC GMSR Issuer Trust                                                | FMC GMSR Issuer Trust, Series 2021-GT2, Class B                                                  | CUSIP: 30259RAL9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6600000 | PA      | $6480802.68   | 0.10%             | 2026-10-25      | Variable      | 4.44%                 | Yes           |                  2 | On Loan: No      |
| FMC GMSR Issuer Trust                                                | FMC GMSR Issuer Trust, Series 2022-GT1, Class A                                                  | CUSIP: 30259RAM7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  14900000 | PA      | $15011688.91  | 0.23%             | 2027-04-25      | Fixed         | 6.19%                 | Yes           |                  2 | On Loan: No      |
| FMC GMSR Issuer Trust                                                | FMC GMSR Issuer Trust, Series 2022-GT1, Class B                                                  | CUSIP: 30259RAN5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $1009297.20   | 0.02%             | 2027-04-25      | Fixed         | 7.17%                 | Yes           |                  2 | On Loan: No      |
| FMC GMSR Issuer Trust                                                | FMC GMSR Issuer Trust, Series 2024-SAT1, Class A                                                 | CUSIP: 30259RAR6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  13600000 | PA      | $13849390.00  | 0.21%             | 2027-03-26      | Variable      | 6.50%                 | Yes           |                  2 | On Loan: No      |
| FW Energy Asset Issuer LLC                                           | FW Energy Asset Issuer LLC                                                                       | CUSIP: 302704AA9<br>LEI: 254900YOL2L2C8PFZR08 | Long             | ABS-O            | CORP              | US        |   7355938 | PA      | $7563941.60   | 0.11%             | 2044-06-26      | Fixed         | 7.15%                 | No            |                  3 | On Loan: No      |
| Energy Assets                                                        | Energy Assets                                                                                    | CUSIP: 302704AB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | GB        |   2335284 | PA      | $2404060.46   | 0.04%             | 2044-06-26      | Fixed         | 8.11%                 | No            |                  3 | On Loan: No      |
| FREMF Mortgage Trust                                                 | FREMF Mortgage Trust, Series 2016-K56, Class B                                                   | CUSIP: 30289UAS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1600000 | PA      | $1593200.16   | 0.02%             | 2049-06-25      | Variable      | 3.93%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                 | FREMF Mortgage Trust, Series 2018-K79, Class C                                                   | CUSIP: 302956AJ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4030000 | PA      | $3973254.38   | 0.06%             | 2051-07-25      | Variable      | 4.21%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                 | FREMF Mortgage Trust, Series 2016-K59, Class B                                                   | CUSIP: 30295RAS0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1902000 | PA      | $1888540.88   | 0.03%             | 2049-11-25      | Variable      | 3.56%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                 | FREMF Mortgage Trust, Series 2018-K75, Class B                                                   | CUSIP: 30296PAS3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3000000 | PA      | $2977005.30   | 0.04%             | 2051-04-25      | Variable      | 3.97%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                 | FREMF Mortgage Trust, Series 2018-K78, Class B                                                   | CUSIP: 30296XAG2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3449000 | PA      | $3423450.84   | 0.05%             | 2051-06-25      | Variable      | 4.13%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                 | FREMF Mortgage Trust, Series 2019-K88, Class B                                                   | CUSIP: 302971AR7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4000000 | PA      | $3999801.60   | 0.06%             | 2052-02-25      | Variable      | 4.39%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                 | FREMF Mortgage Trust, Series 2018-K81, Class B                                                   | CUSIP: 30297HAG6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2000000 | PA      | $1993462.00   | 0.03%             | 2051-09-25      | Variable      | 4.17%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                 | FREMF Mortgage Trust, Series 2020-KHG2, Class C                                                  | CUSIP: 302983AG6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  10000000 | PA      | $8730737.00   | 0.13%             | 2030-02-25      | Variable      | 3.07%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                 | FREMF Mortgage Trust, Series 2019-KS11, Class B                                                  | CUSIP: 30298KAA1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   8000000 | PA      | $7787053.60   | 0.12%             | 2029-06-25      | Variable      | 4.82%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                 | FREMF Mortgage Trust, Series 2019-K736, Class B                                                  | CUSIP: 30298MAA7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   6500000 | PA      | $6469921.25   | 0.10%             | 2026-07-25      | Variable      | 3.74%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                 | FREMF Mortgage Trust, Series 2020-K737, Class B                                                  | CUSIP: 30300SAS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4832000 | PA      | $4786184.43   | 0.07%             | 2053-01-25      | Variable      | 3.33%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                 | FREMF Mortgage Trust, Series 2017-K65, Class C                                                   | CUSIP: 30302XAG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3662000 | PA      | $3633218.88   | 0.05%             | 2050-07-25      | Variable      | 4.08%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                 | FREMF Mortgage Trust, Series 2017-K69, Class C                                                   | CUSIP: 30305KAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2765000 | PA      | $2714813.04   | 0.04%             | 2049-10-25      | Variable      | 3.73%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                 | FREMF Mortgage Trust, Series 19K-1511, Class B                                                   | CUSIP: 30309KAL4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3500000 | PA      | $3197244.05   | 0.05%             | 2034-03-25      | Variable      | 4.57%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                 | FREMF Mortgage Trust, Series 2019-K94, Class C                                                   | CUSIP: 30310XAG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   6750000 | PA      | $6635216.25   | 0.10%             | 2052-07-25      | Variable      | 3.96%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                 | FREMF Mortgage Trust, Series 2019-KS12, Class B                                                  | CUSIP: 30311XAA6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   9841107 | PA      | $9842478.95   | 0.15%             | 2029-08-25      | Floating      | 6.59%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                 | FREMF Mortgage Trust, Series 2019-K98, Class C                                                   | CUSIP: 30312DAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   6000000 | PA      | $5839992.60   | 0.09%             | 2052-10-25      | Variable      | 3.74%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                 | FREMF Mortgage Trust, Series 2019-K100, Class C                                                  | CUSIP: 30313PAU7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   7140000 | PA      | $6856861.15   | 0.10%             | 2052-11-25      | Variable      | 3.49%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Multi-Family ML Certificates                                   | FHLMC Multi-Family ML Certificates, Series 2021-ML09, Class XUS                                  | CUSIP: 30319NAA0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  54403368 | PA      | $5755751.23   | 0.09%             | 2040-02-25      | Variable      | 1.49%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                 | FREMF Mortgage Trust, Series 2021-KLU3, Class BFX                                                | CUSIP: 30320PAL8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4835710 | PA      | $4551705.69   | 0.07%             | 2031-01-25      | Variable      | 4.26%                 | Yes           |                  2 | On Loan: No      |
| FRTKL                                                                | FRTKL, Series 2021-SFR1, Class D                                                                 | CUSIP: 30322DAG4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3800000 | PA      | $3735542.50   | 0.06%             | 2038-09-17      | Fixed         | 2.17%                 | Yes           |                  2 | On Loan: No      |
| FARM Mortgage Trust                                                  | FARM Mortgage Trust, Series 2023-1, Class A                                                      | CUSIP: 30767YAA3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   7700334 | PA      | $6427168.47   | 0.10%             | 2052-01-25      | Variable      | 2.63%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, STRIPS, Series 191                                                                        | CUSIP: 31282YCD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     31988 | PA      | $1420.79      | 0.00%             | 2028-01-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, STRIPS, Series 233, Class 11                                                              | CUSIP: 31282YDW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     80295 | PA      | $12351.62     | 0.00%             | 2035-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, STRIPS, Series 233, Class 12                                                              | CUSIP: 31282YDX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     46245 | PA      | $6171.66      | 0.00%             | 2035-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, STRIPS, Series 233, Class 13                                                              | CUSIP: 31282YDY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    105207 | PA      | $14745.13     | 0.00%             | 2035-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, STRIPS, Series 239, Class S30                                                             | CUSIP: 31282YNU9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    160873 | PA      | $20724.32     | 0.00%             | 2036-08-15      | Floating      | 3.93%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 30 Year                                                                        | CUSIP: 31283HTD7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12417 | PA      | $13022.41     | 0.00%             | 2032-08-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, Other                                                                          | CUSIP: 31283LA48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       527 | PA      | $528.80       | 0.00%             | 2030-10-01      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, Other                                                                          | CUSIP: 31283LA55<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     24482 | PA      | $25174.06     | 0.00%             | 2036-12-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 30 Year                                                                        | CUSIP: 31287UNA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5126 | PA      | $5375.84      | 0.00%             | 2032-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 30 Year                                                                        | CUSIP: 31288ENG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     27666 | PA      | $28136.62     | 0.00%             | 2033-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, Other                                                                          | CUSIP: 31288LUU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    158348 | PA      | $167720.28    | 0.00%             | 2036-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, Other                                                                          | CUSIP: 3128C6QE2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     53412 | PA      | $55448.05     | 0.00%             | 2036-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, Other                                                                          | CUSIP: 3128C6QN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     38889 | PA      | $40276.18     | 0.00%             | 2036-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, Other                                                                          | CUSIP: 3128DHG99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     44066 | PA      | $45437.05     | 0.00%             | 2034-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, Other                                                                          | CUSIP: 3128DHKC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     81494 | PA      | $85091.40     | 0.00%             | 2036-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 20 Year                                                                        | CUSIP: 3128E54X4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    230649 | PA      | $229819.62    | 0.00%             | 2032-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, STRIPS, Series 262, Class 35                                                              | CUSIP: 3128HXKY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4601936 | PA      | $4400887.47   | 0.07%             | 2042-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC                                                                                            | CUSIP: 3128JLW39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8932 | PA      | $9116.19      | 0.00%             | 2034-04-01      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC                                                                                            | CUSIP: 3128JNBN4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14006 | PA      | $14311.36     | 0.00%             | 2035-03-01      | Variable      | 6.55%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 30 Year                                                                        | CUSIP: 3128K7DW5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    112566 | PA      | $118051.76    | 0.00%             | 2035-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 30 Year                                                                        | CUSIP: 3128K7XQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    164213 | PA      | $171243.04    | 0.00%             | 2035-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 30 Year                                                                        | CUSIP: 3128KHFU5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7443 | PA      | $7841.06      | 0.00%             | 2036-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 30 Year                                                                        | CUSIP: 3128M4VW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8125 | PA      | $8333.98      | 0.00%             | 2029-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 30 Year                                                                        | CUSIP: 3128M52J8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     63654 | PA      | $67809.82     | 0.00%             | 2038-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 30 Year                                                                        | CUSIP: 3128M7C38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11211 | PA      | $11709.47     | 0.00%             | 2038-09-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 30 Year                                                                        | CUSIP: 3128M7VE3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    156889 | PA      | $163205.11    | 0.00%             | 2035-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 30 Year                                                                        | CUSIP: 3128M8RN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    695320 | PA      | $705103.19    | 0.01%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, Other                                                                          | CUSIP: 3128MSE71<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     41355 | PA      | $41684.78     | 0.00%             | 2036-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC                                                                                            | CUSIP: 3128NFF28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15092 | PA      | $15420.67     | 0.00%             | 2036-08-01      | Variable      | 6.24%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC                                                                                            | CUSIP: 3128NFGD3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     64275 | PA      | $65500.42     | 0.00%             | 2036-10-01      | Variable      | 6.27%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC                                                                                            | CUSIP: 3128NHP98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     50164 | PA      | $52309.86     | 0.00%             | 2036-10-01      | Variable      | 6.69%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC                                                                                            | CUSIP: 3128NHQ71<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     28049 | PA      | $28922.45     | 0.00%             | 2036-11-01      | Variable      | 6.01%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC                                                                                            | CUSIP: 3128NHQ97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1772 | PA      | $1848.04      | 0.00%             | 2036-03-01      | Variable      | 7.37%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC                                                                                            | CUSIP: 3128NHVH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4067 | PA      | $4191.72      | 0.00%             | 2037-02-01      | Variable      | 6.27%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 20 Year                                                                        | CUSIP: 3128P7EP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     31065 | PA      | $31589.81     | 0.00%             | 2027-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 20 Year                                                                        | CUSIP: 3128P7JB0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13820 | PA      | $14031.68     | 0.00%             | 2028-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 20 Year                                                                        | CUSIP: 3128P7JZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17008 | PA      | $17295.16     | 0.00%             | 2028-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC                                                                                            | CUSIP: 3128QGH21<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4914 | PA      | $5030.40      | 0.00%             | 2036-10-01      | Variable      | 6.32%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC                                                                                            | CUSIP: 3128QJRF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8229 | PA      | $8492.46      | 0.00%             | 2036-12-01      | Variable      | 6.21%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC                                                                                            | CUSIP: 3128QJWQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4624 | PA      | $4795.57      | 0.00%             | 2037-02-01      | Variable      | 6.82%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC                                                                                            | CUSIP: 3128QLSF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     20804 | PA      | $21753.08     | 0.00%             | 2036-05-01      | Variable      | 6.34%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC                                                                                            | CUSIP: 3128QS6G6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     29488 | PA      | $30200.18     | 0.00%             | 2036-11-01      | Variable      | 5.96%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC                                                                                            | CUSIP: 3128QSPN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8218 | PA      | $8433.20      | 0.00%             | 2037-09-01      | Variable      | 6.54%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC                                                                                            | CUSIP: 3128QSZW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     30490 | PA      | $31580.94     | 0.00%             | 2036-06-01      | Variable      | 6.80%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC                                                                                            | CUSIP: 3128S42W6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2070 | PA      | $2130.04      | 0.00%             | 2038-05-01      | Variable      | 6.74%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC                                                                                            | CUSIP: 3128S4AG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5990 | PA      | $6039.09      | 0.00%             | 2035-12-01      | Variable      | 6.39%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC                                                                                            | CUSIP: 3128S4DJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9021 | PA      | $9308.15      | 0.00%             | 2036-09-01      | Variable      | 6.42%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC                                                                                            | CUSIP: 3128S4X28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     31120 | PA      | $32028.46     | 0.00%             | 2037-05-01      | Variable      | 5.96%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC                                                                                            | CUSIP: 3128S4YT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11049 | PA      | $11416.42     | 0.00%             | 2038-04-01      | Variable      | 6.68%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC                                                                                            | CUSIP: 3128S4ZA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15155 | PA      | $15599.86     | 0.00%             | 2036-11-01      | Variable      | 6.36%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC                                                                                            | CUSIP: 3128S4ZC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     28029 | PA      | $28513.97     | 0.00%             | 2037-03-01      | Variable      | 6.13%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 30 Year                                                                        | CUSIP: 312926KB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    239666 | PA      | $245665.72    | 0.00%             | 2035-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 30 Year                                                                        | CUSIP: 31292GX68<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5093 | PA      | $5285.42      | 0.00%             | 2029-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 30 Year                                                                        | CUSIP: 31292H4U5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     20751 | PA      | $20525.76     | 0.00%             | 2033-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 30 Year                                                                        | CUSIP: 31292J4W7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     70912 | PA      | $74468.36     | 0.00%             | 2036-10-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 30 Year                                                                        | CUSIP: 31292J5V8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     25382 | PA      | $26947.19     | 0.00%             | 2036-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 30 Year                                                                        | CUSIP: 31292KZ75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     49784 | PA      | $51863.46     | 0.00%             | 2040-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 30 Year                                                                        | CUSIP: 31293EAQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       228 | PA      | $233.59       | 0.00%             | 2028-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 30 Year                                                                        | CUSIP: 3129413U9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    423961 | PA      | $437069.28    | 0.01%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 30 Year                                                                        | CUSIP: 31296NA23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     66623 | PA      | $67837.15     | 0.00%             | 2033-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 30 Year                                                                        | CUSIP: 31296RS82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     19303 | PA      | $19828.28     | 0.00%             | 2033-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 30 Year                                                                        | CUSIP: 31297GXZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1826 | PA      | $1895.60      | 0.00%             | 2034-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, Other                                                                          | CUSIP: 31322YU25<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    191209 | PA      | $188037.48    | 0.00%             | 2042-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 20 Year                                                                              | CUSIP: 3132AD2G2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1548384 | PA      | $1525500.42   | 0.02%             | 2037-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 3132DM2N4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4201983 | PA      | $3834054.90   | 0.06%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 3132DN3W1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8274692 | PA      | $8427091.18   | 0.13%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 3132DNAG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2444597 | PA      | $2216024.37   | 0.03%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 3132DPBH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9659626 | PA      | $8770617.87   | 0.13%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 3132DQWX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8061905 | PA      | $7364861.57   | 0.11%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 3132DSQC9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  19588815 | PA      | $17260337.01  | 0.26%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 3132DTMD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8572060 | PA      | $8119910.45   | 0.12%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 3132DTMR8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4320224 | PA      | $3946017.36   | 0.06%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 3132DV7A7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8011082 | PA      | $7016389.40   | 0.11%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 3132DVMB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3650278 | PA      | $3228935.59   | 0.05%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 3132DWDR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  11238785 | PA      | $9795288.09   | 0.15%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 3132E0L91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4661273 | PA      | $4111039.51   | 0.06%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 3132E0UE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7713756 | PA      | $7326012.12   | 0.11%             | 2052-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, Other                                                                          | CUSIP: 3132FYA80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    671700 | PA      | $681160.88    | 0.01%             | 2046-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, Other                                                                          | CUSIP: 3132FYBH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1774158 | PA      | $1762256.30   | 0.03%             | 2046-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, Other                                                                          | CUSIP: 3132G7BQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    111895 | PA      | $111401.26    | 0.00%             | 2032-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, Other                                                                          | CUSIP: 3132G7CD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    197349 | PA      | $195339.44    | 0.00%             | 2032-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, Other                                                                          | CUSIP: 3132G7D69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    631087 | PA      | $620137.42    | 0.01%             | 2033-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, Other                                                                          | CUSIP: 3132G7FN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    417015 | PA      | $412729.62    | 0.01%             | 2033-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, Other                                                                          | CUSIP: 3132G7JJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    550445 | PA      | $544569.92    | 0.01%             | 2033-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, Other                                                                          | CUSIP: 3132H3M34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1671250 | PA      | $1660051.73   | 0.03%             | 2042-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, Other                                                                          | CUSIP: 3132H3S79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    515900 | PA      | $511654.84    | 0.01%             | 2042-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, Other                                                                          | CUSIP: 3132H3XT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1900861 | PA      | $1832239.65   | 0.03%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, Other                                                                          | CUSIP: 3132H4CL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1121578 | PA      | $1114061.06   | 0.02%             | 2042-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, Other                                                                          | CUSIP: 3132H7BV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    255658 | PA      | $246428.55    | 0.00%             | 2043-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, Other                                                                          | CUSIP: 3132H7EG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1033789 | PA      | $1029410.45   | 0.02%             | 2046-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, Other                                                                          | CUSIP: 3132HBQA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1604643 | PA      | $1597849.45   | 0.02%             | 2043-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, STRIPS, Series 299, Class 300                                                             | CUSIP: 3132HTJV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    167545 | PA      | $156652.56    | 0.00%             | 2043-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, STRIPS, Series 310                                                                        | CUSIP: 3132HTSS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    649400 | PA      | $514168.97    | 0.01%             | 2043-09-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 30 Year                                                                        | CUSIP: 3132LAEJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    315344 | PA      | $311212.86    | 0.00%             | 2048-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 30 Year                                                                        | CUSIP: 3132QUUJ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    931779 | PA      | $898387.44    | 0.01%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 30 Year                                                                        | CUSIP: 3132QWN62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    431821 | PA      | $415232.91    | 0.01%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 30 Year                                                                        | CUSIP: 3132VM3T0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    626723 | PA      | $632069.87    | 0.01%             | 2049-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 30 Year                                                                        | CUSIP: 3132VNKA0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    538617 | PA      | $547158.55    | 0.01%             | 2049-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 30 Year                                                                        | CUSIP: 3132WD3F9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1223663 | PA      | $1177163.25   | 0.02%             | 2046-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 30 Year                                                                        | CUSIP: 3132WEAY8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    335211 | PA      | $322403.68    | 0.00%             | 2046-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 30 Year                                                                        | CUSIP: 3132WFJZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    492138 | PA      | $474632.21    | 0.01%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC Gold Pools, Other                                                                          | CUSIP: 3132WVA46<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8085504 | PA      | $7844562.11   | 0.12%             | 2032-08-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC Gold Pools, Other                                                                          | CUSIP: 3132XFJZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4000000 | PA      | $3962971.96   | 0.06%             | 2032-09-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC Gold Pools, Other                                                                          | CUSIP: 3132XHSX3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4951277 | PA      | $4686201.29   | 0.07%             | 2033-07-01      | Fixed         | 3.19%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 30 Year                                                                        | CUSIP: 31335ABG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2777004 | PA      | $2620049.07   | 0.04%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 30 Year                                                                        | CUSIP: 31335ADJ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    965602 | PA      | $995428.64    | 0.02%             | 2044-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, Other                                                                          | CUSIP: 31335PMN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     81038 | PA      | $84656.90     | 0.00%             | 2038-10-17      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC                                                                                            | CUSIP: 31336CNR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7617 | PA      | $7804.15      | 0.00%             | 2036-03-01      | Variable      | 6.28%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2344, Class ZD                                                              | CUSIP: 313399C47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     33876 | PA      | $35435.03     | 0.00%             | 2031-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2344, Class ZJ                                                              | CUSIP: 313399C70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5923 | PA      | $6216.90      | 0.00%             | 2031-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2345, Class NE                                                              | CUSIP: 313399SN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3646 | PA      | $3828.55      | 0.00%             | 2031-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2372, Class F                                                               | CUSIP: 31339G4S7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1266 | PA      | $1266.40      | 0.00%             | 2031-10-15      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2367, Class ZK                                                              | CUSIP: 31339GJU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     33786 | PA      | $35037.79     | 0.00%             | 2031-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2368, Class AS                                                              | CUSIP: 31339GNQ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1969 | PA      | $2066.72      | 0.00%             | 2031-10-15      | Floating      | 11.12%                | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2383, Class FD                                                              | CUSIP: 31339GX63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1297 | PA      | $1297.48      | 0.00%             | 2031-11-15      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2388, Class UZ                                                              | CUSIP: 31339M7J1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4029 | PA      | $4244.73      | 0.00%             | 2031-06-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2399, Class TH                                                              | CUSIP: 31339MWA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     44709 | PA      | $46988.50     | 0.00%             | 2032-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2410, Class QX                                                              | CUSIP: 31339NHV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5815 | PA      | $458.83       | 0.00%             | 2032-02-15      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2410, Class QS                                                              | CUSIP: 31339NJ23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10982 | PA      | $11957.96     | 0.00%             | 2032-02-15      | Floating      | 9.69%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2431, Class F                                                               | CUSIP: 31339NQ74<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     35765 | PA      | $35788.28     | 0.00%             | 2032-03-15      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2423, Class MC                                                              | CUSIP: 31339WBV7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10997 | PA      | $11530.98     | 0.00%             | 2032-03-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2423, Class MT                                                              | CUSIP: 31339WCD6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12224 | PA      | $12881.25     | 0.00%             | 2032-03-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 3133A0AC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    742326 | PA      | $731840.89    | 0.01%             | 2049-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 3133A0UF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    883327 | PA      | $869792.40    | 0.01%             | 2049-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 3133A2EY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    258779 | PA      | $236848.43    | 0.00%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 3133A6DA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    560574 | PA      | $561035.48    | 0.01%             | 2050-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 3133A6DB4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4651127 | PA      | $4077006.09   | 0.06%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 3133ALJE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  14472661 | PA      | $12136913.23  | 0.18%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 3133ALN20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1207612 | PA      | $1144419.75   | 0.02%             | 2051-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 3133AMS98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3082267 | PA      | $2810500.08   | 0.04%             | 2051-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 3133ASZ97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1004634 | PA      | $886099.51    | 0.01%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 3133AWMS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3840858 | PA      | $3504567.68   | 0.05%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 3133B9NQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7302694 | PA      | $6630609.49   | 0.10%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 3133BDS55<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4251097 | PA      | $4406690.12   | 0.07%             | 2052-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 3133BESR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    737849 | PA      | $748866.07    | 0.01%             | 2052-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 3133BJPD8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10395640 | PA      | $9809687.27   | 0.15%             | 2052-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 3133KGYN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    400194 | PA      | $381095.22    | 0.01%             | 2049-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 3133KGYU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1506015 | PA      | $1483559.93   | 0.02%             | 2049-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 3133KHGR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1836643 | PA      | $1808121.67   | 0.03%             | 2050-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 3133KHQZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  13685634 | PA      | $13231723.87  | 0.20%             | 2050-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 3133KJGE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8916466 | PA      | $7811684.18   | 0.12%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 3133KKMZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7959992 | PA      | $7034300.98   | 0.11%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 3133KL2H9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  12022426 | PA      | $10561406.05  | 0.16%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 3133KLAQ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4091036 | PA      | $4010443.55   | 0.06%             | 2051-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 3133KM4M4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7231989 | PA      | $6343476.20   | 0.10%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 3133KMSJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3956298 | PA      | $3487048.18   | 0.05%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 3133KMY82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  19100426 | PA      | $16846750.66  | 0.25%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 3133KNJ79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9890087 | PA      | $9349518.12   | 0.14%             | 2052-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 3133KNSE4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3771748 | PA      | $3311435.68   | 0.05%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 3133KRW67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5384142 | PA      | $5424980.45   | 0.08%             | 2053-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, STRIPS, Series 406                                                                        | CUSIP: 3133Q3G96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5749169 | PA      | $5135772.41   | 0.08%             | 2053-10-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 1899, Class ZE                                                              | CUSIP: 3133T86T9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       657 | PA      | $659.61       | 0.00%             | 2026-09-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 1963, Class Z                                                               | CUSIP: 3133TAA28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       665 | PA      | $668.63       | 0.00%             | 2027-01-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 1985, Class PR                                                              | CUSIP: 3133TAVG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       520 | PA      | $16.99        | 0.00%             | 2027-07-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 1987, Class PE                                                              | CUSIP: 3133TBEZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       862 | PA      | $869.38       | 0.00%             | 2027-09-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2042, Class T                                                               | CUSIP: 3133TCZY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       193 | PA      | $194.52       | 0.00%             | 2028-03-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2040, Class PE                                                              | CUSIP: 3133TD3W4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3270 | PA      | $3321.45      | 0.00%             | 2028-03-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2038, Class PN                                                              | CUSIP: 3133TDA22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       492 | PA      | $21.23        | 0.00%             | 2028-03-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2060, Class Z                                                               | CUSIP: 3133TDSX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1516 | PA      | $1539.28      | 0.00%             | 2028-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2065, Class PX                                                              | CUSIP: 3133TEFM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1904 | PA      | $6.20         | 0.00%             | 2027-08-17      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2061, Class DC                                                              | CUSIP: 3133TEHE7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4664 | PA      | $194.58       | 0.00%             | 2028-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2075, Class PH                                                              | CUSIP: 3133TGCG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12783 | PA      | $12996.71     | 0.00%             | 2028-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2086, Class GB                                                              | CUSIP: 3133TGE96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1467 | PA      | $1492.12      | 0.00%             | 2028-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2089, Class PJ                                                              | CUSIP: 3133TGKG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1018 | PA      | $47.81        | 0.00%             | 2028-10-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2110, Class PG                                                              | CUSIP: 3133THLK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8552 | PA      | $8643.21      | 0.00%             | 2029-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2111, Class SB                                                              | CUSIP: 3133TJ3M3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4258 | PA      | $100.52       | 0.00%             | 2029-01-15      | Floating      | 3.73%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2125, Class JZ                                                              | CUSIP: 3133TJHS5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4254 | PA      | $4332.48      | 0.00%             | 2029-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2130, Class QS                                                              | CUSIP: 3133TJP56<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1004 | PA      | $1015.58      | 0.00%             | 2029-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2132, Class SB                                                              | CUSIP: 3133TJVQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1446 | PA      | $1624.04      | 0.00%             | 2029-03-15      | Floating      | 14.10%                | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2132, Class ZL                                                              | CUSIP: 3133TJVY6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2155 | PA      | $2182.13      | 0.00%             | 2029-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2141                                                                        | CUSIP: 3133TKGP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       209 | PA      | $8.52         | 0.00%             | 2029-04-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2163, Class PC                                                              | CUSIP: 3133TLFS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       753 | PA      | $36.85        | 0.00%             | 2029-06-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2178, Class PB                                                              | CUSIP: 3133TLUH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1839 | PA      | $1888.30      | 0.00%             | 2029-08-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2201, Class C                                                               | CUSIP: 3133TMGW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1516 | PA      | $1548.90      | 0.00%             | 2029-11-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2209, Class TC                                                              | CUSIP: 3133TNCF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13754 | PA      | $14318.54     | 0.00%             | 2030-01-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2210, Class Z                                                               | CUSIP: 3133TNDG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10279 | PA      | $10717.08     | 0.00%             | 2030-01-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2224, Class CB                                                              | CUSIP: 3133TNK45<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3361 | PA      | $3490.34      | 0.00%             | 2030-03-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2247, Class Z                                                               | CUSIP: 3133TPGX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3341 | PA      | $3481.74      | 0.00%             | 2030-08-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2256, Class MC                                                              | CUSIP: 3133TPS67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7256 | PA      | $7571.00      | 0.00%             | 2030-09-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2254, Class Z                                                               | CUSIP: 3133TPUN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     26046 | PA      | $28419.46     | 0.00%             | 2030-09-15      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2259, Class ZM                                                              | CUSIP: 3133TQC54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15871 | PA      | $16417.53     | 0.00%             | 2030-10-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2271, Class PC                                                              | CUSIP: 3133TQKD8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17819 | PA      | $18607.95     | 0.00%             | 2030-12-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2296, Class PD                                                              | CUSIP: 3133TRUS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6053 | PA      | $6319.22      | 0.00%             | 2031-03-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2303, Class ZD                                                              | CUSIP: 3133TSTA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     82197 | PA      | $86375.04     | 0.00%             | 2031-04-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2303, Class ZN                                                              | CUSIP: 3133TSTE3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     23316 | PA      | $24223.91     | 0.00%             | 2029-04-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2359, Class ZB                                                              | CUSIP: 3133TV5T9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11821 | PA      | $12718.74     | 0.00%             | 2031-06-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2433, Class SA                                                              | CUSIP: 3133TVPR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     20323 | PA      | $22459.42     | 0.00%             | 2032-02-15      | Floating      | 11.12%                | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2436, Class MC                                                              | CUSIP: 3133TVR99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9940 | PA      | $10164.89     | 0.00%             | 2032-04-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2434, Class TC                                                              | CUSIP: 3133TVTX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15060 | PA      | $15856.61     | 0.00%             | 2032-04-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 3133USHS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9024056 | PA      | $8254495.63   | 0.12%             | 2049-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 3133USJ28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  23389602 | PA      | $19645226.42  | 0.30%             | 2050-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 31346YUV3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    817161 | PA      | $805145.86    | 0.01%             | 2049-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC                                                                                            | CUSIP: 31349SF40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13713 | PA      | $14045.88     | 0.00%             | 2033-12-01      | Variable      | 5.86%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC                                                                                            | CUSIP: 31349UB56<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     29101 | PA      | $30253.78     | 0.00%             | 2036-11-01      | Variable      | 6.29%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC                                                                                            | CUSIP: 31349UJY5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     25094 | PA      | $26144.21     | 0.00%             | 2035-01-01      | Variable      | 5.87%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, STRIPS, Series 197                                                                        | CUSIP: 31351BWQ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     20216 | PA      | $19565.77     | 0.00%             | 2028-04-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2000-52                                                                      | CUSIP: 31358SU66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1300 | PA      | $145.70       | 0.00%             | 2031-01-25      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 1997-27, Class J                                                             | CUSIP: 31359NR78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       208 | PA      | $209.86       | 0.00%             | 2027-04-18      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series G97-2, Class ZA                                                              | CUSIP: 31359NSL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1294 | PA      | $1306.17      | 0.00%             | 2027-02-17      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 1997-24, Class Z                                                             | CUSIP: 31359PBK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        95 | PA      | $95.29        | 0.00%             | 2027-04-18      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 1997-46, Class Z                                                             | CUSIP: 31359PD37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6998 | PA      | $7022.29      | 0.00%             | 2027-06-17      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 1997-81, Class PI                                                            | CUSIP: 31359RLD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       314 | PA      | $9.95         | 0.00%             | 2027-12-18      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2001-33, Class ID                                                            | CUSIP: 31359S6G0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8276 | PA      | $785.28       | 0.00%             | 2031-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Grantor Trust, Whole Loan, Series 2001-T7, Class A1                                        | CUSIP: 31359S6X3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    177235 | PA      | $185904.72    | 0.00%             | 2041-02-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2001-7, Class PF                                                             | CUSIP: 31359SDC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2014 | PA      | $2105.07      | 0.00%             | 2031-03-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2001-4, Class ZA                                                             | CUSIP: 31359SFZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     46954 | PA      | $47946.34     | 0.00%             | 2031-03-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 1998-36, Class ZB                                                            | CUSIP: 31359T5E4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3947 | PA      | $3982.12      | 0.00%             | 2028-07-18      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 1998-30, Class ZA                                                            | CUSIP: 31359TUU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30439 | PA      | $30931.14     | 0.00%             | 2028-05-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 1999-62, Class PB                                                            | CUSIP: 31359XEP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2317 | PA      | $2347.28      | 0.00%             | 2029-12-18      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                             | CUSIP: 3136195D6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       281 | PA      | $278.26       | 0.00%             | 2027-09-01      | Variable      | 4.24%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 313637ZB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4825000 | PA      | $4758914.92   | 0.07%             | 2033-10-01      | Fixed         | 3.78%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2011-75, Class FA                                                            | CUSIP: 3136A0GK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16165 | PA      | $16162.81     | 0.00%             | 2041-08-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2011-118, Class MT                                                           | CUSIP: 3136A12F1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    391876 | PA      | $420335.03    | 0.01%             | 2041-11-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2011-118, Class LB                                                           | CUSIP: 3136A12K0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    231681 | PA      | $250055.24    | 0.00%             | 2041-11-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2011-118, Class NT                                                           | CUSIP: 3136A1Y82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    403619 | PA      | $436208.21    | 0.01%             | 2041-11-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2012-21, Class WA                                                            | CUSIP: 3136A35N7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    405306 | PA      | $426244.84    | 0.01%             | 2052-03-25      | Variable      | 5.63%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2013-2, Class LZ                                                             | CUSIP: 3136AB4N0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35011 | PA      | $26362.07     | 0.00%             | 2043-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2013-4, Class AJ                                                             | CUSIP: 3136ACGA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    784226 | PA      | $758396.10    | 0.01%             | 2043-02-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2013-92                                                                      | CUSIP: 3136AGGA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    604896 | PA      | $480032.32    | 0.01%             | 2043-09-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2013-101, Class DO                                                           | CUSIP: 3136AGZH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    710647 | PA      | $532169.76    | 0.01%             | 2043-10-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2014-44, Class B                                                             | CUSIP: 3136AKSC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    530066 | PA      | $509541.85    | 0.01%             | 2034-08-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2015-91, Class AC                                                            | CUSIP: 3136AQUD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    952339 | PA      | $1009285.06   | 0.02%             | 2036-12-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA ACES, Series 2017-M3, Class A2                                                              | CUSIP: 3136AVYL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1074793 | PA      | $1063388.23   | 0.02%             | 2026-12-25      | Variable      | 2.47%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2018-11, Class LA                                                            | CUSIP: 3136B1DP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    757909 | PA      | $751782.98    | 0.01%             | 2045-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA ACES, Series 2018-M7, Class A2                                                              | CUSIP: 3136B1K86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3672017 | PA      | $3631793.99   | 0.05%             | 2028-03-25      | Variable      | 3.03%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA ACES, Series 2018-M3, Class A2                                                              | CUSIP: 3136B1LF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    716852 | PA      | $701449.93    | 0.01%             | 2030-02-25      | Variable      | 3.07%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2018-63, Class DA                                                            | CUSIP: 3136B23T7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    411204 | PA      | $388308.92    | 0.01%             | 2048-09-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2018-68, Class DZ                                                            | CUSIP: 3136B2K50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    925243 | PA      | $895207.44    | 0.01%             | 2048-09-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA ACES, Series 2019-M10, Class X                                                              | CUSIP: 3136B4D62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  41433038 | PA      | $885842.49    | 0.01%             | 2049-05-25      | Variable      | 0.44%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2019-20, Class H                                                             | CUSIP: 3136B4NV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1319211 | PA      | $1233468.84   | 0.02%             | 2049-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2019-32, Class SD                                                            | CUSIP: 3136B4XJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6656729 | PA      | $780318.44    | 0.01%             | 2049-06-25      | Floating      | 2.27%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA ACES, Series 2020-M11                                                                       | CUSIP: 3136B86Y0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  65769890 | PA      | $2589248.76   | 0.04%             | 2029-01-25      | Variable      | 1.76%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2020-11, Class JW                                                            | CUSIP: 3136B8XD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3056000 | PA      | $2404757.23   | 0.04%             | 2050-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2020-36, Class SH                                                            | CUSIP: 3136B94B0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9543181 | PA      | $1187764.32   | 0.02%             | 2050-06-25      | Floating      | 2.27%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2020-45, Class KG                                                            | CUSIP: 3136BA2P8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3428638 | PA      | $2951031.90   | 0.04%             | 2050-07-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2020-61, Class SB                                                            | CUSIP: 3136BBF56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5824738 | PA      | $255686.19    | 0.00%             | 2050-09-25      | Floating      | 0.42%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA ACES, Series 2020-M38, Class X2                                                             | CUSIP: 3136BBSN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4194343 | PA      | $149102.62    | 0.00%             | 2028-11-25      | Variable      | 1.98%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA ACES, Series 2020-M39, Class 1A1                                                            | CUSIP: 3136BBTB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2140245 | PA      | $2055212.97   | 0.03%             | 2028-09-25      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA ACES, Series 2020-M39, Class X1                                                             | CUSIP: 3136BBTD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  42323749 | PA      | $2034401.02   | 0.03%             | 2030-07-25      | Variable      | 1.93%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA ACES, Series 2020-M49, Class 1A1                                                            | CUSIP: 3136BCC73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1895891 | PA      | $1791055.22   | 0.03%             | 2030-11-25      | Variable      | 1.26%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA ACES, Series 2020-M50, Class A2                                                             | CUSIP: 3136BCGS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    103653 | PA      | $100313.19    | 0.00%             | 2030-10-25      | Fixed         | 1.20%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA ACES, Series 2020-M50, Class X1                                                             | CUSIP: 3136BCGU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1648704 | PA      | $53449.49     | 0.00%             | 2030-10-25      | Variable      | 1.82%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA ACES, Series 2021-M3, Class X1                                                              | CUSIP: 3136BDXR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9707586 | PA      | $578419.70    | 0.01%             | 2033-11-25      | Variable      | 1.83%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA ACES, Series 2021-M4, Class A1                                                              | CUSIP: 3136BDYY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4985578 | PA      | $4862616.62   | 0.07%             | 2031-02-25      | Fixed         | 0.96%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA ACES, Series 2021-M6, Class A1                                                              | CUSIP: 3136BFHB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3056265 | PA      | $2961488.20   | 0.04%             | 2033-03-25      | Variable      | 1.49%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA ACES, Series 2021-M12, Class 2A2                                                            | CUSIP: 3136BHNU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5000000 | PA      | $4349994.50   | 0.07%             | 2033-05-25      | Variable      | 2.13%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA ACES, Series 2021-M2S, Class A2                                                             | CUSIP: 3136BJZQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1041007 | PA      | $939321.75    | 0.01%             | 2031-10-25      | Variable      | 1.81%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2021-91, Class GB                                                            | CUSIP: 3136BK3E0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  17041318 | PA      | $14743752.98  | 0.22%             | 2049-07-25      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2022-1, Class CZ                                                             | CUSIP: 3136BLLX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2777530 | PA      | $1778628.30   | 0.03%             | 2051-12-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA ACES, Series 2022-M4, Class 2A2                                                             | CUSIP: 3136BLQ45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  42100000 | PA      | $37189186.56  | 0.56%             | 2030-12-25      | Variable      | 1.21%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA ACES, Series 2022-M1G, Class A2                                                             | CUSIP: 3136BLRM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  23600000 | PA      | $21110218.88  | 0.32%             | 2031-09-25      | Variable      | 1.53%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA ACES, Series 2022-M3, Class A2                                                              | CUSIP: 3136BLW22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  18900000 | PA      | $16792149.15  | 0.25%             | 2031-11-25      | Variable      | 1.71%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA ACES, Series 2022-M8, Class A1                                                              | CUSIP: 3136BMSS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    554570 | PA      | $525839.61    | 0.01%             | 2031-12-25      | Variable      | 1.94%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA ACES, Series 2022-M8, Class A2                                                              | CUSIP: 3136BMST6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3370000 | PA      | $3033423.27   | 0.05%             | 2031-12-25      | Variable      | 1.94%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA ACES, Series 2022-M10, Class A2                                                             | CUSIP: 3136BMXZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  24882678 | PA      | $22410775.64  | 0.34%             | 2032-01-25      | Variable      | 1.92%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA ACES, Series 2022-M1S, Class A2                                                             | CUSIP: 3136BNET9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  22730000 | PA      | $20546383.45  | 0.31%             | 2032-04-25      | Variable      | 2.08%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA ACES, Series 2022-M13, Class A2                                                             | CUSIP: 3136BNX43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  15000000 | PA      | $13907728.50  | 0.21%             | 2032-06-25      | Variable      | 2.59%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA ACES, Series 2023-M4, Class A1                                                              | CUSIP: 3136BP3J8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7108440 | PA      | $7117374.36   | 0.11%             | 2032-09-25      | Variable      | 3.77%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2024-6, Class AL                                                             | CUSIP: 3136BQ2K4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13198709 | PA      | $10604820.83  | 0.16%             | 2044-03-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA ACES, Series 2024-M2, Class A1                                                              | CUSIP: 3136BQM71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11763480 | PA      | $12141887.17  | 0.18%             | 2033-04-25      | Variable      | 4.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA ACES, Series 2023-M8, Class A1                                                              | CUSIP: 3136BQNT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2951894 | PA      | $3016456.14   | 0.05%             | 2032-11-25      | Variable      | 4.48%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA ACES, Series 2023-M8, Class A2                                                              | CUSIP: 3136BQSN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6345000 | PA      | $6514941.31   | 0.10%             | 2033-03-25      | Variable      | 4.48%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA ACES, Series 2024-M2, Class A2                                                              | CUSIP: 3136BQT41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5000000 | PA      | $4889228.00   | 0.07%             | 2033-08-25      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2025-29, Class LA                                                            | CUSIP: 3136BV2L1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10232495 | PA      | $9184524.09   | 0.14%             | 2055-05-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2025-18, Class MA                                                            | CUSIP: 3136BVLQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  29951698 | PA      | $25715725.54  | 0.39%             | 2054-09-25      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, STRIPS, Series 331, Class 13                                                               | CUSIP: 3136FAXS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     40743 | PA      | $4309.16      | 0.00%             | 2032-11-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, STRIPS, Series 345, Class 6                                                                | CUSIP: 3136FCCH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19411 | PA      | $2108.68      | 0.00%             | 2033-12-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, STRIPS, Series 351, Class 7                                                                | CUSIP: 3136FCHW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     44195 | PA      | $4535.42      | 0.00%             | 2034-04-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, STRIPS, Series 356, Class 3                                                                | CUSIP: 3136FCPX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     57714 | PA      | $6709.02      | 0.00%             | 2035-01-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, STRIPS, Series 373, Class 1                                                                | CUSIP: 3136FCW44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    476720 | PA      | $423026.73    | 0.01%             | 2036-07-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, STRIPS, Series 374, Class 5                                                                | CUSIP: 3136FCZ82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28401 | PA      | $4215.63      | 0.00%             | 2036-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, STRIPS, Series 365, Class 8                                                                | CUSIP: 3136FCZH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     77834 | PA      | $13409.34     | 0.00%             | 2036-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, STRIPS, Series 383, Class 32                                                               | CUSIP: 3136FFPD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     71338 | PA      | $12236.24     | 0.00%             | 2038-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, STRIPS, Series 393, Class 6                                                                | CUSIP: 3136FGCE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10322 | PA      | $869.73       | 0.00%             | 2037-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, 30 Year                                                                                    | CUSIP: 31371HBY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3681 | PA      | $3741.54      | 0.00%             | 2028-10-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, 30 Year                                                                                    | CUSIP: 31371HHK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15013 | PA      | $15320.70     | 0.00%             | 2029-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, 30 Year                                                                                    | CUSIP: 31371HKW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13402 | PA      | $13633.71     | 0.00%             | 2029-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 31371MPM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5550 | PA      | $5818.01      | 0.00%             | 2036-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 31371NBU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11753 | PA      | $12405.63     | 0.00%             | 2037-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 20 Year                                                                               | CUSIP: 31371NQG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10077 | PA      | $10448.60     | 0.00%             | 2027-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 31371NT54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8910 | PA      | $9071.54      | 0.00%             | 2038-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31371PAK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     80409 | PA      | $86538.82     | 0.00%             | 2038-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                             | CUSIP: 31373UED5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       586 | PA      | $581.84       | 0.00%             | 2029-03-01      | Variable      | 4.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31376J5Y1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    101371 | PA      | $104281.70    | 0.00%             | 2033-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3714, Class IP                                                              | CUSIP: 3137A0WW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    123244 | PA      | $5161.52      | 0.00%             | 2040-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3704, Class DT                                                              | CUSIP: 3137A0Y41<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    286542 | PA      | $310069.78    | 0.00%             | 2036-11-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3704, Class ET                                                              | CUSIP: 3137A0YK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    217508 | PA      | $240452.25    | 0.00%             | 2036-12-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3753                                                                        | CUSIP: 3137A3ML0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    496080 | PA      | $404651.78    | 0.01%             | 2040-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3860, Class PZ                                                              | CUSIP: 3137AAYT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2239832 | PA      | $2317002.01   | 0.03%             | 2041-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3852, Class QN                                                              | CUSIP: 3137ABAC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     30787 | PA      | $29833.25     | 0.00%             | 2041-05-15      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3852, Class TP                                                              | CUSIP: 3137ABB59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     57183 | PA      | $56929.33     | 0.00%             | 2041-05-15      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3895, Class WA                                                              | CUSIP: 3137ACX95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     60309 | PA      | $63217.77     | 0.00%             | 2038-10-15      | Variable      | 5.60%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3966, Class NA                                                              | CUSIP: 3137AJXA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    528154 | PA      | $527789.57    | 0.01%             | 2041-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4015, Class MY                                                              | CUSIP: 3137ANDK8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    685295 | PA      | $663148.53    | 0.01%             | 2042-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4136, Class HS                                                              | CUSIP: 3137AWH65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    351634 | PA      | $243065.16    | 0.00%             | 2042-11-15      | Floating      | 0.23%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4177, Class MQ                                                              | CUSIP: 3137B16U1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1000000 | PA      | $933017.70    | 0.01%             | 2043-03-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4274, Class EM                                                              | CUSIP: 3137B5UH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1000000 | PA      | $957013.10    | 0.01%             | 2043-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4280, Class EO                                                              | CUSIP: 3137B6HW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    361828 | PA      | $284266.67    | 0.00%             | 2043-12-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4281, Class OB                                                              | CUSIP: 3137B6QJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    357697 | PA      | $282495.85    | 0.00%             | 2043-12-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4377, Class JP                                                              | CUSIP: 3137BDCC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1574861 | PA      | $1528003.96   | 0.02%             | 2044-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4456, Class SA                                                              | CUSIP: 3137BGRJ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2383311 | PA      | $287010.95    | 0.00%             | 2045-03-15      | Floating      | 2.38%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4480, Class SE                                                              | CUSIP: 3137BKF96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2422955 | PA      | $366175.88    | 0.01%             | 2045-06-15      | Floating      | 2.41%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4580, Class PT                                                              | CUSIP: 3137BPNP0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    277600 | PA      | $289493.30    | 0.00%             | 2039-08-15      | Variable      | 6.58%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 5036, Class NA                                                              | CUSIP: 3137F6U88<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6788584 | PA      | $5071810.68   | 0.08%             | 2050-11-25      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K740, Class XAM                 | CUSIP: 3137F72F1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  33000000 | PA      | $523475.70    | 0.01%             | 2027-10-25      | Variable      | 1.11%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 5054, Class DZ                                                              | CUSIP: 3137F75J0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  14730287 | PA      | $8360395.09   | 0.13%             | 2050-12-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 5048, Class TI                                                              | CUSIP: 3137F7FM2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  17194107 | PA      | $2547116.03   | 0.04%             | 2050-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, Multi-Family Structured Pass-Through Certificates, Series KL06, Class XFX                 | CUSIP: 3137F84J9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  62441891 | PA      | $2710221.58   | 0.04%             | 2029-12-25      | Variable      | 1.36%                 | No            |                  2 | On Loan: No      |
| FHLMC, Multi-Class Certificates                                      | FHLMC, Multi-Class Certificates, Series 2021-P008, Class A1                                      | CUSIP: 3137F9ZH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  14754352 | PA      | $12897431.37  | 0.19%             | 2033-01-25      | Variable      | 1.73%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4848, Class QY                                                              | CUSIP: 3137FKFH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    569277 | PA      | $571826.31    | 0.01%             | 2048-12-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4862, Class NO                                                              | CUSIP: 3137FKUH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  13845633 | PA      | $8935654.58   | 0.13%             | 2057-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4888, Class AZ                                                              | CUSIP: 3137FM6J6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3134501 | PA      | $3039067.52   | 0.05%             | 2048-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4903, Class SN                                                              | CUSIP: 3137FN5U0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6734201 | PA      | $816946.75    | 0.01%             | 2049-08-25      | Floating      | 2.32%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4936, Class YZ                                                              | CUSIP: 3137FQJ46<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2043546 | PA      | $1799579.55   | 0.03%             | 2049-12-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4982, Class JA                                                              | CUSIP: 3137FTPL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5325688 | PA      | $4344367.02   | 0.07%             | 2050-03-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, Multi-Family Structured Pass-Through Certificates, Series Q013, Class XPT2                | CUSIP: 3137FWGL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  37817185 | PA      | $685099.90    | 0.01%             | 2027-05-25      | Variable      | 1.81%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 5028, Class JG                                                              | CUSIP: 3137FWSA9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5938926 | PA      | $4895965.40   | 0.07%             | 2050-08-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K-1518, Class X1                | CUSIP: 3137FXQX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        | 105365673 | PA      | $6154293.08   | 0.09%             | 2035-10-25      | Variable      | 0.86%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K-1520, Class X1                | CUSIP: 3137FYTY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  97086098 | PA      | $3234850.53   | 0.05%             | 2036-02-25      | Variable      | 0.47%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K128, Class XAM                 | CUSIP: 3137FYUN4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  26300000 | PA      | $888316.69    | 0.01%             | 2031-03-25      | Variable      | 0.73%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3740, Class SC                                                              | CUSIP: 3137GARQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    155670 | PA      | $17487.24     | 0.00%             | 2040-10-15      | Floating      | 2.23%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 5156, Class DC                                                              | CUSIP: 3137H2VD3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  14370703 | PA      | $12793863.07  | 0.19%             | 2051-09-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 5190, Class PH                                                              | CUSIP: 3137H5HE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3019856 | PA      | $2840348.41   | 0.04%             | 2052-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 5250                                                                        | CUSIP: 3137H8RL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10021256 | PA      | $3453188.66   | 0.05%             | 2052-08-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 5337, Class SB                                                              | CUSIP: 3137HAM29<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3984490 | PA      | $4128472.42   | 0.06%             | 2053-09-25      | Floating      | 7.65%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 5358, Class SB                                                              | CUSIP: 3137HAWG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3198799 | PA      | $3396401.34   | 0.05%             | 2053-11-25      | Floating      | 8.20%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 5438                                                                        | CUSIP: 3137HF7K5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5024710 | PA      | $4249046.71   | 0.06%             | 2053-09-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31381BJC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2735 | PA      | $2802.69      | 0.00%             | 2028-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31384LXN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       272 | PA      | $284.82       | 0.00%             | 2028-11-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                             | CUSIP: 31385WZX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24447 | PA      | $24755.28     | 0.00%             | 2033-01-01      | Variable      | 5.65%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31386L4V1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7126 | PA      | $7229.18      | 0.00%             | 2030-02-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31387Y5U3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12089 | PA      | $12534.50     | 0.00%             | 2031-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31388PKC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22131 | PA      | $23187.22     | 0.00%             | 2032-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3138AFXH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     77397 | PA      | $78687.65     | 0.00%             | 2031-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3138EGBP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     67296 | PA      | $69907.00     | 0.00%             | 2032-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3138EJ3Q9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    105072 | PA      | $103477.10    | 0.00%             | 2042-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 20 Year                                                                               | CUSIP: 3138EN4Y2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    572975 | PA      | $569454.59    | 0.01%             | 2035-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3138EPS54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    568388 | PA      | $586258.67    | 0.01%             | 2042-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3138ETE69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1721976 | PA      | $1623590.20   | 0.02%             | 2043-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3138L7GA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1561751 | PA      | $1530898.90   | 0.02%             | 2034-08-01      | Fixed         | 3.76%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3138L8D35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    844124 | PA      | $838227.76    | 0.01%             | 2026-11-01      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3138L8K60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2000000 | PA      | $1982048.02   | 0.03%             | 2030-02-01      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3138L96Z0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    778600 | PA      | $768703.66    | 0.01%             | 2027-06-01      | Fixed         | 2.79%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3138LAF61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1979121 | PA      | $1828341.23   | 0.03%             | 2035-06-01      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3138LCDD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6301181 | PA      | $6145186.23   | 0.09%             | 2030-11-01      | Fixed         | 3.28%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3138LCKS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1355706 | PA      | $1299750.01   | 0.02%             | 2037-11-01      | Fixed         | 3.44%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3138LEWS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    853996 | PA      | $810929.09    | 0.01%             | 2031-08-01      | Fixed         | 2.74%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3138LFNW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8700330 | PA      | $8210552.32   | 0.12%             | 2032-02-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3138LGTL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6060000 | PA      | $5963082.60   | 0.09%             | 2029-01-01      | Fixed         | 3.17%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3138LGZP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2819967 | PA      | $2771075.15   | 0.04%             | 2029-01-01      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3138LHCH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1515155 | PA      | $1504032.94   | 0.02%             | 2027-02-01      | Fixed         | 3.07%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3138LJYV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    800000 | PA      | $760153.60    | 0.01%             | 2032-08-01      | Fixed         | 3.06%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3138LJZP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4075000 | PA      | $3894443.76   | 0.06%             | 2032-07-01      | Fixed         | 3.14%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3138LKL96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    582612 | PA      | $551421.04    | 0.01%             | 2032-10-01      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3138LLET8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7523135 | PA      | $6889673.32   | 0.10%             | 2037-11-01      | Fixed         | 3.21%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3138LMBY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5842048 | PA      | $5727891.12   | 0.09%             | 2030-02-01      | Fixed         | 3.17%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3138LNX63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3500000 | PA      | $3426458.70   | 0.05%             | 2033-07-01      | Fixed         | 3.67%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3138LXQK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    660386 | PA      | $653462.52    | 0.01%             | 2042-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3138LYA31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    476403 | PA      | $472694.23    | 0.01%             | 2042-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3138M1MA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    351570 | PA      | $348833.54    | 0.01%             | 2042-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3138M1MB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    453290 | PA      | $450729.87    | 0.01%             | 2042-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3138M34Y7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2532989 | PA      | $2519524.78   | 0.04%             | 2042-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 20 Year                                                                               | CUSIP: 3138M66U6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    259687 | PA      | $255303.83    | 0.00%             | 2032-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3138NXRT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    599459 | PA      | $564820.68    | 0.01%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3138W5J66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    435354 | PA      | $431790.23    | 0.01%             | 2033-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3138W6A63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    915589 | PA      | $885077.74    | 0.01%             | 2043-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3138WGW83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1000738 | PA      | $963489.88    | 0.01%             | 2046-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3138WHHA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    751515 | PA      | $723545.30    | 0.01%             | 2046-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3138WU4B6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    452878 | PA      | $447624.52    | 0.01%             | 2033-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 15 Year                                                                               | CUSIP: 3138Y9NQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    388380 | PA      | $383548.37    | 0.01%             | 2030-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, 30 Year                                                                                    | CUSIP: 31390RK44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6182 | PA      | $6224.13      | 0.00%             | 2033-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31391JWX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7864 | PA      | $8059.21      | 0.00%             | 2032-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31391REW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       917 | PA      | $939.60       | 0.00%             | 2033-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31391SQG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3169 | PA      | $3247.22      | 0.00%             | 2032-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2001-44, Class PD                                                            | CUSIP: 3139204E7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3444 | PA      | $3599.62      | 0.00%             | 2031-09-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2001-44, Class PU                                                            | CUSIP: 3139204T4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11059 | PA      | $11655.08     | 0.00%             | 2031-09-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2001-36, Class DE                                                            | CUSIP: 313920LG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13322 | PA      | $13905.91     | 0.00%             | 2031-08-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2001-38, Class FB                                                            | CUSIP: 313920QJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1890 | PA      | $1891.23      | 0.00%             | 2031-08-25      | Floating      | 4.28%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Grantor Trust, Whole Loan, Series 2001-T10                                                 | CUSIP: 3139216E3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5070 | PA      | $4523.21      | 0.00%             | 2041-12-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC Trust, Whole Loan, Series 2001-W3, Class A                                           | CUSIP: 3139216F0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    160483 | PA      | $162199.63    | 0.00%             | 2041-09-25      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC Trust, Series 2001-W4, Class AF6                                                     | CUSIP: 3139216U7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       841 | PA      | $842.23       | 0.00%             | 2032-01-25      | Variable      | 5.11%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2001-49, Class LZ                                                            | CUSIP: 313921AM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14610 | PA      | $15226.14     | 0.00%             | 2031-07-25      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2001-61, Class Z                                                             | CUSIP: 313921M70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33870 | PA      | $35315.88     | 0.00%             | 2031-11-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2001-53, Class FX                                                            | CUSIP: 313921XJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     61093 | PA      | $60995.60     | 0.00%             | 2031-10-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, Other                                                                          | CUSIP: 313929RL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     27077 | PA      | $27827.97     | 0.00%             | 2032-01-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Grantor Trust, Whole Loan, Series 2001-T12, Class A1                                       | CUSIP: 31392A5L8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1540005 | PA      | $1557143.74   | 0.02%             | 2041-08-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Grantor Trust, Whole Loan, Series 2001-T12, Class A2                                       | CUSIP: 31392A5M6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     80496 | PA      | $81420.32     | 0.00%             | 2041-08-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2002-13, Class SJ                                                            | CUSIP: 31392A7G7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18787 | PA      | $315.62       | 0.00%             | 2032-03-25      | Floating      | 1.60%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2002-7, Class FD                                                             | CUSIP: 31392B3F1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11875 | PA      | $11911.15     | 0.00%             | 2029-04-25      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2002-13, Class ST                                                            | CUSIP: 31392B5S1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1207 | PA      | $1261.31      | 0.00%             | 2032-03-25      | Floating      | 10.00%                | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Grantor Trust, Whole Loan, Series 2002-T4, Class A2                                        | CUSIP: 31392B6U5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     64256 | PA      | $67372.45     | 0.00%             | 2041-12-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Grantor Trust, Whole Loan, Series 2002-T4, Class A3                                        | CUSIP: 31392B6V3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    155029 | PA      | $166539.50    | 0.00%             | 2041-12-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2001-72, Class SX                                                            | CUSIP: 31392BJG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1727 | PA      | $1853.53      | 0.00%             | 2031-12-25      | Floating      | 8.66%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2002-1, Class SA                                                             | CUSIP: 31392BVQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2441 | PA      | $2898.96      | 0.00%             | 2032-02-25      | Floating      | 12.90%                | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2002-30, Class Z                                                             | CUSIP: 31392CH31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     54604 | PA      | $56886.89     | 0.00%             | 2032-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2002-50, Class ZA                                                            | CUSIP: 31392DA93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     71620 | PA      | $73800.67     | 0.00%             | 2031-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2002-37, Class Z                                                             | CUSIP: 31392DCF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3994 | PA      | $4148.72      | 0.00%             | 2032-06-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC Trust, Whole Loan, Series 2002-W10                                                   | CUSIP: 31392ET34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    711416 | PA      | $29684.03     | 0.00%             | 2042-08-25      | Variable      | 0.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2002-60, Class FA                                                            | CUSIP: 31392EUN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35529 | PA      | $35661.77     | 0.00%             | 2031-02-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2002-60, Class FB                                                            | CUSIP: 31392EUP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35529 | PA      | $35661.77     | 0.00%             | 2031-02-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2002-77, Class S                                                             | CUSIP: 31392F6E2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8970 | PA      | $9366.33      | 0.00%             | 2032-12-25      | Floating      | 7.55%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Grantor Trust, Whole Loan, Series 2002-T16, Class A2                                       | CUSIP: 31392FDC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     66125 | PA      | $70614.82     | 0.00%             | 2042-07-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Grantor Trust, Whole Loan, Series 2002-T19, Class A2                                       | CUSIP: 31392GVR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    149686 | PA      | $159639.23    | 0.00%             | 2042-07-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC Trust, Whole Loan, Series 2003-W1, Class 1A1                                         | CUSIP: 31392GVX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     87283 | PA      | $88180.99     | 0.00%             | 2042-12-25      | Variable      | 4.68%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC Trust, Whole Loan, Series 2003-W1, Class 2A                                          | CUSIP: 31392GWB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     60615 | PA      | $61350.81     | 0.00%             | 2042-12-25      | Variable      | 5.04%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Whole Loan, Series 2003-7, Class A1                                                 | CUSIP: 31392HY64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    111409 | PA      | $114060.25    | 0.00%             | 2042-12-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2003-2, Class F                                                              | CUSIP: 31392HZK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    131056 | PA      | $131876.54    | 0.00%             | 2033-02-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA Trust, Whole Loan, Series 2003-W2, Class 1A1                                                | CUSIP: 31392JAA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     95129 | PA      | $100070.50    | 0.00%             | 2042-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2003-14, Class TI                                                            | CUSIP: 31392JFP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13308 | PA      | $79.11        | 0.00%             | 2033-03-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2450, Class SW                                                              | CUSIP: 31392KMK9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10087 | PA      | $943.83       | 0.00%             | 2032-03-15      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2450, Class GZ                                                              | CUSIP: 31392KPH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14112 | PA      | $15000.22     | 0.00%             | 2032-05-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2444, Class ES                                                              | CUSIP: 31392KUY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8900 | PA      | $781.38       | 0.00%             | 2032-03-15      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, Structured Pass-Through Certificates, Whole Loan, Series T-41, Class 3A                   | CUSIP: 31392MEN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     98567 | PA      | $92653.59     | 0.00%             | 2032-07-25      | Variable      | 4.46%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, Structured Pass-Through Certificates, Whole Loan, Series T-42, Class A5                   | CUSIP: 31392MH39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    348667 | PA      | $380448.95    | 0.01%             | 2042-02-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2464, Class FE                                                              | CUSIP: 31392MW81<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     32192 | PA      | $32548.48     | 0.00%             | 2032-03-15      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2470, Class SL                                                              | CUSIP: 31392RJ36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        87 | PA      | $86.97        | 0.00%             | 2027-01-15      | Floating      | 9.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2494, Class SX                                                              | CUSIP: 31392UZT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    110706 | PA      | $8931.51      | 0.00%             | 2032-02-15      | Floating      | 3.23%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, Structured Pass-Through Certificates, Whole Loan, Series T-51, Class 1A                   | CUSIP: 31392W7B0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     30972 | PA      | $32714.00     | 0.00%             | 2043-09-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, Structured Pass-Through Certificates, Whole Loan, Series T-51, Class 2A                   | CUSIP: 31392W7D6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     35954 | PA      | $36893.17     | 0.00%             | 2042-08-25      | Variable      | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2517, Class Z                                                               | CUSIP: 31392X2G2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14101 | PA      | $14530.59     | 0.00%             | 2032-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2513, Class ZC                                                              | CUSIP: 31392XEX2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     32401 | PA      | $33525.43     | 0.00%             | 2032-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2003-39                                                                      | CUSIP: 31393A5Z6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5831 | PA      | $784.64       | 0.00%             | 2033-05-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2003-22, Class UD                                                            | CUSIP: 31393ANT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    126329 | PA      | $126077.07    | 0.00%             | 2033-04-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC Trust, Whole Loan, Series 2003-W4, Class 2A                                          | CUSIP: 31393AP68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11640 | PA      | $11873.53     | 0.00%             | 2042-10-25      | Variable      | 5.02%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2003-33, Class IA                                                            | CUSIP: 31393BFR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    130778 | PA      | $16038.91     | 0.00%             | 2033-05-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2003-52, Class SX                                                            | CUSIP: 31393CV67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2938 | PA      | $3344.57      | 0.00%             | 2031-10-25      | Floating      | 11.60%                | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2003-44, Class IU                                                            | CUSIP: 31393CVP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    178195 | PA      | $19724.05     | 0.00%             | 2033-06-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA Trust, Whole Loan, Series 2003-W8, Class 2A                                                 | CUSIP: 31393CW82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     54905 | PA      | $56838.89     | 0.00%             | 2042-10-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA Trust, Whole Loan, Series 2003-W8, Class 3F1                                                | CUSIP: 31393CX24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     62518 | PA      | $62446.68     | 0.00%             | 2042-05-25      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2003-72, Class IE                                                            | CUSIP: 31393DXG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     77496 | PA      | $8690.10      | 0.00%             | 2033-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2003-105, Class AZ                                                           | CUSIP: 31393E7F0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    379967 | PA      | $396712.07    | 0.01%             | 2033-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2003-74, Class SH                                                            | CUSIP: 31393EBW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13654 | PA      | $12480.60     | 0.00%             | 2033-08-25      | Floating      | 3.36%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2003-86, Class ZA                                                            | CUSIP: 31393EF61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     80666 | PA      | $83569.95     | 0.00%             | 2033-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2003-91, Class SD                                                            | CUSIP: 31393EQX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9445 | PA      | $10012.36     | 0.00%             | 2033-09-25      | Floating      | 6.20%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2552, Class FP                                                              | CUSIP: 31393HUX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    153035 | PA      | $154914.12    | 0.00%             | 2033-01-15      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2557, Class HL                                                              | CUSIP: 31393JLU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    121326 | PA      | $123457.59    | 0.00%             | 2033-01-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, Structured Pass-Through Certificates, Whole Loan, Series T-54, Class 2A                   | CUSIP: 31393LFK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    770374 | PA      | $782898.97    | 0.01%             | 2043-02-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, Structured Pass-Through Certificates, Whole Loan, Series T-54, Class 3A                   | CUSIP: 31393LFM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    355474 | PA      | $374900.07    | 0.01%             | 2043-02-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2586, Class WI                                                              | CUSIP: 31393MWB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     34558 | PA      | $4362.41      | 0.00%             | 2033-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2611, Class SQ                                                              | CUSIP: 31393QYH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12322 | PA      | $12803.46     | 0.00%             | 2033-05-15      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, Structured Pass-Through Certificates, Whole Loan, Series T-56, Class A5                   | CUSIP: 31393RGG9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    593419 | PA      | $577583.05    | 0.01%             | 2043-05-25      | Fixed         | 5.23%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2631, Class SA                                                              | CUSIP: 31393RY20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6105 | PA      | $6481.33      | 0.00%             | 2033-06-15      | Floating      | 7.93%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2003-116, Class SB                                                           | CUSIP: 31393T4W3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     61664 | PA      | $5346.24      | 0.00%             | 2033-11-25      | Floating      | 3.82%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA Trust, Whole Loan, Series 2004-W1, Class 2A2                                                | CUSIP: 31393U4Q3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     99084 | PA      | $104512.06    | 0.00%             | 2033-12-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA Trust, Whole Loan, Series 2003-W17, Class 1A7                                               | CUSIP: 31393UAK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1382473 | PA      | $1416217.48   | 0.02%             | 2033-08-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2003-122, Class ZJ                                                           | CUSIP: 31393UKW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    400866 | PA      | $421886.49    | 0.01%             | 2033-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2003-132, Class PI                                                           | CUSIP: 31393UUR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3770 | PA      | $52.54        | 0.00%             | 2033-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2003-132, Class OA                                                           | CUSIP: 31393UVB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       634 | PA      | $623.42       | 0.00%             | 2033-08-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2003-130, Class SX                                                           | CUSIP: 31393UWF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1180 | PA      | $1231.67      | 0.00%             | 2034-01-25      | Floating      | 5.85%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC Trust, Whole Loan, Series 2004-W4, Class A7                                          | CUSIP: 31393X3L9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    243911 | PA      | $247010.73    | 0.00%             | 2034-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2004-36, Class SA                                                            | CUSIP: 31393X5V5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     38402 | PA      | $43202.65     | 0.00%             | 2034-05-25      | Floating      | 9.13%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Grantor Trust, Whole Loan, Series 2004-T1, Class 1A1                                       | CUSIP: 31393XFS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     98138 | PA      | $102739.44    | 0.00%             | 2044-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA Trust, Whole Loan, Series 2004-W2, Class 2A2                                                | CUSIP: 31393XGQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     47440 | PA      | $49315.22     | 0.00%             | 2044-02-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2004-25, Class SA                                                            | CUSIP: 31393XRE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16595 | PA      | $18246.09     | 0.00%             | 2034-04-25      | Floating      | 9.13%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2004-17, Class H                                                             | CUSIP: 31393XZV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    123141 | PA      | $128061.97    | 0.00%             | 2034-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2004-51, Class SY                                                            | CUSIP: 31393Y4T9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5740 | PA      | $6006.82      | 0.00%             | 2034-07-25      | Floating      | 6.68%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2004-46, Class SK                                                            | CUSIP: 31393YT54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6207 | PA      | $6714.34      | 0.00%             | 2034-05-25      | Floating      | 6.10%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2004-46, Class QB                                                            | CUSIP: 31393YT96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19722 | PA      | $21350.78     | 0.00%             | 2034-05-25      | Floating      | 8.87%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Grantor Trust, Whole Loan, Series 2004-T3, Class PT1                                       | CUSIP: 31393YV85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     78686 | PA      | $84534.78     | 0.00%             | 2044-01-25      | Variable      | 8.93%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC Trust, Whole Loan, Series 2004-W11, Class 1A1                                        | CUSIP: 31394AB39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    210425 | PA      | $221788.19    | 0.00%             | 2044-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2004-50, Class VZ                                                            | CUSIP: 31394AJV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    584338 | PA      | $611753.64    | 0.01%             | 2034-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2004-61, Class FH                                                            | CUSIP: 31394ARN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    297105 | PA      | $299153.27    | 0.00%             | 2032-11-25      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2004-61, Class SK                                                            | CUSIP: 31394ATX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11860 | PA      | $12362.69     | 0.00%             | 2032-11-25      | Floating      | 8.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2004-59, Class BG                                                            | CUSIP: 31394AVD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18983 | PA      | $17189.95     | 0.00%             | 2032-12-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2005-7, Class LO                                                             | CUSIP: 31394B5T7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    112260 | PA      | $103898.98    | 0.00%             | 2035-02-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2005-13, Class FL                                                            | CUSIP: 31394B7F5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28121 | PA      | $28005.93     | 0.00%             | 2035-03-25      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2004-87, Class F                                                             | CUSIP: 31394BNG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     56075 | PA      | $56450.21     | 0.00%             | 2034-01-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2005-15, Class MO                                                            | CUSIP: 31394CVA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     55100 | PA      | $47930.54     | 0.00%             | 2035-03-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2005-56, Class S                                                             | CUSIP: 31394D6N5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     90851 | PA      | $6786.34      | 0.00%             | 2035-07-25      | Floating      | 2.93%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2005-68, Class PG                                                            | CUSIP: 31394E7B8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     63192 | PA      | $65140.04     | 0.00%             | 2035-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2005-73, Class PS                                                            | CUSIP: 31394EC48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16663 | PA      | $17430.03     | 0.00%             | 2035-08-25      | Floating      | 7.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2005-66, Class SV                                                            | CUSIP: 31394EKB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     41693 | PA      | $3228.82      | 0.00%             | 2035-07-25      | Floating      | 2.97%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2005-66, Class SG                                                            | CUSIP: 31394EKR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     38129 | PA      | $42692.66     | 0.00%             | 2035-07-25      | Floating      | 7.92%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2005-84, Class XM                                                            | CUSIP: 31394FN50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26908 | PA      | $27847.92     | 0.00%             | 2035-10-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA Trust, Whole Loan, Series 2005-W3, Class 2AF                                                | CUSIP: 31394FSB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    114821 | PA      | $113859.76    | 0.00%             | 2045-03-25      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2005-90, Class AO                                                            | CUSIP: 31394FVR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4516 | PA      | $4116.69      | 0.00%             | 2035-10-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2005-90, Class ES                                                            | CUSIP: 31394FVU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     53432 | PA      | $56775.68     | 0.00%             | 2035-10-25      | Floating      | 7.42%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2671, Class S                                                               | CUSIP: 31394HVK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10807 | PA      | $12010.22     | 0.00%             | 2033-09-15      | Floating      | 7.84%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, Structured Pass-Through Certificates, Whole Loan, Series T-58, Class A                    | CUSIP: 31394JY76<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     34520 | PA      | $28866.09     | 0.00%             | 2043-09-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2692, Class SC                                                              | CUSIP: 31394KZD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     31019 | PA      | $33496.65     | 0.00%             | 2033-07-15      | Floating      | 5.74%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2204, Class GB                                                              | CUSIP: 31394LME9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       562 | PA      | $56.94        | 0.00%             | 2029-12-20      | Variable      | 8.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2722, Class PF                                                              | CUSIP: 31394NG93<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    269449 | PA      | $270169.00    | 0.00%             | 2033-12-15      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, Structured Pass-Through Certificates, Whole Loan, Series T-59, Class 1AP                  | CUSIP: 31394PPU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     36550 | PA      | $19047.51     | 0.00%             | 2043-10-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2763, Class ZA                                                              | CUSIP: 31394TMU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1049129 | PA      | $1108443.34   | 0.02%             | 2034-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2005-103, Class SC                                                           | CUSIP: 31394ULM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    113400 | PA      | $111470.84    | 0.00%             | 2035-07-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2005-106, Class US                                                           | CUSIP: 31394UN81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18288 | PA      | $19329.17     | 0.00%             | 2035-11-25      | Floating      | 10.70%                | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2006-16, Class HZ                                                            | CUSIP: 31394V6A3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42502 | PA      | $44325.41     | 0.00%             | 2036-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA Trust, Whole Loan, Series 2005-W4, Class 1A1                                                | CUSIP: 31394VPT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36164 | PA      | $37229.94     | 0.00%             | 2045-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA Trust, Whole Loan, Series 2005-W4, Class 3A                                                 | CUSIP: 31394VQB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    225659 | PA      | $230859.20    | 0.00%             | 2045-06-25      | Variable      | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2006-8, Class WQ                                                             | CUSIP: 31394VX39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    156231 | PA      | $132903.93    | 0.00%             | 2036-03-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2006-8, Class WN                                                             | CUSIP: 31394VX47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    572846 | PA      | $56637.50     | 0.00%             | 2036-03-25      | Floating      | 2.92%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2779, Class ZC                                                              | CUSIP: 31394WGG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    686028 | PA      | $726392.67    | 0.01%             | 2034-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2802, Class ZY                                                              | CUSIP: 31394YRX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    177581 | PA      | $186069.66    | 0.00%             | 2034-05-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2006-23, Class KO                                                            | CUSIP: 31395B4J9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13012 | PA      | $11919.85     | 0.00%             | 2036-04-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2006-27, Class OH                                                            | CUSIP: 31395BZL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23662 | PA      | $20967.60     | 0.00%             | 2036-04-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2006-50, Class PS                                                            | CUSIP: 31395DTS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     49945 | PA      | $45641.03     | 0.00%             | 2036-06-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2006-50, Class JO                                                            | CUSIP: 31395DUD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34020 | PA      | $29996.70     | 0.00%             | 2036-06-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2835, Class QO                                                              | CUSIP: 31395FEZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13218 | PA      | $11994.79     | 0.00%             | 2032-12-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, Structured Pass-Through Certificates, Whole Loan, Series T-62, Class 1A1                  | CUSIP: 31395HHV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    356280 | PA      | $330212.18    | 0.00%             | 2044-10-25      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA Trust, Whole Loan, Series 2006-W2, Class 1AF1                                               | CUSIP: 31395N5A1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     58080 | PA      | $57490.04     | 0.00%             | 2046-02-25      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2006-44, Class P                                                             | CUSIP: 31395NBC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    163972 | PA      | $146001.52    | 0.00%             | 2033-12-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2006-44, Class GO                                                            | CUSIP: 31395NBG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     61146 | PA      | $55029.64     | 0.00%             | 2036-06-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2006-58                                                                      | CUSIP: 31395ND20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     63403 | PA      | $56229.12     | 0.00%             | 2036-07-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2006-58, Class AP                                                            | CUSIP: 31395NE29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23459 | PA      | $19485.31     | 0.00%             | 2036-07-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2006-53, Class US                                                            | CUSIP: 31395NJD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     91060 | PA      | $7349.46      | 0.00%             | 2036-06-25      | Floating      | 2.80%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2006-63, Class ZH                                                            | CUSIP: 31395NQK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     74825 | PA      | $81081.32     | 0.00%             | 2036-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2006-56, Class FT                                                            | CUSIP: 31395NXK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    203318 | PA      | $204428.30    | 0.00%             | 2036-07-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2990, Class WP                                                              | CUSIP: 31395V4V8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       242 | PA      | $251.96       | 0.00%             | 2035-06-15      | Floating      | 7.29%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3035, Class Z                                                               | CUSIP: 31396ANL4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    348851 | PA      | $368308.57    | 0.01%             | 2035-09-15      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3117, Class EO                                                              | CUSIP: 31396HUN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     38852 | PA      | $35131.79     | 0.00%             | 2036-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3117, Class OG                                                              | CUSIP: 31396HVT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     18474 | PA      | $16499.23     | 0.00%             | 2036-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3117, Class OK                                                              | CUSIP: 31396HVU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     42296 | PA      | $37615.52     | 0.00%             | 2036-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3134                                                                        | CUSIP: 31396J5T8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5861 | PA      | $4955.81      | 0.00%             | 2036-03-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3122, Class OH                                                              | CUSIP: 31396JLG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3316 | PA      | $2916.63      | 0.00%             | 2036-03-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3122, Class ZB                                                              | CUSIP: 31396JMD4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     35823 | PA      | $38732.89     | 0.00%             | 2036-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2006-94, Class GK                                                            | CUSIP: 31396K4D1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       142 | PA      | $144.55       | 0.00%             | 2026-10-25      | Floating      | 14.34%                | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2006-94, Class GI                                                            | CUSIP: 31396K4E9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3377 | PA      | $13.15        | 0.00%             | 2026-10-25      | Floating      | 2.87%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2006-65, Class QO                                                            | CUSIP: 31396KAA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24365 | PA      | $21327.19     | 0.00%             | 2036-07-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2006-78, Class BZ                                                            | CUSIP: 31396KDK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     51166 | PA      | $55072.33     | 0.00%             | 2036-08-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2006-77, Class PC                                                            | CUSIP: 31396KGX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    100435 | PA      | $104090.35    | 0.00%             | 2036-08-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2006-72, Class TO                                                            | CUSIP: 31396KHT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25313 | PA      | $21411.84     | 0.00%             | 2036-08-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2006-86, Class OB                                                            | CUSIP: 31396KJ52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     55867 | PA      | $48627.37     | 0.00%             | 2036-09-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2006-72, Class HO                                                            | CUSIP: 31396KJD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       688 | PA      | $682.92       | 0.00%             | 2026-08-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA REMIC Trust, Series 2006-72, Class GO                                                       | CUSIP: 31396KJK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37967 | PA      | $34046.86     | 0.00%             | 2036-08-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2006-90, Class AO                                                            | CUSIP: 31396KU42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25189 | PA      | $22886.89     | 0.00%             | 2036-09-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2006-79, Class DO                                                            | CUSIP: 31396KYB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35817 | PA      | $30955.25     | 0.00%             | 2036-08-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2006-118, Class A2                                                           | CUSIP: 31396L4T4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36298 | PA      | $35650.68     | 0.00%             | 2036-12-25      | Floating      | 3.87%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2006-126, Class AO                                                           | CUSIP: 31396L4Z0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    112834 | PA      | $99298.47     | 0.00%             | 2037-01-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC Trust, Whole Loan, Series 2006-W3, Class 1AF1                                        | CUSIP: 31396L5A4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31311 | PA      | $31000.68     | 0.00%             | 2046-10-25      | Floating      | 4.02%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC Trust, Whole Loan, Series 2006-W3, Class 2A                                          | CUSIP: 31396L7E4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     47275 | PA      | $48868.26     | 0.00%             | 2046-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2006-117, Class GS                                                           | CUSIP: 31396LD23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     78589 | PA      | $7768.46      | 0.00%             | 2036-12-25      | Floating      | 2.87%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2006-120                                                                     | CUSIP: 31396LH60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    114054 | PA      | $15370.76     | 0.00%             | 2036-12-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2006-120, Class PF                                                           | CUSIP: 31396LJ35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19023 | PA      | $18901.81     | 0.00%             | 2036-12-25      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2006-119                                                                     | CUSIP: 31396LM80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24960 | PA      | $22451.19     | 0.00%             | 2036-12-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2006-111, Class EO                                                           | CUSIP: 31396LSR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20967 | PA      | $17266.23     | 0.00%             | 2036-11-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2006-115, Class OK                                                           | CUSIP: 31396LU57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     60270 | PA      | $49693.97     | 0.00%             | 2036-12-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2006-105, Class ME                                                           | CUSIP: 31396LUS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    287643 | PA      | $298637.98    | 0.00%             | 2036-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2006-110                                                                     | CUSIP: 31396LVP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28591 | PA      | $25246.60     | 0.00%             | 2036-11-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3137, Class XP                                                              | CUSIP: 31396N2Q8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    261481 | PA      | $277758.35    | 0.00%             | 2036-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3138                                                                        | CUSIP: 31396N7B6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     26788 | PA      | $23758.00     | 0.00%             | 2036-04-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3143, Class BC                                                              | CUSIP: 31396NG75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     79950 | PA      | $83311.90     | 0.00%             | 2036-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3151                                                                        | CUSIP: 31396NU46<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     75493 | PA      | $65188.25     | 0.00%             | 2036-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2007-18, Class MZ                                                            | CUSIP: 31396P5P2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    145055 | PA      | $154584.59    | 0.00%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2006-130, Class GI                                                           | CUSIP: 31396PAS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     44215 | PA      | $2382.63      | 0.00%             | 2032-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2007-14, Class ES                                                            | CUSIP: 31396PC33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1362979 | PA      | $151473.33    | 0.00%             | 2037-03-25      | Floating      | 2.66%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2007-14, Class OP                                                            | CUSIP: 31396PE72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36047 | PA      | $32100.35     | 0.00%             | 2037-03-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2007-1, Class SD                                                             | CUSIP: 31396PHH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32521 | PA      | $57182.15     | 0.00%             | 2037-02-25      | Floating      | 16.31%                | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2007-7, Class SG                                                             | CUSIP: 31396PRZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    253157 | PA      | $26284.21     | 0.00%             | 2036-08-25      | Floating      | 2.72%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2007-22, Class SC                                                            | CUSIP: 31396PU90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3663 | PA      | $127.65       | 0.00%             | 2037-03-25      | Floating      | 2.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2007-16, Class FC                                                            | CUSIP: 31396PXY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15698 | PA      | $15787.50     | 0.00%             | 2037-03-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2009-69                                                                      | CUSIP: 31396Q5D7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     43150 | PA      | $35589.53     | 0.00%             | 2039-09-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2009-47, Class MT                                                            | CUSIP: 31396QHD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6454 | PA      | $6744.61      | 0.00%             | 2039-07-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2009-52, Class PI                                                            | CUSIP: 31396QKF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    102006 | PA      | $14544.88     | 0.00%             | 2039-07-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2009-63, Class P                                                             | CUSIP: 31396QWV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6050 | PA      | $6016.44      | 0.00%             | 2037-03-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3152, Class MO                                                              | CUSIP: 31396R2P1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     72903 | PA      | $65304.32     | 0.00%             | 2036-03-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3149, Class SO                                                              | CUSIP: 31396RJA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     28061 | PA      | $23032.29     | 0.00%             | 2036-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3153, Class EO                                                              | CUSIP: 31396RKM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     34818 | PA      | $30683.92     | 0.00%             | 2036-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3171, Class MO                                                              | CUSIP: 31396TUG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     19377 | PA      | $17755.88     | 0.00%             | 2036-06-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3194, Class SA                                                              | CUSIP: 31396UD64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     22108 | PA      | $2326.68      | 0.00%             | 2036-07-15      | Floating      | 3.33%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3179, Class OA                                                              | CUSIP: 31396UFA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     24861 | PA      | $21901.55     | 0.00%             | 2036-07-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC Trust, Whole Loan, Series 2007-W2, Class 1A1                                         | CUSIP: 31396VAD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    119625 | PA      | $118547.94    | 0.00%             | 2037-03-25      | Floating      | 4.10%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2007-46, Class ZK                                                            | CUSIP: 31396VB56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     56927 | PA      | $59655.12     | 0.00%             | 2037-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC Trust, Whole Loan, Series 2007-W3, Class 1A3                                         | CUSIP: 31396VQB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     48070 | PA      | $49187.85     | 0.00%             | 2037-04-25      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2007-39, Class EF                                                            | CUSIP: 31396VSL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13264 | PA      | $13118.27     | 0.00%             | 2037-05-25      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2007-78, Class CB                                                            | CUSIP: 31396W5X0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34028 | PA      | $36256.88     | 0.00%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2007-54, Class WI                                                            | CUSIP: 31396WFF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    117311 | PA      | $12123.30     | 0.00%             | 2037-06-25      | Floating      | 2.32%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Whole Loan, Series 2007-54, Class FA                                                | CUSIP: 31396WFQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     50380 | PA      | $50085.85     | 0.00%             | 2037-06-25      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2007-65, Class KI                                                            | CUSIP: 31396WLY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     77833 | PA      | $7898.53      | 0.00%             | 2037-07-25      | Floating      | 2.84%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2007-72, Class EK                                                            | CUSIP: 31396WQH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    383714 | PA      | $43437.51     | 0.00%             | 2037-07-25      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2007-60, Class AX                                                            | CUSIP: 31396WSA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    116635 | PA      | $16073.61     | 0.00%             | 2037-07-25      | Floating      | 3.37%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC Trust, Whole Loan, Series 2007-W7, Class 1A4                                         | CUSIP: 31396WVA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6203 | PA      | $8648.77      | 0.00%             | 2037-07-25      | Floating      | 16.49%                | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Whole Loan, Series 2007-64, Class FB                                                | CUSIP: 31396WVR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     76381 | PA      | $76050.14     | 0.00%             | 2037-07-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2007-76, Class ZG                                                            | CUSIP: 31396WZ90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     76370 | PA      | $79343.40     | 0.00%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2007-112, Class SA                                                           | CUSIP: 31396X4C5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    339976 | PA      | $44951.04     | 0.00%             | 2037-12-25      | Floating      | 2.67%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2007-116, Class HI                                                           | CUSIP: 31396X6G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    233839 | PA      | $15547.85     | 0.00%             | 2038-01-25      | Floating      | 1.88%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Whole Loan, Series 2007-101, Class A2                                               | CUSIP: 31396XC69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    113935 | PA      | $115044.84    | 0.00%             | 2036-06-27      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2007-79, Class SB                                                            | CUSIP: 31396XDL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9876 | PA      | $11849.93     | 0.00%             | 2037-08-25      | Floating      | 10.15%                | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Whole Loan, Series 2007-106, Class A7                                               | CUSIP: 31396XF25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20648 | PA      | $20999.85     | 0.00%             | 2037-10-25      | Variable      | 6.06%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2007-88, Class VI                                                            | CUSIP: 31396XUU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     53935 | PA      | $4618.12      | 0.00%             | 2037-09-25      | Floating      | 2.76%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2007-100, Class SM                                                           | CUSIP: 31396XXQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    115026 | PA      | $12617.93     | 0.00%             | 2037-10-25      | Floating      | 2.67%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2007-91, Class ES                                                            | CUSIP: 31396XYW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    184754 | PA      | $20038.07     | 0.00%             | 2037-10-25      | Floating      | 2.68%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2008-27, Class SN                                                            | CUSIP: 31396Y4G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33235 | PA      | $3561.93      | 0.00%             | 2038-04-25      | Floating      | 3.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2008-32, Class SA                                                            | CUSIP: 31396Y5B4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15040 | PA      | $1325.77      | 0.00%             | 2038-04-25      | Floating      | 3.07%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2008-1, Class BI                                                             | CUSIP: 31396YCX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    100862 | PA      | $8409.82      | 0.00%             | 2038-02-25      | Floating      | 2.13%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2008-10, Class XI                                                            | CUSIP: 31396YKW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     60426 | PA      | $5561.88      | 0.00%             | 2038-03-25      | Floating      | 2.45%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2008-12, Class CO                                                            | CUSIP: 31396YND0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    183389 | PA      | $164313.32    | 0.00%             | 2038-03-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2008-16, Class IS                                                            | CUSIP: 31396YTG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     71420 | PA      | $5802.13      | 0.00%             | 2038-03-25      | Floating      | 2.42%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2008-20, Class SA                                                            | CUSIP: 31396YTV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     68120 | PA      | $7585.57      | 0.00%             | 2038-03-25      | Floating      | 3.21%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3200                                                                        | CUSIP: 31397AJ95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     54068 | PA      | $47083.06     | 0.00%             | 2036-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3219, Class DI                                                              | CUSIP: 31397BF22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     34450 | PA      | $5596.71      | 0.00%             | 2036-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3232, Class ST                                                              | CUSIP: 31397BP96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     73551 | PA      | $5812.60      | 0.00%             | 2036-10-15      | Floating      | 2.93%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3237, Class AO                                                              | CUSIP: 31397CDK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     33621 | PA      | $28241.05     | 0.00%             | 2036-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3260, Class CS                                                              | CUSIP: 31397ELL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     40767 | PA      | $3862.77      | 0.00%             | 2037-01-15      | Floating      | 2.37%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3262, Class SG                                                              | CUSIP: 31397EMU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5123 | PA      | $345.86       | 0.00%             | 2037-01-15      | Floating      | 2.63%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3274, Class JO                                                              | CUSIP: 31397F6H0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13980 | PA      | $12410.51     | 0.00%             | 2037-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3274, Class MO                                                              | CUSIP: 31397F6N7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     21004 | PA      | $18626.58     | 0.00%             | 2037-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3275, Class FL                                                              | CUSIP: 31397FDQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10226 | PA      | $10176.51     | 0.00%             | 2037-02-15      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3290, Class SB                                                              | CUSIP: 31397FR79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    122635 | PA      | $10675.92     | 0.00%             | 2037-03-15      | Floating      | 2.68%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3288, Class GS                                                              | CUSIP: 31397FV66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6137 | PA      | $6336.66      | 0.00%             | 2037-03-15      | Floating      | 5.94%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3305, Class MB                                                              | CUSIP: 31397GU57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     20961 | PA      | $21025.46     | 0.00%             | 2034-07-15      | Floating      | 6.25%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3318, Class BT                                                              | CUSIP: 31397HCY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    344361 | PA      | $348642.07    | 0.01%             | 2034-05-15      | Floating      | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3316, Class JO                                                              | CUSIP: 31397HKD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7133 | PA      | $6025.21      | 0.00%             | 2037-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3322, Class NS                                                              | CUSIP: 31397HMC9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    261740 | PA      | $262129.20    | 0.00%             | 2037-05-15      | Floating      | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3371, Class FA                                                              | CUSIP: 31397KNW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17146 | PA      | $17168.16     | 0.00%             | 2037-09-15      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3373, Class TO                                                              | CUSIP: 31397KUV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     47095 | PA      | $41404.97     | 0.00%             | 2037-04-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, Structured Pass-Through Certificates, Whole Loan, Series T-76, Class 2A                   | CUSIP: 31397KYA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1267950 | PA      | $1176235.04   | 0.02%             | 2037-10-25      | Variable      | 2.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2008-53, Class CI                                                            | CUSIP: 31397LC23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33618 | PA      | $3449.31      | 0.00%             | 2038-07-25      | Floating      | 3.42%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2008-44                                                                      | CUSIP: 31397LMA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8345 | PA      | $7550.64      | 0.00%             | 2038-05-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2009-6, Class GS                                                             | CUSIP: 31397M5Z6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35614 | PA      | $3003.65      | 0.00%             | 2039-02-25      | Floating      | 2.77%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2008-80, Class SA                                                            | CUSIP: 31397MRK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     79377 | PA      | $7076.60      | 0.00%             | 2038-09-25      | Floating      | 2.07%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2008-80, Class GP                                                            | CUSIP: 31397MRT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8358 | PA      | $8907.09      | 0.00%             | 2038-09-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2008-81, Class SB                                                            | CUSIP: 31397MUL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     76497 | PA      | $5994.34      | 0.00%             | 2038-09-25      | Floating      | 2.07%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2009-4, Class BD                                                             | CUSIP: 31397MW94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2045 | PA      | $1897.00      | 0.00%             | 2039-02-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2009-17, Class QS                                                            | CUSIP: 31397NGH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37139 | PA      | $3443.70      | 0.00%             | 2039-03-25      | Floating      | 2.87%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2009-19, Class IP                                                            | CUSIP: 31397NUK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    293092 | PA      | $46675.63     | 0.00%             | 2036-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3385, Class SN                                                              | CUSIP: 31397PAT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     34600 | PA      | $2555.20      | 0.00%             | 2037-11-15      | Floating      | 2.23%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3387, Class SA                                                              | CUSIP: 31397PFM7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     88356 | PA      | $7320.34      | 0.00%             | 2037-11-15      | Floating      | 2.65%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3393, Class JO                                                              | CUSIP: 31397PGA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     43626 | PA      | $40054.57     | 0.00%             | 2032-09-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3404, Class SC                                                              | CUSIP: 31397PTW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    110168 | PA      | $10928.87     | 0.00%             | 2038-01-15      | Floating      | 2.23%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2011-2, Class WA                                                             | CUSIP: 31397QHL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     40755 | PA      | $42758.81     | 0.00%             | 2051-02-25      | Variable      | 5.80%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2011-20, Class MW                                                            | CUSIP: 31397QS90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1564384 | PA      | $1602507.67   | 0.02%             | 2041-03-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2010-147, Class SA                                                           | CUSIP: 31397QW95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    861444 | PA      | $102613.81    | 0.00%             | 2041-01-25      | Floating      | 2.75%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3422, Class AI                                                              | CUSIP: 31397RCW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    224122 | PA      | $1663.75      | 0.00%             | 2038-01-15      | Variable      | 0.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2011-43, Class WA                                                            | CUSIP: 31397S5E0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     54489 | PA      | $57294.98     | 0.00%             | 2051-05-25      | Variable      | 5.71%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2011-30, Class LS                                                            | CUSIP: 31397SMD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    148757 | PA      | $11394.99     | 0.00%             | 2041-04-25      | Variable      | 1.96%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2011-39, Class ZA                                                            | CUSIP: 31397SVY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    388363 | PA      | $406577.85    | 0.01%             | 2032-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3451, Class SA                                                              | CUSIP: 31397TP89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7328 | PA      | $531.63       | 0.00%             | 2038-05-15      | Floating      | 2.28%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3461, Class LZ                                                              | CUSIP: 31397TXJ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     49159 | PA      | $52450.04     | 0.00%             | 2038-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2011-47, Class ZA                                                            | CUSIP: 31397UEP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    163452 | PA      | $169862.28    | 0.00%             | 2038-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2011-58, Class WA                                                            | CUSIP: 31397UZD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    326813 | PA      | $326527.36    | 0.00%             | 2051-07-25      | Variable      | 5.51%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3481, Class SJ                                                              | CUSIP: 31397Y4R9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    124414 | PA      | $12341.82     | 0.00%             | 2038-08-15      | Floating      | 2.08%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3511, Class SA                                                              | CUSIP: 31397YVF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     32150 | PA      | $2719.28      | 0.00%             | 2039-02-15      | Floating      | 2.23%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3537, Class MI                                                              | CUSIP: 31398CR83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    138134 | PA      | $15075.10     | 0.00%             | 2038-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3531, Class SA                                                              | CUSIP: 31398CVT2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    119050 | PA      | $10877.41     | 0.00%             | 2039-05-15      | Floating      | 2.53%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3546, Class A                                                               | CUSIP: 31398E3W2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17704 | PA      | $18019.42     | 0.00%             | 2039-02-15      | Variable      | 6.07%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3549, Class FA                                                              | CUSIP: 31398EP99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8249 | PA      | $8444.09      | 0.00%             | 2039-07-15      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2009-99, Class SC                                                            | CUSIP: 31398F4S7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29072 | PA      | $2305.46      | 0.00%             | 2039-12-25      | Floating      | 2.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2009-99, Class WA                                                            | CUSIP: 31398F4W8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     90451 | PA      | $92638.02     | 0.00%             | 2039-12-25      | Variable      | 6.33%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC Trust, Whole Loan, Series 2009-W1, Class A                                           | CUSIP: 31398F7A3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    168869 | PA      | $176553.64    | 0.00%             | 2049-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2009-84, Class WS                                                            | CUSIP: 31398FHB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     38090 | PA      | $3195.08      | 0.00%             | 2039-10-25      | Floating      | 2.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2009-79, Class UA                                                            | CUSIP: 31398FPB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6186 | PA      | $6389.57      | 0.00%             | 2038-03-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2009-86, Class OT                                                            | CUSIP: 31398FRT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    172158 | PA      | $149764.76    | 0.00%             | 2037-10-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2009-86, Class IP                                                            | CUSIP: 31398FTC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     75593 | PA      | $12288.21     | 0.00%             | 2039-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2009-92, Class AD                                                            | CUSIP: 31398FVM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5804 | PA      | $5800.20      | 0.00%             | 2039-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2009-103, Class MB                                                           | CUSIP: 31398GJB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    212101 | PA      | $213694.23    | 0.00%             | 2039-12-25      | Floating      | 6.55%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2009-112, Class ST                                                           | CUSIP: 31398GKH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     91457 | PA      | $9811.62      | 0.00%             | 2040-01-25      | Floating      | 2.47%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2010-1, Class WA                                                             | CUSIP: 31398GL23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    200418 | PA      | $204009.67    | 0.00%             | 2040-02-25      | Variable      | 6.27%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2009-113, Class FB                                                           | CUSIP: 31398GWG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     95203 | PA      | $95256.20     | 0.00%             | 2040-01-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3572, Class JS                                                              | CUSIP: 31398JSS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     48544 | PA      | $2450.12      | 0.00%             | 2039-09-15      | Floating      | 3.03%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3604                                                                        | CUSIP: 31398KQQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     52766 | PA      | $45357.10     | 0.00%             | 2036-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3607, Class AO                                                              | CUSIP: 31398LQK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     53327 | PA      | $46543.67     | 0.00%             | 2036-04-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3607, Class BO                                                              | CUSIP: 31398LQM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     53327 | PA      | $47445.22     | 0.00%             | 2036-04-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3607                                                                        | CUSIP: 31398LQT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    141775 | PA      | $119880.63    | 0.00%             | 2037-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3611                                                                        | CUSIP: 31398LSE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     59658 | PA      | $53809.82     | 0.00%             | 2034-07-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3623, Class LO                                                              | CUSIP: 31398LYU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     83572 | PA      | $70815.13     | 0.00%             | 2040-01-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3621, Class BO                                                              | CUSIP: 31398LZP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     72941 | PA      | $64497.60     | 0.00%             | 2040-01-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2010-16, Class WA                                                            | CUSIP: 31398MRP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    145713 | PA      | $149198.24    | 0.00%             | 2040-03-25      | Variable      | 6.44%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2010-16, Class WB                                                            | CUSIP: 31398MRV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    482223 | PA      | $490615.86    | 0.01%             | 2040-03-25      | Variable      | 6.09%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2010-23, Class KS                                                            | CUSIP: 31398MZR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     48437 | PA      | $4010.73      | 0.00%             | 2040-02-25      | Floating      | 3.32%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2010-123, Class FL                                                           | CUSIP: 31398N2W3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25502 | PA      | $25408.48     | 0.00%             | 2040-11-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2010-130, Class CY                                                           | CUSIP: 31398N3Q5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1177830 | PA      | $1194455.71   | 0.02%             | 2040-11-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2010-111, Class AM                                                           | CUSIP: 31398NXS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    303896 | PA      | $319485.93    | 0.00%             | 2040-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2010-49, Class SC                                                            | CUSIP: 31398P5R6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     95923 | PA      | $97211.97     | 0.00%             | 2040-03-25      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2010-35, Class SB                                                            | CUSIP: 31398PKD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     66496 | PA      | $4555.69      | 0.00%             | 2040-04-25      | Floating      | 2.64%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2010-40, Class FJ                                                            | CUSIP: 31398PQB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7360 | PA      | $7362.12      | 0.00%             | 2040-04-25      | Floating      | 4.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2010-42, Class S                                                             | CUSIP: 31398PSE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30688 | PA      | $2650.82      | 0.00%             | 2040-05-25      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2010-39, Class OT                                                            | CUSIP: 31398PU23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     44622 | PA      | $39606.69     | 0.00%             | 2035-10-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3747, Class CY                                                              | CUSIP: 31398QSW8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1148692 | PA      | $1172312.03   | 0.02%             | 2040-10-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3747, Class PY                                                              | CUSIP: 31398QUH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    722596 | PA      | $722318.26    | 0.01%             | 2040-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2010-43, Class FD                                                            | CUSIP: 31398RCX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    100565 | PA      | $100689.15    | 0.00%             | 2040-05-25      | Floating      | 4.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2010-61, Class WA                                                            | CUSIP: 31398RPZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     63997 | PA      | $65170.77     | 0.00%             | 2040-06-25      | Variable      | 6.06%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2010-125, Class SA                                                           | CUSIP: 31398SES8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    234425 | PA      | $11588.95     | 0.00%             | 2040-11-25      | Floating      | 0.66%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2010-68, Class SA                                                            | CUSIP: 31398TGV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    227920 | PA      | $13658.54     | 0.00%             | 2040-07-25      | Floating      | 1.22%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2010-103, Class ME                                                           | CUSIP: 31398TX63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    266869 | PA      | $265287.59    | 0.00%             | 2040-09-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2010-103, Class SB                                                           | CUSIP: 31398TY62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    332300 | PA      | $30832.63     | 0.00%             | 2049-11-25      | Floating      | 2.32%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3621                                                                        | CUSIP: 31398W2B9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    104124 | PA      | $88113.58     | 0.00%             | 2040-01-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3632, Class BS                                                              | CUSIP: 31398WRF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    228874 | PA      | $232922.98    | 0.00%             | 2040-02-15      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31400AXF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     96867 | PA      | $99822.02     | 0.00%             | 2032-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31400JA25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6176 | PA      | $6328.83      | 0.00%             | 2033-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31400KQ66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       975 | PA      | $982.38       | 0.00%             | 2027-03-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31400RRY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     51268 | PA      | $52408.64     | 0.00%             | 2033-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31400RV24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1370 | PA      | $1380.56      | 0.00%             | 2027-06-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31400RXM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2175 | PA      | $2229.35      | 0.00%             | 2033-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31401A3J4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     61199 | PA      | $63131.40     | 0.00%             | 2033-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31402BEZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18185 | PA      | $18360.92     | 0.00%             | 2033-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31402CPA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    104156 | PA      | $107089.12    | 0.00%             | 2033-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31402HGD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42638 | PA      | $43024.43     | 0.00%             | 2033-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31402HJY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11926 | PA      | $12221.01     | 0.00%             | 2033-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                             | CUSIP: 31402Q4R9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17393 | PA      | $17811.04     | 0.00%             | 2034-08-01      | Variable      | 6.14%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                             | CUSIP: 31402REL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     56372 | PA      | $57982.06     | 0.00%             | 2035-04-01      | Variable      | 6.08%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                             | CUSIP: 31402RHZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11231 | PA      | $11529.02     | 0.00%             | 2034-02-01      | Variable      | 6.24%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                             | CUSIP: 31402RLV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22617 | PA      | $23075.80     | 0.00%             | 2034-10-01      | Variable      | 6.59%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31402TVS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16193 | PA      | $16614.04     | 0.00%             | 2033-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                             | CUSIP: 31403BBP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     46125 | PA      | $46876.60     | 0.00%             | 2033-11-01      | Variable      | 5.92%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31403C6S5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14918 | PA      | $15760.65     | 0.00%             | 2036-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                             | CUSIP: 31403DQT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12709 | PA      | $12952.49     | 0.00%             | 2035-06-01      | Variable      | 6.04%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                             | CUSIP: 31403DTT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28327 | PA      | $29095.24     | 0.00%             | 2035-04-01      | Variable      | 6.29%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                             | CUSIP: 31403EDC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17774 | PA      | $18400.58     | 0.00%             | 2033-09-01      | Variable      | 6.64%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                             | CUSIP: 31403K4Q3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25176 | PA      | $25879.46     | 0.00%             | 2034-05-01      | Variable      | 6.21%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31403KJW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11648 | PA      | $11757.71     | 0.00%             | 2033-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31403KRB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22524 | PA      | $22977.04     | 0.00%             | 2034-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31403KWA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7880 | PA      | $8006.01      | 0.00%             | 2034-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, 30 Year                                                                                    | CUSIP: 31403MJ75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14508 | PA      | $14754.50     | 0.00%             | 2033-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31403NKH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8687 | PA      | $8496.94      | 0.00%             | 2033-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 31403QVP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17610 | PA      | $17721.35     | 0.00%             | 2033-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31403R2E7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14470 | PA      | $14786.84     | 0.00%             | 2028-11-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31403VVR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31489 | PA      | $32088.08     | 0.00%             | 2034-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 31404ADZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     76589 | PA      | $75843.57     | 0.00%             | 2033-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                             | CUSIP: 31404EVB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5647 | PA      | $5768.67      | 0.00%             | 2034-01-01      | Variable      | 5.91%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31404FQ71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10657 | PA      | $10827.14     | 0.00%             | 2034-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                             | CUSIP: 31404J2J3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9578 | PA      | $9755.38      | 0.00%             | 2034-04-01      | Variable      | 6.29%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31404R3K1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4927 | PA      | $4885.63      | 0.00%             | 2029-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31404RW29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     89606 | PA      | $88500.01     | 0.00%             | 2034-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                             | CUSIP: 31404UKV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8403 | PA      | $8511.09      | 0.00%             | 2034-06-01      | Variable      | 6.20%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31405FTF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4413 | PA      | $4522.19      | 0.00%             | 2032-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                             | CUSIP: 31405JWZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10151 | PA      | $10425.30     | 0.00%             | 2034-09-01      | Variable      | 6.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                             | CUSIP: 31405N7J8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21468 | PA      | $22007.98     | 0.00%             | 2034-10-01      | Variable      | 6.02%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                             | CUSIP: 31405VG76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     91287 | PA      | $92123.21     | 0.00%             | 2034-08-01      | Variable      | 5.31%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                             | CUSIP: 31405YX48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20948 | PA      | $21356.61     | 0.00%             | 2034-10-01      | Variable      | 6.05%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                             | CUSIP: 31405YXX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15002 | PA      | $15354.39     | 0.00%             | 2034-10-01      | Variable      | 6.09%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                             | CUSIP: 31406H3D7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    127826 | PA      | $132749.43    | 0.00%             | 2035-01-01      | Variable      | 5.87%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                             | CUSIP: 31406QGB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5665 | PA      | $5796.26      | 0.00%             | 2035-02-01      | Variable      | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31406UL48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20613 | PA      | $21230.34     | 0.00%             | 2035-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                             | CUSIP: 31406VJY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4069 | PA      | $4158.50      | 0.00%             | 2035-05-01      | Variable      | 6.73%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                             | CUSIP: 31406VQ74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28535 | PA      | $28859.51     | 0.00%             | 2035-05-01      | Variable      | 6.04%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                             | CUSIP: 31406YB58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20493 | PA      | $21017.24     | 0.00%             | 2035-05-01      | Variable      | 6.59%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                             | CUSIP: 31407KGJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1960 | PA      | $2012.86      | 0.00%             | 2035-09-01      | Variable      | 6.46%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31407LE60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5192 | PA      | $5324.24      | 0.00%             | 2036-08-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31407LEA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15337 | PA      | $16069.46     | 0.00%             | 2036-03-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 31408CDM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     43238 | PA      | $44559.70     | 0.00%             | 2035-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                             | CUSIP: 31408EQC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17146 | PA      | $17534.81     | 0.00%             | 2036-01-01      | Variable      | 5.92%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                             | CUSIP: 31409JVS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12843 | PA      | $13226.29     | 0.00%             | 2036-06-01      | Variable      | 6.42%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31409TVS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25640 | PA      | $27088.51     | 0.00%             | 2036-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 31409XPM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5964 | PA      | $6024.44      | 0.00%             | 2036-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140AEL31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  14724234 | PA      | $14921227.91  | 0.23%             | 2054-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140AELH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9685634 | PA      | $9737645.77   | 0.15%             | 2054-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140E07B5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    309055 | PA      | $306560.55    | 0.00%             | 2045-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140E6S94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1460308 | PA      | $1444571.79   | 0.02%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140EVJB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    256180 | PA      | $246661.69    | 0.00%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140EVL70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    152818 | PA      | $146610.94    | 0.00%             | 2046-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140F2XL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1006226 | PA      | $995901.78    | 0.02%             | 2046-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140F4KN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    319967 | PA      | $308056.81    | 0.00%             | 2046-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140F5P31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    142748 | PA      | $137760.91    | 0.00%             | 2046-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140F7KM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    211077 | PA      | $203478.11    | 0.00%             | 2046-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140F8LZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    344743 | PA      | $331224.70    | 0.01%             | 2046-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140FAMQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    496153 | PA      | $477200.65    | 0.01%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140FANE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    197564 | PA      | $189538.91    | 0.00%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140FCZN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1102019 | PA      | $1058992.39   | 0.02%             | 2046-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140FFTW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    636850 | PA      | $613346.74    | 0.01%             | 2046-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140FHCW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    999227 | PA      | $1005697.38   | 0.02%             | 2048-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140FRQY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1410918 | PA      | $1367117.91   | 0.02%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140FUH50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    410203 | PA      | $405167.36    | 0.01%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140FX3L4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  14594552 | PA      | $12438223.71  | 0.19%             | 2064-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140FX3N0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6037553 | PA      | $5403656.29   | 0.08%             | 2064-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140FX3T7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3108555 | PA      | $3012070.56   | 0.05%             | 2064-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140FXD74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8597225 | PA      | $8248328.89   | 0.12%             | 2056-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140FXEP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6301448 | PA      | $6531248.78   | 0.10%             | 2056-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140FXHG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5449211 | PA      | $5710811.01   | 0.09%             | 2058-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140FXJR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5844188 | PA      | $6034756.37   | 0.09%             | 2058-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140FXKN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  14125210 | PA      | $13840163.47  | 0.21%             | 2058-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140FXLW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5692642 | PA      | $5778139.70   | 0.09%             | 2059-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140FXQS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4029469 | PA      | $3769565.55   | 0.06%             | 2060-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140FXR53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2426627 | PA      | $2183989.28   | 0.03%             | 2060-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140FXRM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12055270 | PA      | $11576035.64  | 0.17%             | 2054-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140FXTP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5558429 | PA      | $4861693.00   | 0.07%             | 2055-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140FXTS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8384046 | PA      | $7083115.80   | 0.11%             | 2061-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140FXTU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6948261 | PA      | $6438949.32   | 0.10%             | 2061-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140FXU67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3174324 | PA      | $2941637.02   | 0.04%             | 2062-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140FXUB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4026191 | PA      | $3461332.32   | 0.05%             | 2061-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140FXUG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8770726 | PA      | $8598774.15   | 0.13%             | 2061-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140FXUH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3610650 | PA      | $3467277.32   | 0.05%             | 2061-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140FXUL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2616473 | PA      | $2642053.96   | 0.04%             | 2061-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140FXVK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10453146 | PA      | $8831145.66   | 0.13%             | 2062-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140FXWQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6300748 | PA      | $5569022.53   | 0.08%             | 2062-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140FXWR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6315604 | PA      | $5852672.07   | 0.09%             | 2062-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140FXX72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8787307 | PA      | $8143094.27   | 0.12%             | 2062-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140FXXB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  23338011 | PA      | $19716533.49  | 0.30%             | 2062-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140FXXC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11747215 | PA      | $9924288.22   | 0.15%             | 2062-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140FXXY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7288924 | PA      | $6316718.69   | 0.10%             | 2062-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140FXY63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6711532 | PA      | $5719912.53   | 0.09%             | 2063-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140FXY71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13491636 | PA      | $11924709.84  | 0.18%             | 2063-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140FXZ96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8134682 | PA      | $7811639.22   | 0.12%             | 2063-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140GTFF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1885847 | PA      | $1860662.96   | 0.03%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140GWPL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    774723 | PA      | $763898.89    | 0.01%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140GWQR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1761946 | PA      | $1753119.00   | 0.03%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140H26Q6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    443429 | PA      | $446985.50    | 0.01%             | 2047-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140HDK78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1093256 | PA      | $1080474.23   | 0.02%             | 2049-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140HF7F0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    702491 | PA      | $668316.01    | 0.01%             | 2050-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140HLYC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    371823 | PA      | $373605.77    | 0.01%             | 2048-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140HNW73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1160464 | PA      | $1105427.88   | 0.02%             | 2049-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140HPKR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1135840 | PA      | $1142881.82   | 0.02%             | 2048-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140HRQU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2985485 | PA      | $2921690.09   | 0.04%             | 2033-10-01      | Fixed         | 3.69%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140J1CP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  23792091 | PA      | $21341725.10  | 0.32%             | 2030-09-01      | Fixed         | 1.09%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140J73J2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1122150 | PA      | $1125968.36   | 0.02%             | 2047-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140J7L29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1460273 | PA      | $1439869.03   | 0.02%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140J7ZV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    911847 | PA      | $918783.20    | 0.01%             | 2048-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140J96A4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1047888 | PA      | $1047923.19   | 0.02%             | 2042-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140JAA81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1747289 | PA      | $1790437.06   | 0.03%             | 2049-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140JB2H8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3322222 | PA      | $2948718.05   | 0.04%             | 2061-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140JBFG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10498490 | PA      | $8962289.69   | 0.14%             | 2032-10-01      | Variable      | 1.33%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140JBGA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9255966 | PA      | $7986800.12   | 0.12%             | 2032-11-01      | Variable      | 1.51%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140JBH66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  18909850 | PA      | $16335983.73  | 0.25%             | 2033-01-01      | Variable      | 1.57%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140JBKM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5876319 | PA      | $5101725.46   | 0.08%             | 2033-03-01      | Variable      | 1.73%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140JBTP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11852271 | PA      | $10628868.11  | 0.16%             | 2031-12-01      | Variable      | 1.83%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140JBZB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  19078902 | PA      | $16974801.31  | 0.26%             | 2032-03-01      | Variable      | 1.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140JCGN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10719964 | PA      | $10377406.02  | 0.16%             | 2059-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140JJA74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    305570 | PA      | $306608.84    | 0.00%             | 2048-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140JMQN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    269068 | PA      | $274609.14    | 0.00%             | 2048-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140JMSB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1908736 | PA      | $1963161.32   | 0.03%             | 2049-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140JPRJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    257975 | PA      | $258302.70    | 0.00%             | 2049-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140JRPP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    121688 | PA      | $123360.94    | 0.00%             | 2049-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140JUYQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1107379 | PA      | $1141491.80   | 0.02%             | 2049-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140JUYR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    995673 | PA      | $1022709.93   | 0.02%             | 2049-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140JUYS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1182702 | PA      | $1211813.36   | 0.02%             | 2049-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140JUYT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1096152 | PA      | $1128726.37   | 0.02%             | 2049-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140JUYU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     93875 | PA      | $94979.39     | 0.00%             | 2049-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140JWX21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1845246 | PA      | $1899908.33   | 0.03%             | 2049-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140JWX39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1830235 | PA      | $1887509.63   | 0.03%             | 2049-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140JWX47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2256857 | PA      | $2337758.79   | 0.04%             | 2049-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140JWX54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    424257 | PA      | $450030.42    | 0.01%             | 2049-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140JWXZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1950853 | PA      | $2007636.70   | 0.03%             | 2049-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140JXF60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1043811 | PA      | $1034893.92   | 0.02%             | 2049-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140JXYE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    555762 | PA      | $568323.59    | 0.01%             | 2049-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140JXZA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1013635 | PA      | $1025690.99   | 0.02%             | 2049-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140JY2V7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1317357 | PA      | $1303554.92   | 0.02%             | 2049-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140JY3U8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3470414 | PA      | $3164457.63   | 0.05%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140JYEX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1678124 | PA      | $1698944.27   | 0.03%             | 2049-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140JYNR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    771022 | PA      | $759367.98    | 0.01%             | 2049-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140JYXE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2176548 | PA      | $2120217.98   | 0.03%             | 2049-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140JYXF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2723595 | PA      | $2648886.16   | 0.04%             | 2049-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140JYXJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1405721 | PA      | $1409256.02   | 0.02%             | 2049-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140K8HE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    631954 | PA      | $623642.79    | 0.01%             | 2050-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140K8HJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    610130 | PA      | $602354.12    | 0.01%             | 2050-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140K8HT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    261422 | PA      | $257558.52    | 0.00%             | 2050-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140K9BR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1363140 | PA      | $1394910.26   | 0.02%             | 2050-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140KC3E0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2828115 | PA      | $2697600.44   | 0.04%             | 2050-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140KC3L4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1536352 | PA      | $1507714.45   | 0.02%             | 2050-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140KCD82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3594874 | PA      | $3148519.15   | 0.05%             | 2050-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140KDQ86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4128981 | PA      | $3612606.45   | 0.05%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140KEB98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3812075 | PA      | $3480722.77   | 0.05%             | 2050-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140KGHP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3528190 | PA      | $3313207.45   | 0.05%             | 2050-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140KGHQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2754822 | PA      | $2582709.98   | 0.04%             | 2050-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140KHLT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2567712 | PA      | $2538823.91   | 0.04%             | 2050-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140KJBU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1826055 | PA      | $1737736.96   | 0.03%             | 2050-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140KLQV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11815141 | PA      | $10410763.57  | 0.16%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140KLZL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2595745 | PA      | $2353243.49   | 0.04%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140KPSB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1381363 | PA      | $1260431.67   | 0.02%             | 2050-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140KQAS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12535738 | PA      | $10474440.39  | 0.16%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140KRF46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2920333 | PA      | $2658360.23   | 0.04%             | 2050-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140KSXT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7730937 | PA      | $6730781.44   | 0.10%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140KX6G6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    511805 | PA      | $486953.26    | 0.01%             | 2051-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140L2QE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13279508 | PA      | $11168013.70  | 0.17%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LCHM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10000000 | PA      | $9089999.50   | 0.14%             | 2031-06-01      | Fixed         | 1.84%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LCKA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5914399 | PA      | $5207563.26   | 0.08%             | 2033-05-01      | Fixed         | 2.02%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LCUP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  18000000 | PA      | $15434518.86  | 0.23%             | 2033-07-01      | Fixed         | 1.86%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LCVQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12000000 | PA      | $10735509.60  | 0.16%             | 2031-07-01      | Fixed         | 1.67%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LCX22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5000000 | PA      | $4309669.30   | 0.07%             | 2033-09-01      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LDGG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  20203000 | PA      | $17889342.54  | 0.27%             | 2031-09-01      | Fixed         | 1.56%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LDGZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7542121 | PA      | $6840913.25   | 0.10%             | 2031-05-01      | Fixed         | 1.87%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LDHK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9632000 | PA      | $8235689.80   | 0.12%             | 2033-09-01      | Fixed         | 1.82%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LDVH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  23000000 | PA      | $19602186.31  | 0.30%             | 2033-11-01      | Fixed         | 1.82%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LDZK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9125907 | PA      | $7948250.91   | 0.12%             | 2033-10-01      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LE6W2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5412962 | PA      | $4739950.60   | 0.07%             | 2034-01-01      | Fixed         | 2.16%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LEBF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5441826 | PA      | $4893377.84   | 0.07%             | 2031-11-01      | Fixed         | 1.73%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LECK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6000000 | PA      | $5649424.98   | 0.09%             | 2029-06-01      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LEP27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11965000 | PA      | $9908088.59   | 0.15%             | 2036-12-01      | Fixed         | 2.37%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LEPQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9797243 | PA      | $8842199.75   | 0.13%             | 2032-01-01      | Fixed         | 1.96%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LEPZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10000000 | PA      | $8319073.20   | 0.13%             | 2036-12-01      | Fixed         | 2.37%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LES81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7402672 | PA      | $6749723.39   | 0.10%             | 2032-01-01      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LESN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3650619 | PA      | $3303632.07   | 0.05%             | 2032-01-01      | Fixed         | 1.94%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LETV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9141582 | PA      | $8004369.89   | 0.12%             | 2034-01-01      | Fixed         | 2.04%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LEU54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5968047 | PA      | $5426294.66   | 0.08%             | 2032-08-01      | Fixed         | 2.36%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LEXH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6435926 | PA      | $5847436.45   | 0.09%             | 2031-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LEYM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  16418000 | PA      | $14790999.35  | 0.22%             | 2032-01-01      | Fixed         | 1.98%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LF3A0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  22120932 | PA      | $21357914.25  | 0.32%             | 2029-05-01      | Fixed         | 2.53%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LF3Y8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5401000 | PA      | $5023685.60   | 0.08%             | 2034-09-01      | Fixed         | 3.29%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LF6H2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5704887 | PA      | $5487606.91   | 0.08%             | 2031-10-01      | Fixed         | 3.16%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LF6Q2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2418965 | PA      | $2373699.41   | 0.04%             | 2031-04-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LF7B4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11001522 | PA      | $10626286.30  | 0.16%             | 2030-11-01      | Fixed         | 3.03%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LFA38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8500000 | PA      | $7623513.32   | 0.12%             | 2032-01-01      | Fixed         | 1.94%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LFE42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4618992 | PA      | $4276303.83   | 0.06%             | 2032-03-01      | Fixed         | 2.39%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LFEY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3994130 | PA      | $3620389.91   | 0.05%             | 2032-01-01      | Fixed         | 2.02%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LFN59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3700383 | PA      | $3304003.81   | 0.05%             | 2034-04-01      | Fixed         | 2.49%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LFRF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5200000 | PA      | $4687722.99   | 0.07%             | 2034-04-01      | Fixed         | 2.61%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LFSG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4358000 | PA      | $3849947.54   | 0.06%             | 2035-10-01      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LFVY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4643619 | PA      | $4321367.58   | 0.07%             | 2032-04-01      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LFXN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3288000 | PA      | $2956338.78   | 0.04%             | 2034-04-01      | Fixed         | 2.67%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LFXX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8053000 | PA      | $7471362.25   | 0.11%             | 2032-04-01      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LFY57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8400000 | PA      | $7780740.91   | 0.12%             | 2032-05-01      | Fixed         | 2.54%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LFYW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5068750 | PA      | $4817986.47   | 0.07%             | 2030-07-01      | Fixed         | 2.52%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LFZB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8890163 | PA      | $8098632.00   | 0.12%             | 2034-04-01      | Fixed         | 2.86%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LFZZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9873118 | PA      | $9294207.92   | 0.14%             | 2032-04-01      | Fixed         | 2.84%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LG6F4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1749161 | PA      | $1750613.70   | 0.03%             | 2032-08-01      | Fixed         | 4.03%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LGBW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9070000 | PA      | $8611849.90   | 0.13%             | 2032-05-01      | Fixed         | 3.09%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LGHV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3373650 | PA      | $3308540.49   | 0.05%             | 2032-05-01      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LGXV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2184000 | PA      | $2151073.08   | 0.03%             | 2032-07-01      | Fixed         | 3.67%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LH2Y5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6358838 | PA      | $6518867.54   | 0.10%             | 2032-12-01      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LH3D0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3880935 | PA      | $4050479.93   | 0.06%             | 2032-12-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LH6U9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6000000 | PA      | $6360932.34   | 0.10%             | 2032-12-01      | Fixed         | 5.11%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LHA91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7700000 | PA      | $7612933.87   | 0.11%             | 2032-09-01      | Fixed         | 3.76%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LHAB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  21407000 | PA      | $20997674.18  | 0.32%             | 2032-08-01      | Fixed         | 3.67%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LHBD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8058583 | PA      | $7972111.95   | 0.12%             | 2032-09-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LHBH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11722931 | PA      | $11597648.04  | 0.18%             | 2032-09-01      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LHD72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5903944 | PA      | $5876127.99   | 0.09%             | 2032-08-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LHD98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9130000 | PA      | $8838825.40   | 0.13%             | 2034-09-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LHDC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1232556 | PA      | $1226647.43   | 0.02%             | 2032-10-01      | Fixed         | 3.87%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LHFQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6245615 | PA      | $6157572.46   | 0.09%             | 2033-01-01      | Fixed         | 3.82%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LHKA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2096000 | PA      | $2017034.29   | 0.03%             | 2038-04-01      | Fixed         | 4.17%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LHKZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8563362 | PA      | $8466179.51   | 0.13%             | 2032-08-01      | Fixed         | 3.72%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LHQJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2000000 | PA      | $1971524.18   | 0.03%             | 2032-10-01      | Fixed         | 3.89%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LHQT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4238000 | PA      | $4308268.46   | 0.07%             | 2031-11-01      | Fixed         | 4.24%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LHSR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3860045 | PA      | $3918860.32   | 0.06%             | 2030-05-01      | Fixed         | 4.19%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LHSS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4881201 | PA      | $4922314.90   | 0.07%             | 2031-01-01      | Fixed         | 4.07%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LHTF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3810687 | PA      | $3861780.72   | 0.06%             | 2032-11-01      | Fixed         | 4.23%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LHX70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6105000 | PA      | $6244181.61   | 0.09%             | 2032-12-01      | Fixed         | 4.36%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LHXY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2000000 | PA      | $2097014.78   | 0.03%             | 2032-11-01      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LHXZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5080000 | PA      | $5135466.34   | 0.08%             | 2032-11-01      | Fixed         | 4.18%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LHYC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4655000 | PA      | $4855591.35   | 0.07%             | 2032-11-01      | Fixed         | 4.79%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LJ4T0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5571015 | PA      | $5695550.92   | 0.09%             | 2030-11-01      | Fixed         | 4.43%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LJ5N2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8371970 | PA      | $8496519.87   | 0.13%             | 2032-12-01      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LJBR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4000000 | PA      | $4263747.60   | 0.06%             | 2032-08-01      | Fixed         | 5.19%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LJBY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1920457 | PA      | $2058381.56   | 0.03%             | 2036-03-01      | Fixed         | 5.42%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LJC61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2513696 | PA      | $2718151.61   | 0.04%             | 2032-11-01      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LJCD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2380000 | PA      | $2536685.85   | 0.04%             | 2032-12-01      | Fixed         | 5.18%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LJCE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2000000 | PA      | $2106858.46   | 0.03%             | 2031-08-01      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LJDY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1437018 | PA      | $1510663.60   | 0.02%             | 2032-12-01      | Fixed         | 4.94%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LJEW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5952488 | PA      | $6194764.82   | 0.09%             | 2030-02-01      | Fixed         | 5.08%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LJFC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4000000 | PA      | $4187540.56   | 0.06%             | 2031-06-01      | Fixed         | 5.14%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LJFM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1005055 | PA      | $1056370.79   | 0.02%             | 2033-03-01      | Fixed         | 5.02%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LJTG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3994830 | PA      | $4060817.16   | 0.06%             | 2030-12-01      | Fixed         | 4.24%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LJV60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3373000 | PA      | $3476755.57   | 0.05%             | 2034-04-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LJVJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3698000 | PA      | $3746355.16   | 0.06%             | 2034-09-01      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LJXL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3572892 | PA      | $3671235.71   | 0.06%             | 2031-01-01      | Fixed         | 4.56%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LJXN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5355080 | PA      | $5394339.32   | 0.08%             | 2031-05-01      | Fixed         | 4.03%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LK2R3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4095000 | PA      | $4198786.30   | 0.06%             | 2033-07-01      | Fixed         | 4.58%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LK6E8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5050000 | PA      | $5232550.83   | 0.08%             | 2032-10-01      | Fixed         | 4.73%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LKBR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3638593 | PA      | $3750763.61   | 0.06%             | 2033-04-01      | Fixed         | 4.72%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LKBW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1987000 | PA      | $2046482.73   | 0.03%             | 2033-05-01      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LKCV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4868354 | PA      | $5039393.54   | 0.08%             | 2031-09-01      | Fixed         | 4.74%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LKCX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5000000 | PA      | $5039498.45   | 0.08%             | 2033-05-01      | Fixed         | 4.17%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LKD59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4030000 | PA      | $4139381.86   | 0.06%             | 2033-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LKDE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3946804 | PA      | $4082350.60   | 0.06%             | 2031-01-01      | Fixed         | 4.74%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LKDH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3150000 | PA      | $3195141.23   | 0.05%             | 2033-05-01      | Fixed         | 4.24%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LKDJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7296000 | PA      | $7564807.77   | 0.11%             | 2033-06-01      | Fixed         | 4.67%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LKDT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9723048 | PA      | $9836253.91   | 0.15%             | 2033-05-01      | Fixed         | 4.22%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LKE66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6583000 | PA      | $6735101.73   | 0.10%             | 2033-04-01      | Fixed         | 4.53%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LKEL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1703985 | PA      | $1717694.68   | 0.03%             | 2033-05-01      | Fixed         | 4.18%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LKF24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10005000 | PA      | $10231828.66  | 0.15%             | 2033-05-01      | Fixed         | 4.43%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LKF65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4484000 | PA      | $4590702.12   | 0.07%             | 2033-04-01      | Fixed         | 4.39%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LKFW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4500000 | PA      | $4563839.25   | 0.07%             | 2033-06-01      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LKHL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4907518 | PA      | $5076785.36   | 0.08%             | 2033-03-01      | Fixed         | 4.71%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LKHM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2995000 | PA      | $3088637.33   | 0.05%             | 2033-02-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LKJZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6630000 | PA      | $6834661.20   | 0.10%             | 2031-01-01      | Fixed         | 4.66%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LKLG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8965361 | PA      | $9138524.86   | 0.14%             | 2030-09-01      | Fixed         | 4.28%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LKLW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6288899 | PA      | $6346778.89   | 0.10%             | 2034-08-01      | Fixed         | 4.39%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LKMY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2101128 | PA      | $2172279.08   | 0.03%             | 2030-04-01      | Fixed         | 4.84%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LKQV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2499191 | PA      | $2546755.31   | 0.04%             | 2035-05-01      | Fixed         | 4.47%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LKU50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5000000 | PA      | $5134506.10   | 0.08%             | 2033-06-01      | Fixed         | 4.48%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LKUK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5235818 | PA      | $5378675.83   | 0.08%             | 2035-02-01      | Fixed         | 4.72%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LKV26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6150827 | PA      | $6334548.02   | 0.10%             | 2030-11-01      | Fixed         | 4.61%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LLC74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1288540 | PA      | $1349341.59   | 0.02%             | 2030-02-01      | Fixed         | 5.17%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LLGM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2578391 | PA      | $2653446.84   | 0.04%             | 2030-10-01      | Fixed         | 4.64%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LLL90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4102711 | PA      | $4224547.49   | 0.06%             | 2033-09-01      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LLMS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3427000 | PA      | $3597082.49   | 0.05%             | 2031-01-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140LUFQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    752532 | PA      | $664514.63    | 0.01%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140LVMQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  15394772 | PA      | $12785014.63  | 0.19%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140M2TH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3709441 | PA      | $3226074.49   | 0.05%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140M5NA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  17602814 | PA      | $18184909.72  | 0.27%             | 2053-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140MFNE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7466151 | PA      | $6500135.18   | 0.10%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140MG6G1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    971443 | PA      | $887093.41    | 0.01%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140MGSE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9115607 | PA      | $7942581.04   | 0.12%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140MGT35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1229418 | PA      | $1163996.31   | 0.02%             | 2052-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140MGUA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2375202 | PA      | $2255799.75   | 0.03%             | 2052-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140MGUH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6725797 | PA      | $6114258.98   | 0.09%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140MHSX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  19448446 | PA      | $16900450.34  | 0.26%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140MJ5W1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7649303 | PA      | $6666823.98   | 0.10%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140MLRT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1095076 | PA      | $1067944.80   | 0.02%             | 2053-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140MLSB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1297369 | PA      | $1291746.26   | 0.02%             | 2053-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140MMWP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    799018 | PA      | $806686.32    | 0.01%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140MPCA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7279270 | PA      | $6867461.85   | 0.10%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140MST70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    267676 | PA      | $267822.13    | 0.00%             | 2052-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140MURZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1140974 | PA      | $1169293.73   | 0.02%             | 2052-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140MVP36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    956025 | PA      | $973633.32    | 0.01%             | 2052-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140MVP44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1300045 | PA      | $1324304.01   | 0.02%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140MVPA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1359401 | PA      | $1395434.95   | 0.02%             | 2052-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140MVPD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1731006 | PA      | $1776011.50   | 0.03%             | 2052-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140MW5V4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1688020 | PA      | $1660569.83   | 0.03%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140MW7L4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    650319 | PA      | $663256.93    | 0.01%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140MYW65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2571658 | PA      | $2503825.39   | 0.04%             | 2053-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140N15L3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3307522 | PA      | $3338103.98   | 0.05%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140N7DV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1462708 | PA      | $1464037.46   | 0.02%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140N7UJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3548563 | PA      | $3587843.84   | 0.05%             | 2053-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140N8HA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6085303 | PA      | $6254769.28   | 0.09%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140N8YM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2395832 | PA      | $2427755.97   | 0.04%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140NMHN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9152678 | PA      | $9407581.01   | 0.14%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140NMJW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10135854 | PA      | $10191106.46  | 0.15%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140NPYZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7447593 | PA      | $7493082.09   | 0.11%             | 2053-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140NU3K3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3871000 | PA      | $3990834.86   | 0.06%             | 2031-11-01      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140NUPB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5219840 | PA      | $5532953.61   | 0.08%             | 2036-10-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140NUTX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    684000 | PA      | $719426.06    | 0.01%             | 2034-05-01      | Fixed         | 5.04%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140NUZH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4000000 | PA      | $4246882.36   | 0.06%             | 2033-01-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140NV7K7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5436000 | PA      | $5553331.06   | 0.08%             | 2030-01-01      | Fixed         | 4.33%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140NWCE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1547065 | PA      | $1607918.09   | 0.02%             | 2031-06-01      | Fixed         | 4.81%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140NWU45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6634000 | PA      | $7030447.97   | 0.11%             | 2032-01-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140NYPM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3150000 | PA      | $3391685.58   | 0.05%             | 2035-11-01      | Fixed         | 5.33%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140Q0RG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1439000 | PA      | $1465563.67   | 0.02%             | 2035-09-01      | Fixed         | 4.49%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140Q1HY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4472000 | PA      | $4581686.53   | 0.07%             | 2032-11-01      | Fixed         | 4.48%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140Q1KM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5006887 | PA      | $5103631.97   | 0.08%             | 2033-01-01      | Fixed         | 4.47%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, 30 Year                                                                                    | CUSIP: 3140QALL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4064831 | PA      | $4013510.19   | 0.06%             | 2049-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, 30 Year                                                                                    | CUSIP: 3140QBP93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4481862 | PA      | $4298859.75   | 0.06%             | 2049-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140QBZ50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    962688 | PA      | $948935.79    | 0.01%             | 2049-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, 30 Year                                                                                    | CUSIP: 3140QCAW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3452056 | PA      | $3205547.53   | 0.05%             | 2049-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140QCFC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1798281 | PA      | $1710297.26   | 0.03%             | 2048-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140QDLK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4754435 | PA      | $4337996.40   | 0.07%             | 2050-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140QDLM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12168695 | PA      | $11137420.48  | 0.17%             | 2050-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140QEB76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2892117 | PA      | $2560100.57   | 0.04%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140QEEC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4432455 | PA      | $4218783.73   | 0.06%             | 2050-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140QGT49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4189364 | PA      | $3668388.05   | 0.06%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140QGZ42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5001839 | PA      | $4422693.73   | 0.07%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140QKXC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7727439 | PA      | $6787669.48   | 0.10%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140QL2S4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6143353 | PA      | $5582637.99   | 0.08%             | 2051-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140QL6V3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  54411345 | PA      | $47991289.10  | 0.72%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140QM4V3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  16610771 | PA      | $14569898.17  | 0.22%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140QMCQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3566502 | PA      | $3273004.97   | 0.05%             | 2051-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140QMDN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  25397332 | PA      | $22345548.35  | 0.34%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140QN3N0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5847744 | PA      | $5540650.69   | 0.08%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140QNBU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13219635 | PA      | $11554957.12  | 0.17%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140QNFK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  21579704 | PA      | $18948464.72  | 0.29%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140QNLF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8288239 | PA      | $7868603.37   | 0.12%             | 2052-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140QNWX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  16041030 | PA      | $14636187.31  | 0.22%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140QNXG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3310642 | PA      | $3231012.48   | 0.05%             | 2052-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140QPKD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  15819568 | PA      | $14453800.60  | 0.22%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, 30 Year                                                                                    | CUSIP: 3140QPN86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    936338 | PA      | $921463.22    | 0.01%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140QPTS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3267927 | PA      | $3246024.36   | 0.05%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140QQCZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4498632 | PA      | $4468480.48   | 0.07%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140QQD77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3852856 | PA      | $3925943.59   | 0.06%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140QQDN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7684123 | PA      | $7500684.24   | 0.11%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140QQVJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9797862 | PA      | $8894484.55   | 0.13%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140QRRS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4173601 | PA      | $4210393.10   | 0.06%             | 2053-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140W06D2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  16997186 | PA      | $14930079.22  | 0.23%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140W0MA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9597896 | PA      | $8430705.83   | 0.13%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140W12D4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3279258 | PA      | $2893991.74   | 0.04%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140W1WB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  14812673 | PA      | $13515556.48  | 0.20%             | 2052-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140X5YY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1905248 | PA      | $1917574.68   | 0.03%             | 2049-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140X6W31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8220742 | PA      | $7529153.03   | 0.11%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140X7YH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2784762 | PA      | $2553175.84   | 0.04%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140X8XB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5799469 | PA      | $5119049.54   | 0.08%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140X9M44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6065540 | PA      | $5357019.69   | 0.08%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140XBZX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10031511 | PA      | $8849286.39   | 0.13%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140XCCR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  17045382 | PA      | $14857840.87  | 0.22%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140XDGD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10301958 | PA      | $9086369.26   | 0.14%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140XEB78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7922441 | PA      | $7184607.84   | 0.11%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140XF5F4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12644934 | PA      | $11467205.66  | 0.17%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140XF6U0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5769486 | PA      | $5107452.37   | 0.08%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140XFGX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  20960166 | PA      | $19031509.14  | 0.29%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140XFQG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13669241 | PA      | $12466741.65  | 0.19%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140XFRJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4222583 | PA      | $3866751.37   | 0.06%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140XGAT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6760093 | PA      | $6417851.77   | 0.10%             | 2052-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140XGB32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  18863893 | PA      | $17098208.24  | 0.26%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140XHEX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3236820 | PA      | $3160136.03   | 0.05%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140XHZZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4078276 | PA      | $3721143.84   | 0.06%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140XKXN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6462460 | PA      | $5649574.69   | 0.09%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140XL6S2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  19060169 | PA      | $15912058.95  | 0.24%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140XLG69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3877340 | PA      | $3426796.51   | 0.05%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140XMBQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7997458 | PA      | $6987522.81   | 0.11%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140XN4D3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  15525346 | PA      | $13602749.74  | 0.21%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140XNAB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4194682 | PA      | $3827357.71   | 0.06%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140XNAZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  16796022 | PA      | $15945656.32  | 0.24%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140XNRL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8302063 | PA      | $7250015.75   | 0.11%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140XPAE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12373012 | PA      | $11289500.94  | 0.17%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140XPGT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12015834 | PA      | $10147447.31  | 0.15%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140XPZG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8094889 | PA      | $7153311.72   | 0.11%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140XQYD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  14376952 | PA      | $13153514.09  | 0.20%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140XQYS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12913685 | PA      | $11754791.09  | 0.18%             | 2052-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                             | CUSIP: 31410D5T3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17640 | PA      | $18157.11     | 0.00%             | 2036-08-01      | Variable      | 6.34%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 31410F6J9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27180 | PA      | $28944.38     | 0.00%             | 2037-03-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 31410GAH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23518 | PA      | $24080.35     | 0.00%             | 2037-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31410GAS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18096 | PA      | $18767.31     | 0.00%             | 2036-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31410GCM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11946 | PA      | $12382.57     | 0.00%             | 2037-05-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 31410GKK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30806 | PA      | $32463.88     | 0.00%             | 2037-10-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31410GKU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     40067 | PA      | $42580.14     | 0.00%             | 2037-10-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 31410GNM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     74096 | PA      | $76343.22     | 0.00%             | 2037-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31410GVM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15098 | PA      | $15654.83     | 0.00%             | 2029-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31410KUG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26313 | PA      | $27492.44     | 0.00%             | 2038-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31410LQN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    390587 | PA      | $411907.59    | 0.01%             | 2039-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31410LWY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1272383 | PA      | $1342843.65   | 0.02%             | 2048-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                             | CUSIP: 31410N6D5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16013 | PA      | $16464.12     | 0.00%             | 2036-07-01      | Variable      | 6.52%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31410PMR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     51441 | PA      | $54015.36     | 0.00%             | 2036-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                             | CUSIP: 31410QPY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6853 | PA      | $7033.83      | 0.00%             | 2036-10-01      | Variable      | 6.06%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                             | CUSIP: 31410S5Y9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30381 | PA      | $31446.15     | 0.00%             | 2034-10-01      | Variable      | 6.45%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                             | CUSIP: 31410XC46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4989 | PA      | $5176.64      | 0.00%             | 2036-10-01      | Variable      | 6.82%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                             | CUSIP: 31411BAT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       245 | PA      | $253.03       | 0.00%             | 2036-11-01      | Variable      | 6.32%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                             | CUSIP: 31411BE41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7286 | PA      | $7487.21      | 0.00%             | 2036-12-01      | Variable      | 6.01%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31411JEH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    214242 | PA      | $227704.63    | 0.00%             | 2038-09-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                             | CUSIP: 31412BWG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     55305 | PA      | $56698.42     | 0.00%             | 2036-09-01      | Variable      | 6.23%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                             | CUSIP: 31412CBL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    224496 | PA      | $232904.83    | 0.00%             | 2036-03-01      | Variable      | 6.70%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, 30 Year                                                                                    | CUSIP: 31412QDW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    122805 | PA      | $127156.05    | 0.00%             | 2039-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31412TXU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20756 | PA      | $22033.22     | 0.00%             | 2038-10-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                             | CUSIP: 31412X5F7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5707 | PA      | $5886.84      | 0.00%             | 2037-07-01      | Variable      | 6.56%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31413HJP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34406 | PA      | $36372.21     | 0.00%             | 2037-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31413HZB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21723 | PA      | $23282.88     | 0.00%             | 2037-09-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, 30 Year                                                                                    | CUSIP: 31413STL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    219584 | PA      | $227136.94    | 0.00%             | 2037-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31415P6U7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     63098 | PA      | $66400.57     | 0.00%             | 2036-10-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31416B3M8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13796 | PA      | $14608.25     | 0.00%             | 2038-11-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31416CBZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     44988 | PA      | $47136.22     | 0.00%             | 2033-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                             | CUSIP: 31416CK88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17895 | PA      | $18456.72     | 0.00%             | 2037-07-01      | Variable      | 6.55%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31416JAY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     88236 | PA      | $92511.88     | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31416RZH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    187834 | PA      | $185381.93    | 0.00%             | 2033-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 31416XA83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     66092 | PA      | $64128.85     | 0.00%             | 2040-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31416YFK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    127428 | PA      | $134157.87    | 0.00%             | 2038-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 31417FPB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    250138 | PA      | $235681.67    | 0.00%             | 2043-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 20 Year                                                                               | CUSIP: 31417G4Q6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1673666 | PA      | $1654097.36   | 0.02%             | 2033-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31417KPB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     44358 | PA      | $44153.51     | 0.00%             | 2034-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31417WCT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     77960 | PA      | $84039.61     | 0.00%             | 2038-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 20 Year                                                                               | CUSIP: 31417YU47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    201309 | PA      | $199359.88    | 0.00%             | 2030-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 31418AHB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    165755 | PA      | $164464.56    | 0.00%             | 2042-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 31418AJX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    245184 | PA      | $236069.46    | 0.00%             | 2042-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 31418AJY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    489301 | PA      | $485492.66    | 0.01%             | 2042-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 31418AK31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1195398 | PA      | $1150961.27   | 0.02%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 31418AQ35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1338821 | PA      | $1289042.55   | 0.02%             | 2043-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 31418AS33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    373745 | PA      | $359847.64    | 0.01%             | 2043-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 31418AS82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    870834 | PA      | $866204.67    | 0.01%             | 2043-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 31418ATV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    645711 | PA      | $621699.89    | 0.01%             | 2043-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 31418AWN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    447396 | PA      | $421555.38    | 0.01%             | 2043-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 31418AXL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     86372 | PA      | $83160.75     | 0.00%             | 2043-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 31418B5U6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2801117 | PA      | $2696883.88   | 0.04%             | 2046-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 31418BV45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    546076 | PA      | $525751.61    | 0.01%             | 2045-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 31418BXX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    103560 | PA      | $99706.85     | 0.00%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 31418BZK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    149641 | PA      | $144072.66    | 0.00%             | 2046-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31418D3Z3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12699577 | PA      | $11536529.93  | 0.17%             | 2051-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31418D6C1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7227285 | PA      | $6310316.55   | 0.10%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31418DRS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  41922948 | PA      | $36708829.66  | 0.55%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 20 Year                                                                               | CUSIP: 31418EAA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6155221 | PA      | $5289350.51   | 0.08%             | 2041-12-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31418EBS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8330273 | PA      | $7265559.08   | 0.11%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31418M2N1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    244328 | PA      | $264809.82    | 0.00%             | 2039-04-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 31418M3U4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        78 | PA      | $77.14        | 0.00%             | 2039-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                             | CUSIP: 31418MCX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11805 | PA      | $11967.27     | 0.00%             | 2037-11-01      | Variable      | 5.74%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                             | CUSIP: 31418MFV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5305 | PA      | $5489.39      | 0.00%             | 2037-12-01      | Variable      | 5.78%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31418MZT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    109164 | PA      | $116888.65    | 0.00%             | 2039-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31418SQD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    915260 | PA      | $942515.49    | 0.01%             | 2040-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31418UCP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31489 | PA      | $32766.33     | 0.00%             | 2040-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 31418WQA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    108181 | PA      | $108993.90    | 0.00%             | 2033-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 20 Year                                                                               | CUSIP: 31419ABT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7109 | PA      | $7285.32      | 0.00%             | 2029-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 31427MJK8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  14312388 | PA      | $12975366.05  | 0.20%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 31427MSR3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  20000997 | PA      | $17568667.58  | 0.27%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 31427NUB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  21823474 | PA      | $22217209.18  | 0.34%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 3142GR5S5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5335735 | PA      | $5292823.99   | 0.08%             | 2054-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 3142GTTD8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  18570807 | PA      | $18862619.77  | 0.28%             | 2055-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FIGRE Trust                                                          | FIGRE Trust, Series 2025-HE5, Class B                                                            | CUSIP: 31684MAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1769570 | PA      | $1798467.86   | 0.03%             | 2055-08-25      | Variable      | 5.48%                 | Yes           |                  2 | On Loan: No      |
| FIGRE Trust                                                          | FIGRE Trust, Series 2025-HE7, Class A                                                            | CUSIP: 31684RAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4144674 | PA      | $4184144.69   | 0.06%             | 2055-11-25      | Variable      | 5.15%                 | Yes           |                  2 | On Loan: No      |
| First Horizon Alternative Mortgage Securities Trust                  | First Horizon Alternative Mortgage Securities Trust, Series 2004-AA4, Class A1                   | CUSIP: 32051GAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     50774 | PA      | $50116.31     | 0.00%             | 2034-10-25      | Variable      | 5.05%                 | No            |                  2 | On Loan: No      |
| First Horizon Alternative Mortgage Securities Trust                  | First Horizon Alternative Mortgage Securities Trust, Series 2005-FA8, Class 1A19                 | CUSIP: 32051GYZ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    122412 | PA      | $53011.26     | 0.00%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| First Horizon Alternative Mortgage Securities Trust                  | First Horizon Alternative Mortgage Securities Trust, Series 2007-FA4, Class 1A2                  | CUSIP: 32052WAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2365210 | PA      | $217791.11    | 0.00%             | 2037-08-25      | Floating      | 1.86%                 | No            |                  2 | On Loan: No      |
| FirstKey Homes Trust                                                 | FirstKey Homes Trust, Series 2021-SFR2, Class C                                                  | CUSIP: 33767TAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4000000 | PA      | $3934277.60   | 0.06%             | 2038-09-17      | Fixed         | 1.71%                 | Yes           |                  2 | On Loan: No      |
| FirstKey Homes Trust                                                 | FirstKey Homes Trust, Series 2021-SFR1, Class E1                                                 | CUSIP: 33767WAJ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11450000 | PA      | $11298055.07  | 0.17%             | 2038-08-17      | Fixed         | 2.39%                 | Yes           |                  2 | On Loan: No      |
| FirstKey Homes Trust                                                 | FirstKey Homes Trust, Series 2021-SFR1, Class E2                                                 | CUSIP: 33767WAL7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6100000 | PA      | $6020239.45   | 0.09%             | 2038-08-17      | Fixed         | 2.49%                 | Yes           |                  2 | On Loan: No      |
| FirstKey Homes Trust                                                 | FirstKey Homes Trust, Series 2022-SFR1, Class E1                                                 | CUSIP: 33768NAJ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11712000 | PA      | $11624126.04  | 0.18%             | 2039-05-19      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| FirstKey Homes Trust                                                 | FirstKey Homes Trust, Series 2022-SFR1, Class E2                                                 | CUSIP: 33768NAL6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5235000 | PA      | $5178376.15   | 0.08%             | 2039-05-19      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC MSCR Trust, Series 2021-MN1, Class M1                                                      | CUSIP: 35563FAA9<br>LEI: 549300XWC4JMK6CH6K84 | Long             | ABS-MBS          | USGSE             | US        |   1618829 | PA      | $1615543.69   | 0.02%             | 2051-01-25      | Floating      | 5.67%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust                            | FHLMC Seasoned Credit Risk Transfer Trust, Series 2021-3, Class MBU                              | CUSIP: 35563P5A3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2048137 | PA      | $1404342.92   | 0.02%             | 2061-03-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust                            | FHLMC Seasoned Credit Risk Transfer Trust, Series 2022-1, Class MTU                              | CUSIP: 35563P7E3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   7494707 | PA      | $6671468.09   | 0.10%             | 2061-11-25      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust                            | FHLMC Seasoned Credit Risk Transfer Trust, Series 2022-1, Class MBU                              | CUSIP: 35563P7G8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  10135768 | PA      | $7674004.02   | 0.12%             | 2061-11-25      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust                            | FHLMC Seasoned Credit Risk Transfer Trust, Series 2017-4, Class MT                               | CUSIP: 35563PCM9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2028812 | PA      | $1895215.08   | 0.03%             | 2057-06-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust                            | FHLMC Seasoned Credit Risk Transfer Trust, Series 2017-4, Class M60C                             | CUSIP: 35563PDB2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  13114457 | PA      | $12385865.03  | 0.19%             | 2057-06-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust                            | FHLMC Seasoned Credit Risk Transfer Trust, Series 2018-1, Class M60C                             | CUSIP: 35563PEL9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   9713793 | PA      | $9184925.37   | 0.14%             | 2057-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust                            | FHLMC Seasoned Credit Risk Transfer Trust, Series 2018-2, Class M55D                             | CUSIP: 35563PFP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   8048350 | PA      | $7714575.60   | 0.12%             | 2057-11-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust                            | FHLMC Seasoned Credit Risk Transfer Trust, Series 2018-3, Class MA                               | CUSIP: 35563PGG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  11633173 | PA      | $11483196.58  | 0.17%             | 2057-08-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust                            | FHLMC Seasoned Credit Risk Transfer Trust, Series 2018-3, Class M55D                             | CUSIP: 35563PGL7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   6603692 | PA      | $6298665.12   | 0.10%             | 2057-08-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust                            | FHLMC Seasoned Credit Risk Transfer Trust, Series 2019-1, Class MT                               | CUSIP: 35563PJE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2087805 | PA      | $1927887.94   | 0.03%             | 2058-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust                            | FHLMC Seasoned Credit Risk Transfer Trust, Series 2019-1, Class M55D                             | CUSIP: 35563PJK6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2338318 | PA      | $2256765.64   | 0.03%             | 2058-07-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust                            | FHLMC Seasoned Credit Risk Transfer Trust, Series 2023-1, Class MT                               | CUSIP: 35563PK73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  12849846 | PA      | $11108165.27  | 0.17%             | 2062-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust                            | FHLMC Seasoned Credit Risk Transfer Trust, Series 2019-3, Class M55D                             | CUSIP: 35563PLQ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4954552 | PA      | $4742568.60   | 0.07%             | 2058-10-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust                            | FHLMC Seasoned Credit Risk Transfer Trust, Series 2019-4, Class M55D                             | CUSIP: 35563PMT3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1860943 | PA      | $1774682.26   | 0.03%             | 2059-02-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust                            | FHLMC Seasoned Credit Risk Transfer Trust, Series 2020-1, Class MT                               | CUSIP: 35563PNN5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3389743 | PA      | $2919179.04   | 0.04%             | 2059-08-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust                            | FHLMC Seasoned Credit Risk Transfer Trust, Series 2020-1, Class M55G                             | CUSIP: 35563PPE3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3153619 | PA      | $2889714.75   | 0.04%             | 2059-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust                            | FHLMC Seasoned Credit Risk Transfer Trust, Series 2020-2, Class MB                               | CUSIP: 35563PQQ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3836422 | PA      | $2759366.29   | 0.04%             | 2059-11-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust                            | FHLMC Seasoned Credit Risk Transfer Trust, Series 2024-1, Class MT                               | CUSIP: 35563PR43<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  11987206 | PA      | $10423182.32  | 0.16%             | 2063-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust                            | FHLMC Seasoned Credit Risk Transfer Trust, Series 2020-3, Class MTU                              | CUSIP: 35563PSE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  10774665 | PA      | $9262409.86   | 0.14%             | 2060-05-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust                            | FHLMC Seasoned Credit Risk Transfer Trust, Series 2020-3, Class M5TW                             | CUSIP: 35563PTN9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4935026 | PA      | $4484153.25   | 0.07%             | 2060-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Seasoned Credit Risk Transfer Trust, Series 2024-2, Class MT                               | CUSIP: 35563PX46<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  10593849 | PA      | $9646003.31   | 0.15%             | 2064-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Seasoned Credit Risk Transfer Trust                                  | Seasoned Credit Risk Transfer Trust, Series 2025-2, Class MTU                                    | CUSIP: 35563VAY2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   8188990 | PA      | $7135040.76   | 0.11%             | 2065-06-25      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Seasoned Credit Risk Transfer Trust                                  | Seasoned Credit Risk Transfer Trust, Series 2025-2, Class TTW                                    | CUSIP: 35563VCB0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   9273089 | PA      | $9184113.68   | 0.14%             | 2065-06-25      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, Series 2025-MN11, Class M1                                                                | CUSIP: 35563YAA8<br>LEI: 529900E2V0BG2KXC9E18 | Long             | ABS-MBS          | USGSE             | US        |   3211507 | PA      | $3210755.70   | 0.05%             | 2045-07-25      | Floating      | 5.32%                 | Yes           |                  2 | On Loan: No      |
| Seasoned Loans Structured Transaction Trust                          | Seasoned Loans Structured Transaction Trust, Series 2025-2, Class A1                             | CUSIP: 35564C2J5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  17898786 | PA      | $17053159.90  | 0.26%             | 2035-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                 | FREMF Mortgage Trust, Series 2017-K66, Class B                                                   | CUSIP: 35708QAU7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1000000 | PA      | $995190.10    | 0.02%             | 2027-07-25      | Variable      | 4.04%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                 | FREMF Mortgage Trust, Series 2017-K71, Class B                                                   | CUSIP: 35708WAS9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1240000 | PA      | $1224282.50   | 0.02%             | 2050-11-25      | Variable      | 3.75%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                 | FREMF Mortgage Trust, Series 2018-K73, Class B                                                   | CUSIP: 35708YAS5<br>LEI: 549300KQ08QVSM4XK212 | Long             | ABS-MBS          | USGSE             | US        |   1150000 | PA      | $1138386.50   | 0.02%             | 2051-02-25      | Variable      | 3.85%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 36176DDG5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    260549 | PA      | $256197.78    | 0.00%             | 2041-02-15      | Fixed         | 3.49%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 36176DEY5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1043498 | PA      | $1026601.76   | 0.02%             | 2041-03-15      | Fixed         | 3.49%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 36176DMA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    590305 | PA      | $579360.94    | 0.01%             | 2041-03-15      | Fixed         | 3.49%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 36176DMB6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    176387 | PA      | $172287.35    | 0.00%             | 2041-03-15      | Fixed         | 2.99%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 36176DMW0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     90434 | PA      | $88772.28     | 0.00%             | 2041-03-15      | Fixed         | 3.49%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 36176DPE7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    123460 | PA      | $120688.68    | 0.00%             | 2041-04-15      | Fixed         | 3.49%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 36176DS53<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    103054 | PA      | $101420.06    | 0.00%             | 2041-04-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 36176DUD3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     55620 | PA      | $54409.05     | 0.00%             | 2041-04-15      | Fixed         | 3.49%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 36176DV83<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     86355 | PA      | $85228.96     | 0.00%             | 2041-03-15      | Fixed         | 2.99%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 36176DZ71<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     49578 | PA      | $48617.95     | 0.00%             | 2041-05-15      | Fixed         | 3.49%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 36176NBX8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    293806 | PA      | $292239.66    | 0.00%             | 2041-06-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 36176NFW6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    100987 | PA      | $99541.78     | 0.00%             | 2041-05-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 36176NGS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    227619 | PA      | $224499.75    | 0.00%             | 2041-06-15      | Fixed         | 2.99%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36179CKF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    470462 | PA      | $476316.44    | 0.01%             | 2049-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36179CKG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1778642 | PA      | $1845012.30   | 0.03%             | 2049-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, Other                                                                                   | CUSIP: 36179UZJ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    331100 | PA      | $307148.83    | 0.00%             | 2049-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36179VMJ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     64230 | PA      | $66439.81     | 0.00%             | 2050-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36179X2E5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  18097217 | PA      | $15998284.97  | 0.24%             | 2053-05-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36179XBR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7195389 | PA      | $6611669.88   | 0.10%             | 2052-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36179XFC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  12701971 | PA      | $10789372.99  | 0.16%             | 2052-09-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36179XHT6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2072293 | PA      | $1758036.78   | 0.03%             | 2052-10-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36179XHU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  11750531 | PA      | $10385641.75  | 0.16%             | 2052-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36179XHX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  19284600 | PA      | $18755655.33  | 0.28%             | 2052-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36179XLB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2746346 | PA      | $2330466.05   | 0.04%             | 2052-11-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36179XLC8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10453339 | PA      | $9243172.81   | 0.14%             | 2052-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36179XQQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1924809 | PA      | $1642285.47   | 0.02%             | 2053-01-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36179XQR0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  39287929 | PA      | $34726846.17  | 0.52%             | 2053-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36179XVM5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1087779 | PA      | $964245.55    | 0.01%             | 2053-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36179XVN3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  11702205 | PA      | $10774765.12  | 0.16%             | 2053-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36179XXY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1781081 | PA      | $1575967.04   | 0.02%             | 2053-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36179Y2F0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10315705 | PA      | $9515238.30   | 0.14%             | 2054-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36179Y5F7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5336428 | PA      | $4917919.87   | 0.07%             | 2054-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36179YAL8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8680846 | PA      | $7676691.70   | 0.12%             | 2053-07-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36179YDF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7916631 | PA      | $7529108.66   | 0.11%             | 2053-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36179YKL7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3873340 | PA      | $3426333.61   | 0.05%             | 2053-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36179YPC2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3024315 | PA      | $2909159.71   | 0.04%             | 2054-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36179YRC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  11623817 | PA      | $10740347.04  | 0.16%             | 2054-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36179YRD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2439737 | PA      | $2312678.86   | 0.03%             | 2054-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36179YYQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3079991 | PA      | $2725298.27   | 0.04%             | 2054-06-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617B0XY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1970154 | PA      | $1896671.71   | 0.03%             | 2048-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617BFSU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    414288 | PA      | $421753.06    | 0.01%             | 2048-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617BFSV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    484631 | PA      | $487917.12    | 0.01%             | 2048-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617BFTF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    639711 | PA      | $650087.77    | 0.01%             | 2048-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617BJRE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7815780 | PA      | $7548456.40   | 0.11%             | 2047-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617BYFB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10275254 | PA      | $10060135.26  | 0.15%             | 2047-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617F2Y84<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    933891 | PA      | $926529.96    | 0.01%             | 2052-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617F2Y92<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5024255 | PA      | $4969168.61   | 0.08%             | 2052-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 3617FDD75<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3928874 | PA      | $4104415.13   | 0.06%             | 2052-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 3617FDDB6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4415304 | PA      | $4686913.05   | 0.07%             | 2052-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617FG4Y9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4127738 | PA      | $4155630.89   | 0.06%             | 2052-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617FGLF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4169804 | PA      | $4197979.53   | 0.06%             | 2052-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617G85E9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    313181 | PA      | $321274.41    | 0.00%             | 2048-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617G9JQ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    816786 | PA      | $826852.51    | 0.01%             | 2048-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617G9K67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    794802 | PA      | $807173.90    | 0.01%             | 2048-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617GRB59<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1754590 | PA      | $1810018.93   | 0.03%             | 2048-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617GSF61<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    856645 | PA      | $869949.84    | 0.01%             | 2048-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617GSF87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    645351 | PA      | $660206.91    | 0.01%             | 2048-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617GSGE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    737383 | PA      | $738449.02    | 0.01%             | 2048-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617H0PS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1677990 | PA      | $1695159.77   | 0.03%             | 2048-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617HAA72<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1303430 | PA      | $1338985.22   | 0.02%             | 2049-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617HD6Z9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    676113 | PA      | $673490.94    | 0.01%             | 2048-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617HGEC4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1029888 | PA      | $1035341.48   | 0.02%             | 2048-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 3617HGFH2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2022929 | PA      | $2041323.30   | 0.03%             | 2048-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617HGMS0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    933252 | PA      | $941366.16    | 0.01%             | 2048-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617HNPT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1575044 | PA      | $1591005.76   | 0.02%             | 2049-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617HU2Q5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    141217 | PA      | $143094.16    | 0.00%             | 2048-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617HU2R3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    874317 | PA      | $895591.18    | 0.01%             | 2048-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617HX4H7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1837350 | PA      | $1827392.58   | 0.03%             | 2049-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617HX4J3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    797175 | PA      | $792854.25    | 0.01%             | 2049-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617HX6B8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2274443 | PA      | $2262115.00   | 0.03%             | 2049-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617HXV20<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    415497 | PA      | $420785.55    | 0.01%             | 2049-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617HXVX2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    303990 | PA      | $308778.63    | 0.00%             | 2049-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617HXWA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1001565 | PA      | $1037136.72   | 0.02%             | 2049-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617HXWB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    896258 | PA      | $929636.31    | 0.01%             | 2049-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617J22S1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    331344 | PA      | $339183.31    | 0.01%             | 2048-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617J22T9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    393566 | PA      | $401330.23    | 0.01%             | 2048-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617J76E7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    679598 | PA      | $691952.58    | 0.01%             | 2048-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617J76Z0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    816120 | PA      | $816538.35    | 0.01%             | 2049-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617J77A4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    897409 | PA      | $917281.26    | 0.01%             | 2049-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617J77K2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    692395 | PA      | $685652.41    | 0.01%             | 2049-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617JKQS5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1252945 | PA      | $1288809.90   | 0.02%             | 2049-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617JNM46<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2151980 | PA      | $2071759.74   | 0.03%             | 2050-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617JNMB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1166302 | PA      | $1127192.98   | 0.02%             | 2049-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617JNMV6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    581492 | PA      | $560328.40    | 0.01%             | 2049-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617JNMX2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    134939 | PA      | $137641.12    | 0.00%             | 2049-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 3617JR5K0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1349771 | PA      | $1362044.76   | 0.02%             | 2049-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 3617JSE69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1596522 | PA      | $1611039.76   | 0.02%             | 2049-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 3617JSLW4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1029044 | PA      | $1052823.50   | 0.02%             | 2049-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 3617JSML7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2237621 | PA      | $2292167.16   | 0.03%             | 2049-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 3617JSR24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1414061 | PA      | $1440992.17   | 0.02%             | 2049-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 3617JSRA6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2295419 | PA      | $2307458.94   | 0.03%             | 2049-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617JSSQ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    518458 | PA      | $493741.66    | 0.01%             | 2049-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617JSVK9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1006019 | PA      | $986510.16    | 0.01%             | 2049-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 3617JUU74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1161074 | PA      | $1177889.56   | 0.02%             | 2049-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 3617JUU82<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    665690 | PA      | $673793.93    | 0.01%             | 2049-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 3617JUU90<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2630123 | PA      | $2665331.66   | 0.04%             | 2049-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 3617K1XU2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2186996 | PA      | $2182579.67   | 0.03%             | 2049-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617K1XV0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    496773 | PA      | $492724.91    | 0.01%             | 2049-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617K1YK3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    119417 | PA      | $121238.23    | 0.00%             | 2049-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617K36Q7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    308937 | PA      | $314702.90    | 0.00%             | 2049-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617K36V6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    298017 | PA      | $288334.69    | 0.00%             | 2049-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617K37A1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    207549 | PA      | $206423.63    | 0.00%             | 2049-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617K37B9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    255045 | PA      | $260841.72    | 0.00%             | 2049-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617K37C7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    341833 | PA      | $348213.01    | 0.01%             | 2049-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617K37E3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    366207 | PA      | $373041.43    | 0.01%             | 2049-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617K37H6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1147332 | PA      | $1108091.04   | 0.02%             | 2049-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617K4AG2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    706783 | PA      | $702952.28    | 0.01%             | 2049-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617K4UX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    984612 | PA      | $995566.78    | 0.02%             | 2049-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617K4UY1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1783645 | PA      | $1807257.93   | 0.03%             | 2049-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617K4UZ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    545151 | PA      | $560404.09    | 0.01%             | 2049-06-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617K54L5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1660101 | PA      | $1606388.24   | 0.02%             | 2049-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617K54M3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1739135 | PA      | $1681790.60   | 0.03%             | 2049-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 3617K7QC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2414077 | PA      | $2449041.12   | 0.04%             | 2049-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 3617K7QD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2350070 | PA      | $2378678.72   | 0.04%             | 2049-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 3617K7QE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3462001 | PA      | $3520933.21   | 0.05%             | 2049-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617KAZM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1990357 | PA      | $1979262.60   | 0.03%             | 2049-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617KAZN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2926670 | PA      | $2931573.00   | 0.04%             | 2049-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617KFSJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    312415 | PA      | $304587.44    | 0.00%             | 2049-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, Other                                                                                   | CUSIP: 3617KGQ60<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    648736 | PA      | $634276.88    | 0.01%             | 2040-02-20      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, Other                                                                                   | CUSIP: 3617KGQ78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    890848 | PA      | $880498.47    | 0.01%             | 2041-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617KJQM9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    663883 | PA      | $682858.13    | 0.01%             | 2049-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617KJTN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    564473 | PA      | $579085.88    | 0.01%             | 2049-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617L9E27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    845739 | PA      | $861899.78    | 0.01%             | 2049-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617L9GD1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    907421 | PA      | $906421.65    | 0.01%             | 2049-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LAV66<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    677357 | PA      | $694816.45    | 0.01%             | 2049-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LAV74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    218445 | PA      | $226126.82    | 0.00%             | 2049-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LAV90<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    639519 | PA      | $663742.94    | 0.01%             | 2049-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LAWA6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    810127 | PA      | $842045.74    | 0.01%             | 2049-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LAWB4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    318909 | PA      | $334108.95    | 0.01%             | 2049-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LAXT4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    532771 | PA      | $540867.59    | 0.01%             | 2049-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LAXU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    451124 | PA      | $457980.28    | 0.01%             | 2049-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LAXV9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1406870 | PA      | $1431910.25   | 0.02%             | 2049-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LAXW7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1132951 | PA      | $1155552.47   | 0.02%             | 2049-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LAXX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    640207 | PA      | $659842.66    | 0.01%             | 2049-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LCDV7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    593319 | PA      | $583370.55    | 0.01%             | 2049-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LE4D3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    681535 | PA      | $660524.42    | 0.01%             | 2050-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LE4E1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1453883 | PA      | $1407985.59   | 0.02%             | 2050-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LE4F8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1074600 | PA      | $1034835.05   | 0.02%             | 2050-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LEQV9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5040640 | PA      | $4804222.19   | 0.07%             | 2049-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LET53<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    313339 | PA      | $318956.46    | 0.00%             | 2049-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LEUU6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1514827 | PA      | $1440070.93   | 0.02%             | 2049-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LFS93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1006327 | PA      | $1025555.05   | 0.02%             | 2049-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LFT27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    228447 | PA      | $234173.34    | 0.00%             | 2049-11-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LFT35<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    643871 | PA      | $609895.33    | 0.01%             | 2049-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LFT50<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    547010 | PA      | $529557.83    | 0.01%             | 2049-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LFT68<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    723467 | PA      | $700062.55    | 0.01%             | 2049-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LFT76<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    913863 | PA      | $883167.30    | 0.01%             | 2049-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LFT92<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    502788 | PA      | $499979.12    | 0.01%             | 2049-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LFTA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    514116 | PA      | $523712.20    | 0.01%             | 2049-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LFTW1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    332102 | PA      | $330246.80    | 0.00%             | 2049-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LFTX9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1155957 | PA      | $1149692.00   | 0.02%             | 2049-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LFTY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    582686 | PA      | $593562.41    | 0.01%             | 2049-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LFTZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    346773 | PA      | $353245.40    | 0.01%             | 2049-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LFUA7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1412607 | PA      | $1404950.57   | 0.02%             | 2049-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LFUB5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    709669 | PA      | $723229.69    | 0.01%             | 2049-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LFUC3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    738845 | PA      | $757265.74    | 0.01%             | 2049-12-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LFUE9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1169800 | PA      | $1098702.33   | 0.02%             | 2050-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LFUF6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1016317 | PA      | $984081.18    | 0.01%             | 2050-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LFUG4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    851073 | PA      | $823549.29    | 0.01%             | 2050-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LFUM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1639749 | PA      | $1630864.68   | 0.02%             | 2050-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LKPX2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2518952 | PA      | $2425055.71   | 0.04%             | 2050-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LMPX8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    709067 | PA      | $685687.57    | 0.01%             | 2049-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LNF74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3362130 | PA      | $3208288.85   | 0.05%             | 2049-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LNF82<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1163131 | PA      | $1119748.48   | 0.02%             | 2049-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LNR71<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4430758 | PA      | $4320180.99   | 0.07%             | 2050-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LNRT3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4997859 | PA      | $4592977.27   | 0.07%             | 2050-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LR2A2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1299568 | PA      | $1206592.25   | 0.02%             | 2050-05-20      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LR2Q7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    143402 | PA      | $132767.55    | 0.00%             | 2050-05-20      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LR2R5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2032372 | PA      | $1886957.37   | 0.03%             | 2050-06-20      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LR2S3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3933123 | PA      | $3651705.02   | 0.06%             | 2050-07-20      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LR2T1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2178017 | PA      | $2104881.88   | 0.03%             | 2050-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LR2U8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    558781 | PA      | $547638.47    | 0.01%             | 2050-06-20      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LR2V6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    760547 | PA      | $770372.25    | 0.01%             | 2050-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LR2Z7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1739063 | PA      | $1691063.74   | 0.03%             | 2050-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LR3E3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2780083 | PA      | $2681584.00   | 0.04%             | 2050-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LRZ57<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    574573 | PA      | $543435.69    | 0.01%             | 2050-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LRZT5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1797381 | PA      | $1738136.33   | 0.03%             | 2050-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LRZW8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    802967 | PA      | $777345.85    | 0.01%             | 2050-02-20      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LUSA7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    992795 | PA      | $943162.06    | 0.01%             | 2049-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LWS47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1512458 | PA      | $1510792.63   | 0.02%             | 2050-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LXWB4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    759969 | PA      | $769537.30    | 0.01%             | 2049-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LY4X5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    267221 | PA      | $258535.38    | 0.00%             | 2049-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617M2K65<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6648067 | PA      | $6243953.88   | 0.09%             | 2050-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617M2K73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    517253 | PA      | $497971.51    | 0.01%             | 2050-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617M2KL2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    742505 | PA      | $681434.88    | 0.01%             | 2050-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617M2KN8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    742720 | PA      | $715030.56    | 0.01%             | 2050-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617M2KY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3249865 | PA      | $3052317.22   | 0.05%             | 2050-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, Other                                                                                   | CUSIP: 3617MAS28<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    703548 | PA      | $659114.12    | 0.01%             | 2049-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, Other                                                                                   | CUSIP: 3617MAS36<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    378300 | PA      | $367007.09    | 0.01%             | 2048-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, Other                                                                                   | CUSIP: 3617MAS44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    263033 | PA      | $260633.49    | 0.00%             | 2049-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, Other                                                                                   | CUSIP: 3617MASZ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2210526 | PA      | $2018287.52   | 0.03%             | 2048-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617MGQ27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    432085 | PA      | $416365.73    | 0.01%             | 2050-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617MGQ35<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2050098 | PA      | $1980001.79   | 0.03%             | 2050-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617MGQ84<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    855710 | PA      | $810038.64    | 0.01%             | 2050-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617MJN24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2583200 | PA      | $2426188.68   | 0.04%             | 2050-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617MKJ59<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1081736 | PA      | $1107206.91   | 0.02%             | 2050-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617MKKM0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4147862 | PA      | $3806702.09   | 0.06%             | 2050-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617MKKY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2653176 | PA      | $2505013.01   | 0.04%             | 2050-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617MKP78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4323012 | PA      | $3781334.40   | 0.06%             | 2050-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617MNJ20<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2846504 | PA      | $2833489.81   | 0.04%             | 2050-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617MNNN9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    511594 | PA      | $469515.87    | 0.01%             | 2050-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617MNNQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    941921 | PA      | $884663.04    | 0.01%             | 2050-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617MSA51<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1656471 | PA      | $1624136.11   | 0.02%             | 2050-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617MSA69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    707861 | PA      | $690194.12    | 0.01%             | 2050-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617MSEH1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1570539 | PA      | $1486717.65   | 0.02%             | 2050-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617MSHU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1376430 | PA      | $1316266.45   | 0.02%             | 2050-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617MSPC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3134993 | PA      | $2877158.84   | 0.04%             | 2050-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617MSQX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    485991 | PA      | $477220.26    | 0.01%             | 2050-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617MSRR5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3993621 | PA      | $3645394.99   | 0.06%             | 2050-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617MW5C3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1018601 | PA      | $971912.73    | 0.01%             | 2050-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617MW5D1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2595912 | PA      | $2470150.87   | 0.04%             | 2050-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617MW5E9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3200967 | PA      | $3032099.77   | 0.05%             | 2050-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617MW5F6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3935792 | PA      | $3732627.80   | 0.06%             | 2050-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617MW5G4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2783071 | PA      | $2684389.23   | 0.04%             | 2050-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617MW5H2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2832032 | PA      | $2763973.36   | 0.04%             | 2050-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617N4MV3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    681290 | PA      | $706185.72    | 0.01%             | 2050-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617N9L76<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5210321 | PA      | $4893589.18   | 0.07%             | 2050-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617N9MG5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4370322 | PA      | $4104646.64   | 0.06%             | 2050-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617N9MM2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1826127 | PA      | $1758047.84   | 0.03%             | 2050-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617N9RB1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3229116 | PA      | $2995468.34   | 0.05%             | 2050-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617NFT58<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    929081 | PA      | $928058.26    | 0.01%             | 2050-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617NFU31<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4464454 | PA      | $4193084.97   | 0.06%             | 2050-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 3617NFUP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1071728 | PA      | $1047788.81   | 0.02%             | 2050-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617NFUU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    916452 | PA      | $920779.16    | 0.01%             | 2050-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617NGHL4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    557257 | PA      | $573828.83    | 0.01%             | 2050-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617NLKW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    195468 | PA      | $199472.98    | 0.00%             | 2050-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617NLLL8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1173770 | PA      | $1189942.56   | 0.02%             | 2050-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617NLLM6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1949433 | PA      | $1986963.38   | 0.03%             | 2050-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617NLMT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    388991 | PA      | $394542.17    | 0.01%             | 2050-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617NNU34<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    666190 | PA      | $643821.20    | 0.01%             | 2050-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617NNUD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1309063 | PA      | $1240024.03   | 0.02%             | 2050-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617NNUG5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    827422 | PA      | $783264.67    | 0.01%             | 2050-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617NNUH3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1318990 | PA      | $1247785.86   | 0.02%             | 2050-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617NNUJ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1187924 | PA      | $1115720.35   | 0.02%             | 2050-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617NNUM2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1226466 | PA      | $1184528.52   | 0.02%             | 2050-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617NNUV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2475163 | PA      | $2271602.47   | 0.03%             | 2050-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617NNUY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1447749 | PA      | $1371396.91   | 0.02%             | 2050-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617NNUZ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1288945 | PA      | $1210611.76   | 0.02%             | 2050-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617NNVC3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2409334 | PA      | $2211193.67   | 0.03%             | 2050-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617NNVH2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1835727 | PA      | $1724143.22   | 0.03%             | 2050-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617NNVP4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2514546 | PA      | $2211933.33   | 0.03%             | 2050-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617NNVT6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    625611 | PA      | $574166.60    | 0.01%             | 2050-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617NNVU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1442972 | PA      | $1331471.36   | 0.02%             | 2050-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617NRTQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    609286 | PA      | $603400.94    | 0.01%             | 2050-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617NRTS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1064638 | PA      | $961934.82    | 0.01%             | 2050-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617NS4B4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2698034 | PA      | $2550691.26   | 0.04%             | 2050-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617NS5F4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3144807 | PA      | $2919798.93   | 0.04%             | 2050-08-20      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617NS5G2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    573319 | PA      | $553006.51    | 0.01%             | 2050-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617NS5S6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3168739 | PA      | $2942024.08   | 0.04%             | 2050-09-20      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617NS5T4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1766836 | PA      | $1671437.12   | 0.03%             | 2050-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617NS5U1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1286014 | PA      | $1242035.58   | 0.02%             | 2050-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617NS5V9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    960794 | PA      | $962933.35    | 0.01%             | 2050-09-20      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617NS6G1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1267180 | PA      | $1162947.02   | 0.02%             | 2050-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617NS6H9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1261235 | PA      | $1170987.67   | 0.02%             | 2050-10-20      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617NS6J5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1180017 | PA      | $1117027.65   | 0.02%             | 2050-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617NS6K2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    984730 | PA      | $963400.69    | 0.01%             | 2050-10-20      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617NXT83<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    535638 | PA      | $515669.05    | 0.01%             | 2050-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617NXUT5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    714753 | PA      | $709944.90    | 0.01%             | 2050-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617NYY69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    303441 | PA      | $303016.94    | 0.00%             | 2050-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 3617NYYS1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2986365 | PA      | $2919657.96   | 0.04%             | 2050-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 3617NYZ50<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1264622 | PA      | $1236373.29   | 0.02%             | 2050-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617NYZG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    952014 | PA      | $950965.94    | 0.01%             | 2050-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 3617NYZH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2760382 | PA      | $2698722.26   | 0.04%             | 2050-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617Q0FY0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2917693 | PA      | $2845470.37   | 0.04%             | 2050-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617Q8DW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    577731 | PA      | $558821.53    | 0.01%             | 2050-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617Q8DX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    621524 | PA      | $600539.73    | 0.01%             | 2050-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617Q9PF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    162849 | PA      | $149517.84    | 0.00%             | 2050-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617Q9PG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2065337 | PA      | $1895502.48   | 0.03%             | 2050-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617Q9PL8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    534287 | PA      | $505340.09    | 0.01%             | 2050-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617Q9PM6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1590835 | PA      | $1494153.09   | 0.02%             | 2050-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617Q9PY0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2243088 | PA      | $2123371.59   | 0.03%             | 2050-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617Q9QH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1903660 | PA      | $1803241.10   | 0.03%             | 2050-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617Q9QY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1194892 | PA      | $1051811.16   | 0.02%             | 2050-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QAXV4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2107326 | PA      | $2055161.32   | 0.03%             | 2050-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QAXW2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4696060 | PA      | $4538384.05   | 0.07%             | 2050-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, Other                                                                                    | CUSIP: 3617QCSG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2586376 | PA      | $2155491.61   | 0.03%             | 2041-09-15      | Fixed         | 1.97%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QKY58<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2596941 | PA      | $2439087.65   | 0.04%             | 2050-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QKYC3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2618418 | PA      | $2480287.91   | 0.04%             | 2050-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QKYD1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    858903 | PA      | $813061.23    | 0.01%             | 2050-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QNE88<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3290733 | PA      | $3168039.97   | 0.05%             | 2050-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QPD27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    774527 | PA      | $745651.45    | 0.01%             | 2050-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QPDP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    880640 | PA      | $774636.90    | 0.01%             | 2050-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QPDV3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1448150 | PA      | $1371758.99   | 0.02%             | 2050-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QPE26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    733119 | PA      | $695803.57    | 0.01%             | 2050-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QPE34<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1585355 | PA      | $1502697.39   | 0.02%             | 2050-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QPE42<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1242894 | PA      | $1177332.91   | 0.02%             | 2050-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QPE59<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    628496 | PA      | $600851.77    | 0.01%             | 2050-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QPE67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    515993 | PA      | $501237.77    | 0.01%             | 2050-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QPE75<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    482762 | PA      | $466587.54    | 0.01%             | 2050-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QPEM2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1735920 | PA      | $1528094.01   | 0.02%             | 2050-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QPEN0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1670736 | PA      | $1468136.42   | 0.02%             | 2050-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QPEQ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1579551 | PA      | $1384828.30   | 0.02%             | 2050-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QPER1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    433767 | PA      | $381598.17    | 0.01%             | 2045-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QPES9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1896732 | PA      | $1668455.38   | 0.03%             | 2050-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QPEU4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2590275 | PA      | $2380473.34   | 0.04%             | 2050-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QQWL2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1383585 | PA      | $1382061.61   | 0.02%             | 2050-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 3617QQWS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    903221 | PA      | $883045.33    | 0.01%             | 2050-11-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QQXA5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    838124 | PA      | $837200.51    | 0.01%             | 2050-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 3617QQXB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    686031 | PA      | $670706.07    | 0.01%             | 2050-12-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 3617QQXQ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2109441 | PA      | $2062319.89   | 0.03%             | 2051-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QQXT4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8554316 | PA      | $8034617.59   | 0.12%             | 2051-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QV6E6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1357022 | PA      | $1245482.90   | 0.02%             | 2047-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QV6F3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1629903 | PA      | $1496056.75   | 0.02%             | 2044-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QV6G1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1545918 | PA      | $1451963.99   | 0.02%             | 2050-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QV6H9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3160729 | PA      | $2968727.97   | 0.04%             | 2047-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QV6J5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1945323 | PA      | $1841641.35   | 0.03%             | 2044-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QV6K2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    987390 | PA      | $931155.56    | 0.01%             | 2041-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QV6L0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1339481 | PA      | $1301933.43   | 0.02%             | 2050-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QV6M8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1380480 | PA      | $1339264.53   | 0.02%             | 2047-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QV6N6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    341890 | PA      | $334679.39    | 0.01%             | 2045-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QV6P1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    408316 | PA      | $401662.93    | 0.01%             | 2041-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QV6Q9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    718825 | PA      | $718033.12    | 0.01%             | 2050-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QV6R7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    578244 | PA      | $578471.70    | 0.01%             | 2043-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QV6S5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    478548 | PA      | $479878.50    | 0.01%             | 2041-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QVZ20<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    696022 | PA      | $656967.45    | 0.01%             | 2044-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QVZ38<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    643483 | PA      | $624263.82    | 0.01%             | 2050-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QVZ46<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1111932 | PA      | $1086832.76   | 0.02%             | 2046-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QVZ53<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    641257 | PA      | $631219.75    | 0.01%             | 2042-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QVZS3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    287890 | PA      | $264580.53    | 0.00%             | 2050-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QVZT1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    647147 | PA      | $596359.90    | 0.01%             | 2047-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QVZX2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    590845 | PA      | $559536.33    | 0.01%             | 2050-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QVZZ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1191033 | PA      | $1126037.20   | 0.02%             | 2047-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QW2F5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    743103 | PA      | $681975.26    | 0.01%             | 2050-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QW2G3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2540499 | PA      | $2358713.33   | 0.04%             | 2050-11-20      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QW2H1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2446786 | PA      | $2360096.84   | 0.04%             | 2050-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QW2X6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2108828 | PA      | $1957934.05   | 0.03%             | 2050-12-20      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QW2Y4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    903084 | PA      | $855992.75    | 0.01%             | 2050-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QW2Z1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1191844 | PA      | $1128223.29   | 0.02%             | 2050-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QW3P2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1714911 | PA      | $1592255.82   | 0.02%             | 2051-01-20      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QW3X5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    496253 | PA      | $477764.29    | 0.01%             | 2051-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QX4L8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3986110 | PA      | $3768436.52   | 0.06%             | 2050-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QX5U7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    706944 | PA      | $648791.47    | 0.01%             | 2050-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QX5V5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    820000 | PA      | $770153.13    | 0.01%             | 2050-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617U2GJ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3343167 | PA      | $3218517.03   | 0.05%             | 2050-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617U4N85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1399895 | PA      | $1326922.81   | 0.02%             | 2050-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617U4N93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    575471 | PA      | $544977.89    | 0.01%             | 2050-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617U4NL6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1084305 | PA      | $1043881.37   | 0.02%             | 2050-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617U4NQ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1321363 | PA      | $1166012.09   | 0.02%             | 2050-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617U4NR3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1632263 | PA      | $1438840.27   | 0.02%             | 2050-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617U4NS1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1895467 | PA      | $1668501.46   | 0.03%             | 2050-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617U4NT9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1363518 | PA      | $1200410.40   | 0.02%             | 2045-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617U4NU6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    802513 | PA      | $705256.65    | 0.01%             | 2045-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617U4NV4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    764256 | PA      | $701950.85    | 0.01%             | 2040-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617U4NW2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    968006 | PA      | $850632.52    | 0.01%             | 2050-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617U4NY8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2436354 | PA      | $2143080.33   | 0.03%             | 2050-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617U4P26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    736738 | PA      | $696985.22    | 0.01%             | 2051-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617U4P34<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    432640 | PA      | $405385.79    | 0.01%             | 2051-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617U4P59<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    663362 | PA      | $641922.43    | 0.01%             | 2051-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617U4PP5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    929596 | PA      | $813140.13    | 0.01%             | 2051-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 3617UATG7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1088441 | PA      | $1064805.12   | 0.02%             | 2050-12-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 3617UAU59<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    752657 | PA      | $736312.30    | 0.01%             | 2051-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 3617UAVM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1475797 | PA      | $1443749.74   | 0.02%             | 2051-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617UG7F0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1091410 | PA      | $1090206.76   | 0.02%             | 2051-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617UHAA5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6365000 | PA      | $5978300.60   | 0.09%             | 2051-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617ULU63<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9325308 | PA      | $8816331.06   | 0.13%             | 2051-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617ULWC8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5000949 | PA      | $4589791.36   | 0.07%             | 2051-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617UMTN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1091521 | PA      | $1071220.44   | 0.02%             | 2051-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617UNS54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    900025 | PA      | $832448.53    | 0.01%             | 2051-03-20      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617UNS70<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1649338 | PA      | $1559303.85   | 0.02%             | 2051-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617UNSN5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    759570 | PA      | $705243.47    | 0.01%             | 2051-02-20      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617UNSP0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    658616 | PA      | $624290.45    | 0.01%             | 2051-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617UNTJ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    927958 | PA      | $861586.98    | 0.01%             | 2051-04-20      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617UNTK0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1493715 | PA      | $1415869.32   | 0.02%             | 2051-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617UNTL8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1475126 | PA      | $1397335.27   | 0.02%             | 2051-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617UNTM6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2096242 | PA      | $1976955.83   | 0.03%             | 2051-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617UP4S5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2813977 | PA      | $2542645.63   | 0.04%             | 2051-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617UQAB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1144684 | PA      | $1050578.84   | 0.02%             | 2051-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617UQAC1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1056629 | PA      | $969755.97    | 0.01%             | 2051-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617UQAD9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1337237 | PA      | $1266727.88   | 0.02%             | 2051-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617UQAF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    829694 | PA      | $820217.02    | 0.01%             | 2051-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617UQAH0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    509046 | PA      | $518514.66    | 0.01%             | 2050-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617UQAW7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1084634 | PA      | $1034811.19   | 0.02%             | 2051-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617UQAX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    803839 | PA      | $779817.23    | 0.01%             | 2051-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617UQAZ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    986875 | PA      | $954600.17    | 0.01%             | 2051-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617UQBF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    967472 | PA      | $916459.78    | 0.01%             | 2051-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617V83Z7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2085378 | PA      | $1926839.43   | 0.03%             | 2051-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617V84J2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1386409 | PA      | $1220420.91   | 0.02%             | 2051-06-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617V84K9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1706542 | PA      | $1499591.00   | 0.02%             | 2051-06-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617V84Q6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1489998 | PA      | $1367529.72   | 0.02%             | 2051-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617V84U7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    851092 | PA      | $825289.45    | 0.01%             | 2051-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617V84V5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    723809 | PA      | $700749.02    | 0.01%             | 2051-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617V84W3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    754151 | PA      | $726756.60    | 0.01%             | 2051-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617VAP39<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1563094 | PA      | $1476558.05   | 0.02%             | 2051-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617VAP47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1172539 | PA      | $1110704.14   | 0.02%             | 2051-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617VAP54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    918884 | PA      | $866950.23    | 0.01%             | 2051-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617VAPR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1538776 | PA      | $1458577.79   | 0.02%             | 2051-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617VAPS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1572248 | PA      | $1489334.07   | 0.02%             | 2051-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617VAPT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1877181 | PA      | $1774707.74   | 0.03%             | 2051-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617VAQ53<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1046650 | PA      | $988300.13    | 0.01%             | 2051-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617VAQ61<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1621206 | PA      | $1528946.74   | 0.02%             | 2051-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617VAQF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2011639 | PA      | $1889412.17   | 0.03%             | 2051-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617VAQN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    940742 | PA      | $891132.89    | 0.01%             | 2051-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617VAQW4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1682821 | PA      | $1589920.50   | 0.02%             | 2051-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, Other                                                                                   | CUSIP: 3617VJEN8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3220182 | PA      | $3032765.15   | 0.05%             | 2047-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 3617VQYJ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    855451 | PA      | $805949.32    | 0.01%             | 2051-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, Other                                                                                   | CUSIP: 3617VSKZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3555891 | PA      | $3577720.08   | 0.05%             | 2049-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II                                                                                          | CUSIP: 3617VUE60<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10521418 | PA      | $11021980.40  | 0.17%             | 2071-11-20      | Variable      | 5.26%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617W0A93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1797558 | PA      | $1658840.67   | 0.03%             | 2051-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617W0AT9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1745652 | PA      | $1653607.35   | 0.02%             | 2051-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617W0AU6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    846867 | PA      | $801689.10    | 0.01%             | 2051-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617W0AV4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    586157 | PA      | $556357.38    | 0.01%             | 2051-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617W0AY8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    949129 | PA      | $915964.17    | 0.01%             | 2051-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617W0BC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    871462 | PA      | $822895.65    | 0.01%             | 2051-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617W0BD3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1022729 | PA      | $965326.32    | 0.01%             | 2051-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617W0BE1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    593478 | PA      | $563673.13    | 0.01%             | 2051-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617W0BG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    535634 | PA      | $517682.56    | 0.01%             | 2051-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617WHSS5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2331012 | PA      | $2200657.37   | 0.03%             | 2051-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617WHST3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2402870 | PA      | $2258297.17   | 0.03%             | 2051-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II                                                                                          | CUSIP: 3617WNCY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9276636 | PA      | $9650955.43   | 0.15%             | 2071-08-20      | Variable      | 5.09%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617WR4T7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    679698 | PA      | $642071.55    | 0.01%             | 2051-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617WR4U4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    916600 | PA      | $865508.19    | 0.01%             | 2051-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617WR4V2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1158766 | PA      | $1093730.13   | 0.02%             | 2051-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617WR4W0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    783197 | PA      | $738936.79    | 0.01%             | 2051-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617WR4X8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    897659 | PA      | $843116.90    | 0.01%             | 2051-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617WR4Z3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1163612 | PA      | $1126539.69   | 0.02%             | 2051-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617WR5A7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1180906 | PA      | $1138274.97   | 0.02%             | 2051-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617WR5H2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1284142 | PA      | $1180150.23   | 0.02%             | 2051-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617WR5J8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2317934 | PA      | $2127389.52   | 0.03%             | 2051-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617WR5K5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1548807 | PA      | $1421459.96   | 0.02%             | 2051-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617WR5L3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1288497 | PA      | $1182563.96   | 0.02%             | 2051-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617WR5M1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2157482 | PA      | $1993430.68   | 0.03%             | 2051-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617WR5V1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    598565 | PA      | $550279.79    | 0.01%             | 2051-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617WR5W9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2459159 | PA      | $2256960.71   | 0.03%             | 2051-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617WR5X7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1299044 | PA      | $1192243.59   | 0.02%             | 2051-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617WR5Z2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1017272 | PA      | $933630.20    | 0.01%             | 2051-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617WR6D0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1444149 | PA      | $1362554.19   | 0.02%             | 2051-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617WR6G3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    910590 | PA      | $880174.11    | 0.01%             | 2051-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617WRC50<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4954389 | PA      | $4657281.49   | 0.07%             | 2051-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617WSPY1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2674185 | PA      | $2580227.12   | 0.04%             | 2051-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II                                                                                          | CUSIP: 3617WT5T2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4943294 | PA      | $5141021.57   | 0.08%             | 2071-09-20      | Variable      | 5.13%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617WUGQ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3910032 | PA      | $3735224.71   | 0.06%             | 2051-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II                                                                                          | CUSIP: 3617WWPY2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3404259 | PA      | $3532297.00   | 0.05%             | 2071-10-20      | Variable      | 5.07%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617X0WY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2171772 | PA      | $2050544.95   | 0.03%             | 2051-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617X4C35<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1016393 | PA      | $895616.36    | 0.01%             | 2052-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617X4C50<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1466036 | PA      | $1345440.68   | 0.02%             | 2052-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617X4C68<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1045427 | PA      | $987094.42    | 0.01%             | 2052-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617X4C76<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2137976 | PA      | $2007938.69   | 0.03%             | 2052-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617X4CM3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    900615 | PA      | $826561.11    | 0.01%             | 2051-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617X4CN1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    700248 | PA      | $661479.27    | 0.01%             | 2051-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617X4CP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1664716 | PA      | $1569983.92   | 0.02%             | 2051-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617X4DP5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1232188 | PA      | $1157248.67   | 0.02%             | 2052-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617X4DQ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1193544 | PA      | $1149013.16   | 0.02%             | 2052-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, Other                                                                                   | CUSIP: 3617XDMY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4914386 | PA      | $4962918.24   | 0.07%             | 2050-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617XEJA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3635390 | PA      | $3414500.13   | 0.05%             | 2051-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617XLK53<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7460863 | PA      | $7008604.95   | 0.11%             | 2052-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II                                                                                          | CUSIP: 3617XP5A0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4008126 | PA      | $4174108.09   | 0.06%             | 2071-11-20      | Variable      | 5.09%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II                                                                                          | CUSIP: 3617XP5J1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6101735 | PA      | $6399061.67   | 0.10%             | 2071-12-20      | Variable      | 5.33%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II                                                                                          | CUSIP: 3617XPQU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9311130 | PA      | $9657212.18   | 0.15%             | 2071-11-20      | Variable      | 4.99%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II                                                                                          | CUSIP: 3617XSV98<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9535669 | PA      | $9942351.81   | 0.15%             | 2071-11-20      | Variable      | 5.18%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617XVXL2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3254742 | PA      | $3073139.95   | 0.05%             | 2052-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617XW6C0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5127667 | PA      | $4705886.15   | 0.07%             | 2052-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II                                                                                          | CUSIP: 3617XXCC1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9035100 | PA      | $9470640.68   | 0.14%             | 2071-12-20      | Variable      | 5.28%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617Y0N22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1890559 | PA      | $1735047.88   | 0.03%             | 2052-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617Y0N97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3605810 | PA      | $3309210.83   | 0.05%             | 2052-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617Y0NZ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2834651 | PA      | $2601504.98   | 0.04%             | 2052-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617Y0PB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1253109 | PA      | $1183198.17   | 0.02%             | 2052-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617Y24W3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6983179 | PA      | $6637467.98   | 0.10%             | 2052-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617Y86N8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2428116 | PA      | $2302044.59   | 0.03%             | 2052-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617Y86P3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1378454 | PA      | $1301000.23   | 0.02%             | 2052-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617Y9A43<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5400207 | PA      | $5098888.37   | 0.08%             | 2052-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617Y9A50<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6374402 | PA      | $6013803.53   | 0.09%             | 2052-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617Y9A68<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2956171 | PA      | $2776378.64   | 0.04%             | 2052-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, Other                                                                                   | CUSIP: 3617YGBE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3211182 | PA      | $2958515.48   | 0.04%             | 2072-03-20      | Variable      | 3.17%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617YL2Z6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4887580 | PA      | $4530424.38   | 0.07%             | 2052-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617YMMT6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8285845 | PA      | $7588669.90   | 0.11%             | 2052-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617YMPB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1745669 | PA      | $1648263.12   | 0.02%             | 2052-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617YMPE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4105583 | PA      | $3895217.73   | 0.06%             | 2052-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617YSV97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3300800 | PA      | $3378260.65   | 0.05%             | 2053-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, Other                                                                                   | CUSIP: 36180BAT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    446543 | PA      | $443816.13    | 0.01%             | 2032-12-20      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36181B5N6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    366732 | PA      | $358691.60    | 0.01%             | 2043-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, Other                                                                                   | CUSIP: 36182NRQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    160455 | PA      | $159643.51    | 0.00%             | 2034-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36183FAV1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    125071 | PA      | $124034.03    | 0.00%             | 2044-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36183SX89<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    758821 | PA      | $733811.66    | 0.01%             | 2046-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GMACM Mortgage Loan Trust                                            | GMACM Mortgage Loan Trust, Series 2005-AR3, Class 3A4                                            | CUSIP: 36185N7E4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    114566 | PA      | $112837.72    | 0.00%             | 2035-06-19      | Variable      | 4.37%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3618AA6Q0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1730021 | PA      | $1770617.91   | 0.03%             | 2053-01-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 3618AGUJ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3512737 | PA      | $3728950.21   | 0.06%             | 2053-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3618AGX46<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2550756 | PA      | $2606876.44   | 0.04%             | 2053-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3618AXB50<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2199576 | PA      | $2251191.31   | 0.03%             | 2053-03-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3618AXB68<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    767084 | PA      | $792506.88    | 0.01%             | 2053-03-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3618AXBP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1698552 | PA      | $1715233.50   | 0.03%             | 2053-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3618AXBQ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    793431 | PA      | $812653.44    | 0.01%             | 2053-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3618AXCJ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    798295 | PA      | $817027.96    | 0.01%             | 2053-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3618AXCX8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2203490 | PA      | $2255195.46   | 0.03%             | 2053-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3618B9M68<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    816263 | PA      | $833424.74    | 0.01%             | 2053-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3618B9M76<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    877443 | PA      | $898569.18    | 0.01%             | 2053-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3618B9M84<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1126606 | PA      | $1150294.42   | 0.02%             | 2053-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 3618BHKN5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9201984 | PA      | $9652345.35   | 0.15%             | 2053-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3618BQMU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2515833 | PA      | $2574872.23   | 0.04%             | 2053-06-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3618BQNA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1591404 | PA      | $1628748.44   | 0.02%             | 2053-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3618BQNB8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1592899 | PA      | $1645693.94   | 0.02%             | 2053-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3618BQNC6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3016339 | PA      | $3180880.14   | 0.05%             | 2053-07-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3618BQNM4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1171697 | PA      | $1210530.65   | 0.02%             | 2053-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3618BQNN2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1926921 | PA      | $2032037.04   | 0.03%             | 2053-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3618BQNZ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1175277 | PA      | $1202857.10   | 0.02%             | 2053-09-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3618BVFN0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1140355 | PA      | $1211108.32   | 0.02%             | 2053-07-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3618F3TM5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1199245 | PA      | $1227389.08   | 0.02%             | 2053-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, Other                                                                                   | CUSIP: 3618FQPZ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    616658 | PA      | $621321.63    | 0.01%             | 2063-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, Other                                                                                   | CUSIP: 3618FQR38<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    170276 | PA      | $171564.18    | 0.00%             | 2063-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, Other                                                                                   | CUSIP: 3618FQR87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    185375 | PA      | $186776.52    | 0.00%             | 2063-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3618FSK23<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4225377 | PA      | $4480639.92   | 0.07%             | 2054-02-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3618FSKZ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3389269 | PA      | $3631406.26   | 0.05%             | 2054-02-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, Other                                                                                   | CUSIP: 3618FUSB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    232180 | PA      | $233935.91    | 0.00%             | 2063-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, Other                                                                                   | CUSIP: 3618FUSG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1000465 | PA      | $1008032.13   | 0.02%             | 2063-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, Other                                                                                   | CUSIP: 3618FYDB8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    885523 | PA      | $892220.11    | 0.01%             | 2063-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, Other                                                                                   | CUSIP: 3618FYEF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1159103 | PA      | $1167869.95   | 0.02%             | 2063-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3618GRZL6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1027756 | PA      | $1077041.02   | 0.02%             | 2054-07-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3618GRZP7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1749283 | PA      | $1823217.96   | 0.03%             | 2054-07-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3618HHVZ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3365728 | PA      | $3579810.70   | 0.05%             | 2054-11-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3618HJTV8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9007967 | PA      | $8639122.96   | 0.13%             | 2054-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3618HSC79<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4435754 | PA      | $4703737.99   | 0.07%             | 2054-08-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3618HSC95<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3882537 | PA      | $4159955.08   | 0.06%             | 2054-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3618HSCQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3450359 | PA      | $3658810.94   | 0.06%             | 2054-09-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3618HSCR5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2448053 | PA      | $2615742.36   | 0.04%             | 2054-09-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3618HSDM5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4240190 | PA      | $4543160.42   | 0.07%             | 2054-07-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3618HSDN3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1261639 | PA      | $1337860.23   | 0.02%             | 2054-07-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3618J8GS1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1315156 | PA      | $1367529.93   | 0.02%             | 2054-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3618JLHF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3507063 | PA      | $3747298.25   | 0.06%             | 2054-12-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3618KSZD7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1625927 | PA      | $1742111.66   | 0.03%             | 2055-07-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3618LEJ37<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6658838 | PA      | $7134645.11   | 0.11%             | 2055-09-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3618LEJ45<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2525489 | PA      | $2624537.87   | 0.04%             | 2055-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3618LEU91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1989086 | PA      | $2089208.16   | 0.03%             | 2055-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3618LLXL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4476703 | PA      | $4702040.65   | 0.07%             | 2055-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3618LRJE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5053559 | PA      | $5161262.99   | 0.08%             | 2055-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3618LRJN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1047308 | PA      | $1083296.58   | 0.02%             | 2055-10-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3618LRJU8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6085961 | PA      | $6220819.15   | 0.09%             | 2055-11-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3618LV7E8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5202073 | PA      | $5573793.56   | 0.08%             | 2055-09-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3618M8U28<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4981134 | PA      | $5337074.60   | 0.08%             | 2055-10-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3618N53S6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4431098 | PA      | $3919168.92   | 0.06%             | 2055-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3618N56C8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5403711 | PA      | $4773226.36   | 0.07%             | 2056-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3618NJDX4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3206263 | PA      | $3301745.51   | 0.05%             | 2055-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36193UAK0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1635892 | PA      | $1567779.30   | 0.02%             | 2046-08-20      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 36194GQD9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    849355 | PA      | $827130.09    | 0.01%             | 2046-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36196RU55<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2976811 | PA      | $2915970.39   | 0.04%             | 2048-05-20      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36196RU63<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3559195 | PA      | $3488647.87   | 0.05%             | 2048-06-20      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36196RU89<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1444550 | PA      | $1415025.59   | 0.02%             | 2048-07-20      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36196RU97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    662144 | PA      | $658554.50    | 0.01%             | 2048-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36196RUB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    251124 | PA      | $235952.24    | 0.00%             | 2047-02-20      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36196RUE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    773862 | PA      | $758049.92    | 0.01%             | 2047-07-20      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36196RUM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2792465 | PA      | $2735410.19   | 0.04%             | 2047-09-20      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36196RUR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2933840 | PA      | $2870274.21   | 0.04%             | 2047-11-20      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36196RUU0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1903281 | PA      | $1865561.08   | 0.03%             | 2048-01-20      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36196RVA3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1306664 | PA      | $1278343.69   | 0.02%             | 2048-08-20      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36196RVB1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    776121 | PA      | $771913.65    | 0.01%             | 2048-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36196RVD7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3799315 | PA      | $3778718.77   | 0.06%             | 2048-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 36200MFH1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5296 | PA      | $5417.48      | 0.00%             | 2033-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 36200QSL9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     16121 | PA      | $16623.77     | 0.00%             | 2032-05-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 36200QW59<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     57615 | PA      | $59703.03     | 0.00%             | 2032-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 36201SAV1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12430 | PA      | $12840.08     | 0.00%             | 2033-01-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 36201SRB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10932 | PA      | $11097.25     | 0.00%             | 2032-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36202C5F6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       554 | PA      | $565.31       | 0.00%             | 2028-09-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36202CPT4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        18 | PA      | $18.24        | 0.00%             | 2026-06-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36202CQX4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        30 | PA      | $29.87        | 0.00%             | 2026-08-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36202CSM6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        15 | PA      | $15.47        | 0.00%             | 2026-11-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36202CX40<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       366 | PA      | $370.65       | 0.00%             | 2027-10-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36202CZN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       113 | PA      | $113.63       | 0.00%             | 2028-02-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, Other                                                                                   | CUSIP: 36202EXN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13944 | PA      | $14062.48     | 0.00%             | 2038-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 36202SBN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9597 | PA      | $9928.17      | 0.00%             | 2033-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 36202WH69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5512 | PA      | $5664.38      | 0.00%             | 2032-04-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 36204US28<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     93037 | PA      | $92209.20     | 0.00%             | 2041-05-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 36204USZ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    274735 | PA      | $272138.70    | 0.00%             | 2041-06-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 36208F4X5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1786 | PA      | $1811.82      | 0.00%             | 2028-07-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3620AQ2H5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     64849 | PA      | $65832.44     | 0.00%             | 2033-10-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3620AXGJ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    312166 | PA      | $300014.96    | 0.00%             | 2040-08-20      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3620AXGT9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    857923 | PA      | $824644.68    | 0.01%             | 2040-06-20      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3620AXH68<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    878455 | PA      | $843846.31    | 0.01%             | 2040-04-20      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3620AXJ41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1373046 | PA      | $1306586.92   | 0.02%             | 2041-02-20      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3620AXJ58<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1435193 | PA      | $1379505.74   | 0.02%             | 2041-02-20      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3620AXJ66<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     78924 | PA      | $75786.60     | 0.00%             | 2041-02-20      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3620AXJV1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    761212 | PA      | $712123.73    | 0.01%             | 2040-11-20      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3620AXJX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3223506 | PA      | $3096455.55   | 0.05%             | 2040-11-20      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3620C4Z78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     29410 | PA      | $30039.67     | 0.00%             | 2039-01-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 36210APW1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       630 | PA      | $641.85       | 0.00%             | 2028-09-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 36210ASU2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       242 | PA      | $244.87       | 0.00%             | 2028-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 36213E6A9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10764 | PA      | $11046.92     | 0.00%             | 2032-07-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 36213J5Q4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     20721 | PA      | $21395.33     | 0.00%             | 2031-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 36225AWN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6647 | PA      | $6702.91      | 0.00%             | 2027-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 36225BYK8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     14749 | PA      | $15568.39     | 0.00%             | 2033-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                              | GSR Mortgage Loan Trust, Series 2004-6F, Class 2A4                                               | CUSIP: 36228F2K1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     76145 | PA      | $76460.59     | 0.00%             | 2034-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GSMPS Mortgage Loan Trust                                            | GSMPS Mortgage Loan Trust, Series 2001-2, Class A                                                | CUSIP: 36228FEC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    101792 | PA      | $100273.26    | 0.00%             | 2032-06-19      | Variable      | 7.50%                 | Yes           |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                              | GSR Mortgage Loan Trust, Series 2004-3F, Class 3A8                                               | CUSIP: 36228FJ72<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2693 | PA      | $3077.79      | 0.00%             | 2034-02-25      | Fixed         | 13.50%                | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                              | GSR Mortgage Loan Trust, Series 2003-7F, Class 1A4                                               | CUSIP: 36228FTW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     71622 | PA      | $72549.48     | 0.00%             | 2033-06-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                              | GSR Mortgage Loan Trust, Series 2003-13, Class 1A1                                               | CUSIP: 36228FYY6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     18393 | PA      | $18498.18     | 0.00%             | 2033-10-25      | Variable      | 5.57%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 3622A25K4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3463935 | PA      | $3371212.48   | 0.05%             | 2048-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3622A2MQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1314102 | PA      | $1271855.14   | 0.02%             | 2044-12-20      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3622AAA38<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    428427 | PA      | $426397.95    | 0.01%             | 2048-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3622AAGT5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2953437 | PA      | $2973467.67   | 0.04%             | 2049-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3622AAHY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2857593 | PA      | $2826238.52   | 0.04%             | 2049-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3622AAXX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8686560 | PA      | $8051582.65   | 0.12%             | 2051-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, Other                                                                                   | CUSIP: 3622ABML3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  12081869 | PA      | $11121885.84  | 0.17%             | 2071-12-20      | Variable      | 3.10%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3622AC3N8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  13050237 | PA      | $12324264.20  | 0.19%             | 2051-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3622ACD31<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  16885668 | PA      | $15794161.08  | 0.24%             | 2051-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, Other                                                                                   | CUSIP: 3622ACE55<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7309500 | PA      | $7274388.74   | 0.11%             | 2073-01-20      | Variable      | 4.65%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3622ACP38<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  13912530 | PA      | $13247893.02  | 0.20%             | 2053-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3622ACVB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  17626621 | PA      | $16682162.19  | 0.25%             | 2052-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, Other                                                                                   | CUSIP: 3622AD2U1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  16846187 | PA      | $15959729.56  | 0.24%             | 2065-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, Other                                                                                   | CUSIP: 3622ADGD4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4658184 | PA      | $4770240.50   | 0.07%             | 2064-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, Other                                                                                   | CUSIP: 3622ADZ76<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  18108287 | PA      | $17589309.25  | 0.27%             | 2065-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3622AEBD7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  13160890 | PA      | $13006227.95  | 0.20%             | 2052-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36230LAK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    563878 | PA      | $532001.73    | 0.01%             | 2041-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36230LXZ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     51258 | PA      | $54357.55     | 0.00%             | 2039-01-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 36230UMX4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    769041 | PA      | $757074.52    | 0.01%             | 2041-02-15      | Fixed         | 3.49%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 36230US26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    797940 | PA      | $785095.26    | 0.01%             | 2041-01-15      | Fixed         | 3.49%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 36230UTS8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    130829 | PA      | $128697.00    | 0.00%             | 2041-01-15      | Fixed         | 3.49%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                              | GSR Mortgage Loan Trust, Series 2006-1F, Class 2A4                                               | CUSIP: 3623417C7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1085654 | PA      | $443993.36    | 0.01%             | 2036-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                              | GSR Mortgage Loan Trust, Series 2006-1F, Class 1AP                                               | CUSIP: 3623418L6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     44146 | PA      | $26213.19     | 0.00%             | 2036-02-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GSMPS Mortgage Loan Trust                                            | GSMPS Mortgage Loan Trust, Series 2005-RP3, Class 1AF                                            | CUSIP: 362341LL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    873744 | PA      | $755724.49    | 0.01%             | 2035-09-25      | Floating      | 4.14%                 | Yes           |                  2 | On Loan: No      |
| GSMPS Mortgage Loan Trust                                            | GSMPS Mortgage Loan Trust, Series 2005-RP3, Class 1AS                                            | CUSIP: 362341LM9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    397157 | PA      | $8840.79      | 0.00%             | 2035-09-25      | Variable      | 0.42%                 | Yes           |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                              | GSR Mortgage Loan Trust, Series 2005-7F, Class 3A9                                               | CUSIP: 362341NB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    185569 | PA      | $187850.05    | 0.00%             | 2035-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 36241KHH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     24258 | PA      | $25217.70     | 0.00%             | 2032-10-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36241LXS0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    261413 | PA      | $275589.26    | 0.00%             | 2039-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36241LZH2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     60562 | PA      | $62593.07     | 0.00%             | 2039-09-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                              | GSR Mortgage Loan Trust, Series 2005-5F, Class 8A3                                               | CUSIP: 36242D7M9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     16276 | PA      | $15769.66     | 0.00%             | 2035-06-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                              | GSR Mortgage Loan Trust, Series 2004-8F, Class 2A3                                               | CUSIP: 36242DCH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     69742 | PA      | $71608.63     | 0.00%             | 2034-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GSMPS Mortgage Loan Trust                                            | GSMPS Mortgage Loan Trust, Series 2004-4, Class 1AF                                              | CUSIP: 36242DJQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     65245 | PA      | $59071.78     | 0.00%             | 2034-06-25      | Floating      | 4.19%                 | Yes           |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                              | GSR Mortgage Loan Trust, Series 2004-13F, Class 3A3                                              | CUSIP: 36242DLW1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     28393 | PA      | $28829.90     | 0.00%             | 2034-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GSMPS Mortgage Loan Trust                                            | GSMPS Mortgage Loan Trust, Series 2005-RP2, Class 1AF                                            | CUSIP: 36242DT52<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    125243 | PA      | $117420.74    | 0.00%             | 2035-03-25      | Floating      | 4.14%                 | Yes           |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust                                  | GS Mortgage-Backed Securities Trust, Series 2024-RPL2, Class A1                                  | CUSIP: 36269MAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5918873 | PA      | $5820714.63   | 0.09%             | 2061-07-25      | Variable      | 3.75%                 | Yes           |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust                                  | GS Mortgage-Backed Securities Trust, Series 2026-CES1, Class A1                                  | CUSIP: 36277LAA1<br>LEI: 2549005U12N6A8G3H936 | Long             | ABS-O            | CORP              | US        |   6513262 | PA      | $6546361.72   | 0.10%             | 2056-05-25      | Variable      | 4.90%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 36291USW6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     30867 | PA      | $32607.02     | 0.00%             | 2037-03-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust                                  | GS Mortgage-Backed Securities Trust, Series 2024-RPL4, Class A1                                  | CUSIP: 362948AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7045561 | PA      | $6969031.42   | 0.11%             | 2061-09-25      | Variable      | 3.90%                 | Yes           |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust                                  | GS Mortgage-Backed Securities Trust, Series 2025-SL1, Class A1                                   | CUSIP: 362960AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11865112 | PA      | $12019578.78  | 0.18%             | 2067-11-25      | Variable      | 5.85%                 | Yes           |                  2 | On Loan: No      |
| GSMPS Mortgage Loan Trust                                            | GSMPS Mortgage Loan Trust, Series 2006-RP2, Class 1AS2                                           | CUSIP: 36298XAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    712875 | PA      | $44840.54     | 0.00%             | 2036-04-25      | Variable      | 2.19%                 | Yes           |                  2 | On Loan: No      |
| GAM Re-REMIC Trust                                                   | GAM Re-REMIC Trust, Series 2022-FRR3, Class BK71                                                 | CUSIP: 36459DCE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8000000 | PA      | $7492716.80   | 0.11%             | 2050-11-27      | Variable      | 1.94%                 | Yes           |                  2 | On Loan: No      |
| GAM Re-REMIC Trust                                                   | GAM Re-REMIC Trust, Series 2021-FRR1, Class 2A                                                   | CUSIP: 364614AN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3300000 | PA      | $3019768.62   | 0.05%             | 2050-11-29      | None          | 0.00%                 | Yes           |                  3 | On Loan: No      |
| GAM Re-REMIC Trust                                                   | GAM Re-REMIC Trust, Series 2021-FRR1, Class 2B                                                   | CUSIP: 364614AQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8263000 | PA      | $7543752.95   | 0.11%             | 2050-11-29      | None          | 0.00%                 | Yes           |                  3 | On Loan: No      |
| Goodgreen                                                            | Goodgreen, Series 2023-1A, Class A                                                               | CUSIP: 38217DAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | JE        |   5811131 | PA      | $5906297.32   | 0.09%             | 2061-01-17      | Fixed         | 5.90%                 | Yes           |                  2 | On Loan: No      |
| Goodgreen                                                            | Goodgreen, Series 2023-1A, Class B                                                               | CUSIP: 38217DAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | JE        |   4719424 | PA      | $4009793.30   | 0.06%             | 2061-01-17      | Fixed         | 5.90%                 | Yes           |                  2 | On Loan: No      |
| Goodgreen Trust                                                      | Goodgreen Trust, Series 2020-1A, Class A                                                         | CUSIP: 38217TAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3920524 | PA      | $3393128.85   | 0.05%             | 2055-04-15      | Fixed         | 2.63%                 | Yes           |                  2 | On Loan: No      |
| Goodgreen Trust                                                      | Goodgreen Trust, Series 2017-1A, Class A                                                         | CUSIP: 38217VAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    160720 | PA      | $151677.56    | 0.00%             | 2052-10-15      | Fixed         | 3.74%                 | Yes           |                  2 | On Loan: No      |
| Goodgreen Ltd.                                                       | Goodgreen Ltd., Series 2024-1A, Class A                                                          | CUSIP: 38217YAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10118863 | PA      | $10277364.81  | 0.16%             | 2056-07-15      | Fixed         | 6.29%                 | Yes           |                  3 | On Loan: No      |
| Goodgreen Ltd.                                                       | Goodgreen Ltd., Series 2024-1A, Class B                                                          | CUSIP: 38217YAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2599572 | PA      | $2617559.02   | 0.04%             | 2056-07-15      | Fixed         | 8.12%                 | Yes           |                  3 | On Loan: No      |
| Goodgreen                                                            | Goodgreen, Series 2019-2A, Class A                                                               | CUSIP: 38218EAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |   1183889 | PA      | $1055531.99   | 0.02%             | 2055-04-15      | Fixed         | 2.76%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2009-64, Class SN                                                                   | CUSIP: 38373A2C9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     78706 | PA      | $3832.90      | 0.00%             | 2039-07-16      | Floating      | 2.33%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2009-72, Class SM                                                                   | CUSIP: 38373AGM2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    180178 | PA      | $14248.31     | 0.00%             | 2039-08-16      | Floating      | 2.48%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2009-67, Class SA                                                                   | CUSIP: 38373AQT6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    103852 | PA      | $8568.44      | 0.00%             | 2039-08-16      | Floating      | 2.28%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2003-41, Class ID                                                                   | CUSIP: 38373QQA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     73295 | PA      | $695.41       | 0.00%             | 2033-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2001-35, Class SA                                                                   | CUSIP: 38373RTZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11977 | PA      | $31.79        | 0.00%             | 2031-08-16      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2007-79, Class SY                                                                   | CUSIP: 383742AS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    124939 | PA      | $465.24       | 0.00%             | 2037-12-20      | Floating      | 2.77%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2008-36, Class SH                                                                   | CUSIP: 38374D3F4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    113763 | PA      | $651.05       | 0.00%             | 2038-04-20      | Floating      | 2.52%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2006-34                                                                             | CUSIP: 38374DBJ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     21263 | PA      | $17986.09     | 0.00%             | 2036-07-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2008-2, Class MS                                                                    | CUSIP: 38374DPT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     75969 | PA      | $5643.36      | 0.00%             | 2038-01-16      | Floating      | 3.39%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2003-112, Class SA                                                                  | CUSIP: 38374EZ91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     97990 | PA      | $577.54       | 0.00%             | 2033-12-16      | Floating      | 2.78%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2004-46, Class AO                                                                   | CUSIP: 38374G5Z1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     36009 | PA      | $30638.94     | 0.00%             | 2034-06-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2004-28, Class S                                                                    | CUSIP: 38374GDC3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     21914 | PA      | $23968.67     | 0.00%             | 2034-04-16      | Floating      | 9.28%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2004-73, Class JL                                                                   | CUSIP: 38374H2D1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    349702 | PA      | $31613.17     | 0.00%             | 2034-09-16      | Floating      | 2.78%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2004-71, Class ST                                                                   | CUSIP: 38374JBT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7898 | PA      | $7939.37      | 0.00%             | 2034-09-20      | Floating      | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2004-90, Class SI                                                                   | CUSIP: 38374JXC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    104604 | PA      | $4286.40      | 0.00%             | 2034-10-20      | Floating      | 2.32%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2005-68, Class KI                                                                   | CUSIP: 38374L3B5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    202607 | PA      | $17812.75     | 0.00%             | 2035-09-20      | Floating      | 2.52%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2005-68, Class DP                                                                   | CUSIP: 38374L4C2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     16897 | PA      | $18675.98     | 0.00%             | 2035-06-17      | Floating      | 7.34%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2005-72, Class AZ                                                                   | CUSIP: 38374L7K1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    132282 | PA      | $134675.54    | 0.00%             | 2035-09-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2005-58, Class NI                                                                   | CUSIP: 38374LM73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    310604 | PA      | $25440.31     | 0.00%             | 2035-08-20      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2006-22, Class AO                                                                   | CUSIP: 38374M2N8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     26464 | PA      | $22450.48     | 0.00%             | 2036-05-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2005-85                                                                             | CUSIP: 38374MHB8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     76894 | PA      | $725.67       | 0.00%             | 2035-11-16      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2006-16, Class OP                                                                   | CUSIP: 38374MM63<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     37132 | PA      | $31617.55     | 0.00%             | 2036-03-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2006-59, Class SD                                                                   | CUSIP: 38374NQ34<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     36903 | PA      | $2226.40      | 0.00%             | 2036-10-20      | Floating      | 2.92%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2009-10, Class SA                                                                   | CUSIP: 38374TAH7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    114703 | PA      | $8414.88      | 0.00%             | 2039-02-20      | Floating      | 2.17%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2009-43, Class SA                                                                   | CUSIP: 38374UF97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     74965 | PA      | $3361.61      | 0.00%             | 2039-06-20      | Floating      | 2.17%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2009-33, Class TI                                                                   | CUSIP: 38374UJV4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     61289 | PA      | $3687.01      | 0.00%             | 2039-05-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2009-33, Class CI                                                                   | CUSIP: 38374UKD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     26396 | PA      | $1461.24      | 0.00%             | 2039-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2009-42, Class SC                                                                   | CUSIP: 38374UVQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    142605 | PA      | $11708.91     | 0.00%             | 2039-06-20      | Floating      | 2.30%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2009-54, Class JZ                                                                   | CUSIP: 38374VZG7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    606747 | PA      | $641675.96    | 0.01%             | 2039-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2009-14, Class NI                                                                   | CUSIP: 38374XAF2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     92147 | PA      | $4517.14      | 0.00%             | 2039-03-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2009-14, Class KI                                                                   | CUSIP: 38374XBQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     78237 | PA      | $3684.79      | 0.00%             | 2039-03-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2009-12, Class IE                                                                   | CUSIP: 38374XPH2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    356646 | PA      | $3428.69      | 0.00%             | 2039-03-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2009-25, Class SE                                                                   | CUSIP: 38374XSE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     53406 | PA      | $937.89       | 0.00%             | 2038-09-20      | Floating      | 3.82%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2013-H01, Class JA                                                                  | CUSIP: 38375BF31<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    309702 | PA      | $308963.25    | 0.00%             | 2063-01-20      | Floating      | 4.12%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2013-H03, Class FA                                                                  | CUSIP: 38375BF64<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       238 | PA      | $237.06       | 0.00%             | 2060-08-20      | Floating      | 4.10%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2013-H02, Class HF                                                                  | CUSIP: 38375BH62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       239 | PA      | $238.37       | 0.00%             | 2062-11-20      | Floating      | 4.10%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2013-H04, Class SA                                                                  | CUSIP: 38375BL26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    570819 | PA      | $570193.92    | 0.01%             | 2063-02-20      | Floating      | 4.22%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2013-H05, Class FB                                                                  | CUSIP: 38375BL75<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3908 | PA      | $3883.40      | 0.00%             | 2062-02-20      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2013-H08, Class BF                                                                  | CUSIP: 38375BN99<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    180442 | PA      | $179728.37    | 0.00%             | 2063-03-20      | Floating      | 4.20%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2013-H07, Class HA                                                                  | CUSIP: 38375BQ96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    328458 | PA      | $328057.31    | 0.00%             | 2063-03-20      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2013-H07, Class MA                                                                  | CUSIP: 38375BR61<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       321 | PA      | $320.81       | 0.00%             | 2062-04-20      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2013-H09, Class HA                                                                  | CUSIP: 38375BR95<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     29986 | PA      | $28813.91     | 0.00%             | 2063-04-20      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2012-H24, Class FG                                                                  | CUSIP: 38375BXB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1626 | PA      | $1620.58      | 0.00%             | 2060-04-20      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2012-52, Class WA                                                                   | CUSIP: 38375CE71<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1072030 | PA      | $1114480.12   | 0.02%             | 2038-04-20      | Variable      | 6.18%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2008-95, Class DS                                                                   | CUSIP: 38375DYP7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    213046 | PA      | $1712.40      | 0.00%             | 2038-12-20      | Floating      | 3.52%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2007-25, Class FN                                                                   | CUSIP: 38375J2G9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     28729 | PA      | $28509.97     | 0.00%             | 2037-05-16      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2007-28, Class BO                                                                   | CUSIP: 38375J8N8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4921 | PA      | $4094.86      | 0.00%             | 2037-05-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2007-31, Class AO                                                                   | CUSIP: 38375JQ32<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    204721 | PA      | $168294.19    | 0.00%             | 2037-05-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2007-17, Class JI                                                                   | CUSIP: 38375JTD7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    221700 | PA      | $16762.38     | 0.00%             | 2037-04-16      | Floating      | 3.04%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2007-17, Class JO                                                                   | CUSIP: 38375JTE5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     30484 | PA      | $25337.37     | 0.00%             | 2037-04-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2007-40, Class SD                                                                   | CUSIP: 38375KA93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    114019 | PA      | $3091.27      | 0.00%             | 2037-07-20      | Floating      | 2.97%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2007-26, Class SC                                                                   | CUSIP: 38375KBN1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     99778 | PA      | $800.45       | 0.00%             | 2037-05-20      | Floating      | 2.42%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2007-36, Class SE                                                                   | CUSIP: 38375KHZ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     95077 | PA      | $559.45       | 0.00%             | 2037-06-16      | Floating      | 2.70%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2007-36, Class SG                                                                   | CUSIP: 38375KKQ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    148003 | PA      | $921.07       | 0.00%             | 2037-06-20      | Floating      | 2.69%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2007-36, Class HO                                                                   | CUSIP: 38375KKT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4754 | PA      | $3893.90      | 0.00%             | 2037-06-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2007-45, Class QA                                                                   | CUSIP: 38375KW24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     45808 | PA      | $2968.34      | 0.00%             | 2037-07-20      | Floating      | 2.86%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2007-42, Class SB                                                                   | CUSIP: 38375KYH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    112275 | PA      | $3374.84      | 0.00%             | 2037-07-20      | Floating      | 2.97%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2007-53, Class SW                                                                   | CUSIP: 38375LGF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     14366 | PA      | $15597.73     | 0.00%             | 2037-09-20      | Floating      | 8.86%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2007-76, Class SA                                                                   | CUSIP: 38375LT67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     95359 | PA      | $600.34       | 0.00%             | 2037-11-20      | Floating      | 2.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2007-74, Class SL                                                                   | CUSIP: 38375LZR4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    347277 | PA      | $1951.80      | 0.00%             | 2037-11-16      | Floating      | 2.77%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2008-1                                                                              | CUSIP: 38375PCK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     15537 | PA      | $12839.69     | 0.00%             | 2038-01-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2008-13, Class PI                                                                   | CUSIP: 38375PNB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    170196 | PA      | $10853.18     | 0.00%             | 2038-02-16      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2008-96, Class SL                                                                   | CUSIP: 38375PY88<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     62975 | PA      | $483.66       | 0.00%             | 2038-12-20      | Floating      | 2.22%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2008-10, Class S                                                                    | CUSIP: 38375PYG0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     50797 | PA      | $243.49       | 0.00%             | 2038-02-20      | Floating      | 2.05%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2008-33, Class XS                                                                   | CUSIP: 38375QFE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     54060 | PA      | $2244.83      | 0.00%             | 2038-04-16      | Floating      | 3.93%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2008-55, Class SA                                                                   | CUSIP: 38375QK73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     56883 | PA      | $245.95       | 0.00%             | 2038-06-20      | Floating      | 2.42%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2008-40, Class SA                                                                   | CUSIP: 38375QKS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    309392 | PA      | $15360.27     | 0.00%             | 2038-05-16      | Floating      | 2.63%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2017-H16, Class F                                                                   | CUSIP: 38375UD56<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    839259 | PA      | $844053.26    | 0.01%             | 2067-08-20      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2017-H17, Class FQ                                                                  | CUSIP: 38375UK66<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1440572 | PA      | $1455554.26   | 0.02%             | 2067-09-20      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2016-H11, Class FD                                                                  | CUSIP: 38375UWR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    295513 | PA      | $298595.68    | 0.00%             | 2066-05-20      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2017-H25, Class HI                                                                  | CUSIP: 38375UZ94<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1440767 | PA      | $54393.59     | 0.00%             | 2067-10-20      | Variable      | 2.10%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2008-62, Class SA                                                                   | CUSIP: 38375XHT4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    282801 | PA      | $1573.84      | 0.00%             | 2038-07-20      | Floating      | 2.37%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2008-71, Class SC                                                                   | CUSIP: 38375XML5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     19371 | PA      | $100.10       | 0.00%             | 2038-08-20      | Floating      | 2.22%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2008-93, Class AS                                                                   | CUSIP: 38375Y2X9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     90007 | PA      | $5043.47      | 0.00%             | 2038-12-20      | Floating      | 1.92%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2009-6, Class SA                                                                    | CUSIP: 38375Y5V0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     69569 | PA      | $341.34       | 0.00%             | 2039-02-16      | Floating      | 2.33%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2009-79, Class OK                                                                   | CUSIP: 38376CXX2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     65812 | PA      | $55610.64     | 0.00%             | 2037-11-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2009-106, Class AS                                                                  | CUSIP: 38376JFB5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    257597 | PA      | $25604.03     | 0.00%             | 2039-11-16      | Floating      | 2.63%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2009-106, Class ST                                                                  | CUSIP: 38376JFW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    275899 | PA      | $3549.46      | 0.00%             | 2038-02-20      | Floating      | 2.22%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2011-97, Class WA                                                                   | CUSIP: 38376LK65<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    337436 | PA      | $344604.66    | 0.01%             | 2038-11-20      | Variable      | 6.07%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2017-H08, Class XI                                                                  | CUSIP: 38376R2M7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1374784 | PA      | $57467.21     | 0.00%             | 2067-03-20      | Variable      | 2.22%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2017-H11, Class XI                                                                  | CUSIP: 38376R4N3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4438378 | PA      | $157015.60    | 0.00%             | 2067-05-20      | Variable      | 2.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2017-H14, Class AI                                                                  | CUSIP: 38376R5Q5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1667570 | PA      | $71182.38     | 0.00%             | 2067-06-20      | Variable      | 2.29%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2017-H14, Class XI                                                                  | CUSIP: 38376R5T9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2247057 | PA      | $58450.90     | 0.00%             | 2067-06-20      | Variable      | 1.87%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2016-H26, Class FC                                                                  | CUSIP: 38376RN28<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    289365 | PA      | $291333.66    | 0.00%             | 2066-12-20      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2017-H05, Class FC                                                                  | CUSIP: 38376RU61<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    375396 | PA      | $376545.80    | 0.01%             | 2067-02-20      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2016-H13, Class FT                                                                  | CUSIP: 38376RUS3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10371 | PA      | $10382.39     | 0.00%             | 2066-05-20      | Floating      | 4.38%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2016-H13, Class FD                                                                  | CUSIP: 38376RUV6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    148122 | PA      | $148182.85    | 0.00%             | 2066-05-20      | Floating      | 3.93%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2010-14, Class BO                                                                   | CUSIP: 38376WBQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     41626 | PA      | $35810.24     | 0.00%             | 2035-11-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2010-14, Class CO                                                                   | CUSIP: 38376WBS3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    236202 | PA      | $202541.85    | 0.00%             | 2035-08-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2010-103, Class WA                                                                  | CUSIP: 38377DSY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    123916 | PA      | $127063.80    | 0.00%             | 2034-08-20      | Variable      | 5.65%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2010-41, Class WA                                                                   | CUSIP: 38377EAA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    225757 | PA      | $232105.04    | 0.00%             | 2033-10-20      | Variable      | 5.80%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2010-130, Class CP                                                                  | CUSIP: 38377LK72<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    131578 | PA      | $140836.10    | 0.00%             | 2040-10-16      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2010-129, Class AW                                                                  | CUSIP: 38377MBJ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    139262 | PA      | $143777.64    | 0.00%             | 2037-04-20      | Variable      | 5.80%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2010-157, Class OP                                                                  | CUSIP: 38377NF41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    382140 | PA      | $334417.26    | 0.01%             | 2040-12-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2011-22, Class WA                                                                   | CUSIP: 38377QRC3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    402874 | PA      | $415066.01    | 0.01%             | 2037-02-20      | Variable      | 5.76%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2011-100, Class MY                                                                  | CUSIP: 38377XBW1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    666589 | PA      | $664779.16    | 0.01%             | 2041-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2011-137, Class WA                                                                  | CUSIP: 38377YX39<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    770703 | PA      | $808910.07    | 0.01%             | 2040-07-20      | Variable      | 5.58%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2011-163, Class WA                                                                  | CUSIP: 38378AS36<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    461754 | PA      | $480136.72    | 0.01%             | 2038-12-20      | Variable      | 5.83%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2012-147, Class AK                                                                  | CUSIP: 38378B3P2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3745884 | PA      | $3533960.03   | 0.05%             | 2054-04-16      | Variable      | 3.01%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2012-24, Class WA                                                                   | CUSIP: 38378C2Z9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    973517 | PA      | $1008784.15   | 0.02%             | 2041-07-20      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2012-59, Class WA                                                                   | CUSIP: 38378ERH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    214636 | PA      | $221777.92    | 0.00%             | 2038-08-20      | Variable      | 5.58%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2012-138, Class PT                                                                  | CUSIP: 38378GKK3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1475515 | PA      | $1449773.97   | 0.02%             | 2042-11-16      | Variable      | 3.99%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2012-141, Class WA                                                                  | CUSIP: 38378GPE2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1860453 | PA      | $1877344.47   | 0.03%             | 2041-11-16      | Variable      | 4.52%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2012-141, Class WB                                                                  | CUSIP: 38378GPF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1426167 | PA      | $1387180.20   | 0.02%             | 2042-09-16      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2012-141, Class WC                                                                  | CUSIP: 38378GPG7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    895792 | PA      | $868896.02    | 0.01%             | 2042-01-20      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2013-75, Class WA                                                                   | CUSIP: 38378J4C3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    198952 | PA      | $205625.25    | 0.00%             | 2040-06-20      | Variable      | 5.07%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2013-26, Class AK                                                                   | CUSIP: 38378JBH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    473536 | PA      | $484880.65    | 0.01%             | 2041-09-20      | Variable      | 4.70%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2013-54, Class WA                                                                   | CUSIP: 38378MRL1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    904234 | PA      | $937827.78    | 0.01%             | 2042-11-20      | Variable      | 4.90%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2014-188, Class W                                                                   | CUSIP: 38379HTQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    478979 | PA      | $488066.73    | 0.01%             | 2041-10-20      | Variable      | 4.54%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2015-91, Class W                                                                    | CUSIP: 38379PU62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    453115 | PA      | $472153.87    | 0.01%             | 2040-05-20      | Variable      | 5.27%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2015-137, Class WA                                                                  | CUSIP: 38379QAH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    135379 | PA      | $141472.99    | 0.00%             | 2038-01-20      | Variable      | 5.55%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2017-76, Class B                                                                    | CUSIP: 38379RWA7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4836178 | PA      | $3654132.17   | 0.06%             | 2056-12-16      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2016-90, Class LI                                                                   | CUSIP: 38379XR69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1127723 | PA      | $201711.42    | 0.00%             | 2046-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2017-99, Class PT                                                                   | CUSIP: 38380F3R5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    473633 | PA      | $499406.94    | 0.01%             | 2044-08-20      | Variable      | 5.99%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2020-H05                                                                            | CUSIP: 38380L5P4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  19016212 | PA      | $1118113.36   | 0.02%             | 2070-03-20      | Variable      | 1.70%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2020-H07, Class DI                                                                  | CUSIP: 38380L7Y3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  22555109 | PA      | $1352629.91   | 0.02%             | 2070-04-20      | Variable      | 1.99%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2019-H15, Class IJ                                                                  | CUSIP: 38380LD42<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2924972 | PA      | $59438.35     | 0.00%             | 2069-08-20      | Variable      | 2.18%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2019-H18, Class CI                                                                  | CUSIP: 38380LK85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  20421437 | PA      | $1124512.55   | 0.02%             | 2069-10-20      | Variable      | 1.49%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2018-H18, Class AI                                                                  | CUSIP: 38380LMQ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  43361068 | PA      | $2739204.02   | 0.04%             | 2068-09-20      | Variable      | 1.64%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2019-H18, Class KI                                                                  | CUSIP: 38380LN33<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    455326 | PA      | $2215.12      | 0.00%             | 2069-11-20      | Variable      | 2.35%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2020-H02, Class DI                                                                  | CUSIP: 38380LV75<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1557404 | PA      | $11186.06     | 0.00%             | 2069-12-20      | Variable      | 2.24%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2019-H12, Class JI                                                                  | CUSIP: 38380LXF5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     94407 | PA      | $22.70        | 0.00%             | 2069-07-20      | Variable      | 2.02%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2019-H14, Class KI                                                                  | CUSIP: 38380LYP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     50562 | PA      | $12.73        | 0.00%             | 2069-07-20      | Variable      | 2.24%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2019-H14, Class IE                                                                  | CUSIP: 38380LZG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1820195 | PA      | $46058.23     | 0.00%             | 2069-05-20      | Variable      | 0.61%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2020-121, Class B                                                                   | CUSIP: 38380PW75<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10913547 | PA      | $8340768.98   | 0.13%             | 2060-08-16      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2021-H03, Class PI                                                                  | CUSIP: 38380QA85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  30491815 | PA      | $1524079.63   | 0.02%             | 2071-02-20      | Variable      | 1.31%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2021-H03, Class NI                                                                  | CUSIP: 38380QA93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  28214996 | PA      | $1357399.07   | 0.02%             | 2071-02-20      | Variable      | 0.85%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2021-H03, Class IP                                                                  | CUSIP: 38380QB27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  38299280 | PA      | $1892864.14   | 0.03%             | 2071-02-20      | Variable      | 1.66%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2021-H03, Class IN                                                                  | CUSIP: 38380QB35<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  50112917 | PA      | $2429818.99   | 0.04%             | 2071-02-20      | Variable      | 0.71%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2021-H03, Class TI                                                                  | CUSIP: 38380QB43<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  53783657 | PA      | $2478818.84   | 0.04%             | 2071-02-20      | Variable      | 0.88%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2020-H09, Class IE                                                                  | CUSIP: 38380QBJ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4389570 | PA      | $182080.09    | 0.00%             | 2070-05-20      | Variable      | 2.18%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2020-H11, Class GI                                                                  | CUSIP: 38380QCV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    359078 | PA      | $3521.57      | 0.00%             | 2067-07-20      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2021-H05, Class IQ                                                                  | CUSIP: 38380QJ29<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  74406642 | PA      | $3199976.68   | 0.05%             | 2071-02-20      | Variable      | 1.68%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2021-H05, Class QI                                                                  | CUSIP: 38380QJ45<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        | 108042990 | PA      | $3660139.96   | 0.06%             | 2071-03-20      | Variable      | 0.47%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2021-H06, Class IA                                                                  | CUSIP: 38380QK35<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  17109409 | PA      | $511670.55    | 0.01%             | 2071-03-20      | Variable      | 0.54%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2020-H17, Class IK                                                                  | CUSIP: 38380QMX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  40525791 | PA      | $2558782.17   | 0.04%             | 2070-10-20      | Variable      | 1.77%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2020-H17, Class IJ                                                                  | CUSIP: 38380QNE8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9433160 | PA      | $447069.47    | 0.01%             | 2070-10-20      | Variable      | 1.52%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2021-H06, Class QI                                                                  | CUSIP: 38380QR53<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  41369266 | PA      | $1283278.77   | 0.02%             | 2071-04-20      | Variable      | 0.38%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2021-H06                                                                            | CUSIP: 38380QS60<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  71785013 | PA      | $2923365.70   | 0.04%             | 2071-04-20      | Variable      | 0.85%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2020-H22, Class JI                                                                  | CUSIP: 38380QSP8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        | 109683182 | PA      | $5831920.01   | 0.09%             | 2070-12-20      | Variable      | 1.12%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2020-H22, Class IH                                                                  | CUSIP: 38380QSQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10648542 | PA      | $563631.88    | 0.01%             | 2070-12-20      | Variable      | 1.22%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2021-H01, Class DI                                                                  | CUSIP: 38380QUK6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  24954139 | PA      | $1928892.96   | 0.03%             | 2070-12-20      | Variable      | 2.05%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2021-H01, Class AI                                                                  | CUSIP: 38380QUM2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  76667647 | PA      | $4435707.18   | 0.07%             | 2070-11-20      | Variable      | 1.72%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2021-H02, Class HI                                                                  | CUSIP: 38380QWE8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  22761969 | PA      | $606802.18    | 0.01%             | 2071-01-20      | Variable      | 1.61%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2021-H02, Class IH                                                                  | CUSIP: 38380QXH0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  16892681 | PA      | $837291.83    | 0.01%             | 2071-01-20      | Variable      | 0.86%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2021-H02, Class JI                                                                  | CUSIP: 38380QXJ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  24841785 | PA      | $1148008.71   | 0.02%             | 2071-01-20      | Variable      | 0.74%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2021-H02, Class IJ                                                                  | CUSIP: 38380QXK3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        | 107345785 | PA      | $5688828.09   | 0.09%             | 2071-01-20      | Variable      | 1.12%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2021-H03, Class IE                                                                  | CUSIP: 38380QYX4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7061177 | PA      | $285852.80    | 0.00%             | 2071-02-20      | Variable      | 0.74%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2018-H04, Class FE                                                                  | CUSIP: 38380VPB1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    619644 | PA      | $622768.31    | 0.01%             | 2068-02-20      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2018-160, Class PA                                                                  | CUSIP: 38381AH74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    543775 | PA      | $539533.26    | 0.01%             | 2046-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2021-211, Class AC                                                                  | CUSIP: 38381EJA7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3652376 | PA      | $2743759.54   | 0.04%             | 2063-01-16      | Fixed         | 1.30%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2025-105, Class SM                                                                  | CUSIP: 38381NJN9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  13234852 | PA      | $13026674.02  | 0.20%             | 2055-06-20      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2019-31, Class HC                                                                   | CUSIP: 38381RXH7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1129437 | PA      | $1108135.38   | 0.02%             | 2046-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2019-31, Class TS                                                                   | CUSIP: 38381RYS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  13092184 | PA      | $1209037.03   | 0.02%             | 2049-03-20      | Floating      | 2.27%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2019-65, Class ST                                                                   | CUSIP: 38381VLL2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6535440 | PA      | $685527.80    | 0.01%             | 2049-05-20      | Floating      | 2.27%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2019-112, Class GS                                                                  | CUSIP: 38381Y4K7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1510554 | PA      | $198659.16    | 0.00%             | 2049-09-20      | Floating      | 2.29%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2019-111                                                                            | CUSIP: 38381YLH5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4588062 | PA      | $694676.69    | 0.01%             | 2049-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2019-112, Class SG                                                                  | CUSIP: 38381YS88<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2105063 | PA      | $216715.58    | 0.00%             | 2049-09-20      | Floating      | 2.32%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2020-47, Class AI                                                                   | CUSIP: 38382EAK3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4128729 | PA      | $780825.97    | 0.01%             | 2050-04-16      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2020-85, Class IA                                                                   | CUSIP: 38382FVE1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  16697578 | PA      | $2568613.44   | 0.04%             | 2050-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2020-97, Class AI                                                                   | CUSIP: 38382GWQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8623122 | PA      | $1569479.00   | 0.02%             | 2050-07-20      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2020-97, Class IA                                                                   | CUSIP: 38382GWR9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  11078356 | PA      | $1973875.09   | 0.03%             | 2050-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2020-95, Class HI                                                                   | CUSIP: 38382GY97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7938162 | PA      | $1377071.84   | 0.02%             | 2050-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2020-112, Class GI                                                                  | CUSIP: 38382HLF5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9479465 | PA      | $2033981.39   | 0.03%             | 2050-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2020-122, Class HI                                                                  | CUSIP: 38382HNW6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  17869416 | PA      | $2746827.67   | 0.04%             | 2050-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2020-134, Class IH                                                                  | CUSIP: 38382JBN5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  19218233 | PA      | $3258818.48   | 0.05%             | 2050-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2020-133, Class EI                                                                  | CUSIP: 38382JE77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  13283835 | PA      | $2130788.16   | 0.03%             | 2050-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2020-133, Class KB                                                                  | CUSIP: 38382JG91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7666734 | PA      | $6357634.46   | 0.10%             | 2050-08-20      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2020-133, Class IH                                                                  | CUSIP: 38382JN85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2847425 | PA      | $307901.48    | 0.00%             | 2049-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2020-149, Class SH                                                                  | CUSIP: 38382KCC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  16703386 | PA      | $487872.50    | 0.01%             | 2050-10-20      | Floating      | 3.06%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2020-149, Class TS                                                                  | CUSIP: 38382KCS0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  14929411 | PA      | $395392.03    | 0.01%             | 2050-10-20      | Floating      | 3.06%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2020-187, Class WA                                                                  | CUSIP: 38382LC74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3548569 | PA      | $3458256.19   | 0.05%             | 2041-07-16      | Variable      | 3.76%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2020-189, Class JI                                                                  | CUSIP: 38382MBX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10361464 | PA      | $1989242.53   | 0.03%             | 2050-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2021-15, Class EI                                                                   | CUSIP: 38382MY94<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  16810504 | PA      | $2389088.70   | 0.04%             | 2051-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2021-16, Class JI                                                                   | CUSIP: 38382NAW7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  18710105 | PA      | $2896417.86   | 0.04%             | 2050-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2021-27, Class TI                                                                   | CUSIP: 38382NKM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  12120380 | PA      | $1803691.86   | 0.03%             | 2051-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2021-69, Class CI                                                                   | CUSIP: 38382RUD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8473993 | PA      | $1564155.88   | 0.02%             | 2051-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2021-103, Class WA                                                                  | CUSIP: 38382T2D5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2800692 | PA      | $2775308.40   | 0.04%             | 2045-06-20      | Variable      | 4.20%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2023-H06, Class EI                                                                  | CUSIP: 38382Y2G7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  41018547 | PA      | $1101592.33   | 0.02%             | 2071-03-20      | Variable      | 0.73%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2021-H14, Class IY                                                                  | CUSIP: 38382YFL2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  76285716 | PA      | $1789997.14   | 0.03%             | 2071-09-20      | Variable      | 0.16%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2021-226, Class ZH                                                                  | CUSIP: 38383FBM4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1298743 | PA      | $827819.64    | 0.01%             | 2051-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2022-190, Class LS                                                                  | CUSIP: 38383LBR0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7759025 | PA      | $7528935.46   | 0.11%             | 2052-11-20      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2022-64, Class ZY                                                                   | CUSIP: 38383PT92<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4537421 | PA      | $3255386.47   | 0.05%             | 2050-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2022-87, Class JT                                                                   | CUSIP: 38383RYV3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  11601830 | PA      | $11865075.85  | 0.18%             | 2052-05-20      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2023-55, Class MT                                                                   | CUSIP: 38383X3Q5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3657184 | PA      | $3631969.27   | 0.05%             | 2053-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2023-43, Class B                                                                    | CUSIP: 38383XCA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  14267615 | PA      | $13744093.11  | 0.21%             | 2049-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2023-53, Class SL                                                                   | CUSIP: 38383XJ54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7292372 | PA      | $7122532.90   | 0.11%             | 2053-04-20      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2022-179, Class WE                                                                  | CUSIP: 38383Y5K4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3820673 | PA      | $3848204.47   | 0.06%             | 2052-10-20      | Floating      | 6.35%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2022-172, Class DS                                                                  | CUSIP: 38383YW65<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3594251 | PA      | $3789913.09   | 0.06%             | 2052-10-20      | Floating      | 6.19%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2023-69, Class S                                                                    | CUSIP: 38384AB77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4896724 | PA      | $4925718.49   | 0.07%             | 2053-05-20      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2023-63, Class SY                                                                   | CUSIP: 38384ADQ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5928035 | PA      | $6667912.25   | 0.10%             | 2053-05-20      | Floating      | 8.94%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2023-65, Class KS                                                                   | CUSIP: 38384APV9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6806981 | PA      | $6585813.82   | 0.10%             | 2053-05-20      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2023-89, Class SC                                                                   | CUSIP: 38384BLM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6497626 | PA      | $6834919.85   | 0.10%             | 2053-06-20      | Floating      | 6.94%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2023-89, Class BS                                                                   | CUSIP: 38384BMF5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6585718 | PA      | $6369947.89   | 0.10%             | 2053-06-20      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2023-89, Class QS                                                                   | CUSIP: 38384BMT5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8359910 | PA      | $8922426.93   | 0.13%             | 2053-06-20      | Floating      | 7.18%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2023-101, Class S                                                                   | CUSIP: 38384CAL3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1570188 | PA      | $1458563.57   | 0.02%             | 2053-07-20      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2023-115, Class TS                                                                  | CUSIP: 38384CP78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3505879 | PA      | $3680763.25   | 0.06%             | 2053-06-20      | Floating      | 7.81%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2023-128, Class SL                                                                  | CUSIP: 38384CPJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7379794 | PA      | $7832554.86   | 0.12%             | 2053-08-20      | Floating      | 7.42%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2023-146, Class GO                                                                  | CUSIP: 38384DAX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  12577052 | PA      | $10066009.91  | 0.15%             | 2053-10-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2024-64, Class EO                                                                   | CUSIP: 38384MLQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  11912664 | PA      | $10530028.07  | 0.16%             | 2064-04-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2024-164, Class LO                                                                  | CUSIP: 38384XSP9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6235460 | PA      | $5073361.50   | 0.08%             | 2054-06-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2024-197, Class BN                                                                  | CUSIP: 38385BGR5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  16334465 | PA      | $15472111.46  | 0.23%             | 2051-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| HERO Funding Trust                                                   | HERO Funding Trust, Series 2016-4A, Class A1                                                     | CUSIP: 40417QAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    839589 | PA      | $807754.64    | 0.01%             | 2047-09-20      | Fixed         | 3.57%                 | Yes           |                  2 | On Loan: No      |
| HERO Funding Trust                                                   | HERO Funding Trust, Series 2016-4A, Class A2                                                     | CUSIP: 40417QAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    839589 | PA      | $826249.89    | 0.01%             | 2047-09-20      | Fixed         | 4.29%                 | Yes           |                  2 | On Loan: No      |
| HINNT LLC                                                            | HINNT LLC, Series 2024-A, Class B                                                                | CUSIP: 40472QAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3415004 | PA      | $3491782.45   | 0.05%             | 2043-03-15      | Fixed         | 5.84%                 | Yes           |                  2 | On Loan: No      |
| HINNT LLC                                                            | HINNT LLC, Series 2024-A, Class C                                                                | CUSIP: 40472QAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6530576 | PA      | $6681678.24   | 0.10%             | 2043-03-15      | Fixed         | 6.32%                 | Yes           |                  2 | On Loan: No      |
| HERO Funding Trust                                                   | HERO Funding Trust, Series 2015-1A, Class A                                                      | CUSIP: 42770LAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      9328 | PA      | $9113.68      | 0.00%             | 2040-09-21      | Fixed         | 3.84%                 | Yes           |                  2 | On Loan: No      |
| HERO Funding Trust                                                   | HERO Funding Trust, Series 2016-2A, Class A                                                      | CUSIP: 42770WAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1675021 | PA      | $1630268.90   | 0.02%             | 2041-09-20      | Fixed         | 3.75%                 | Yes           |                  2 | On Loan: No      |
| HERO Funding Trust                                                   | HERO Funding Trust, Series 2016-3A, Class A1                                                     | CUSIP: 42770XAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    252722 | PA      | $239658.33    | 0.00%             | 2042-09-20      | Fixed         | 3.08%                 | Yes           |                  2 | On Loan: No      |
| HERO Funding                                                         | HERO Funding, Series 2017-3A, Class A1                                                           | CUSIP: 42771AAA4<br>LEI: 549300Z5C0ID42MSJA91 | Long             | ABS-O            | CORP              | KY        |   2666399 | PA      | $2471831.07   | 0.04%             | 2048-09-20      | Fixed         | 3.19%                 | Yes           |                  2 | On Loan: No      |
| HERO Funding                                                         | HERO Funding, Series 2017-3A, Class A2                                                           | CUSIP: 42771AAB2<br>LEI: 549300Z5C0ID42MSJA91 | Long             | ABS-O            | CORP              | KY        |    438534 | PA      | $416109.77    | 0.01%             | 2048-09-20      | Fixed         | 3.95%                 | Yes           |                  2 | On Loan: No      |
| HERO Funding III                                                     | HERO Funding III, Series 2017-1A, Class A                                                        | CUSIP: 42771BAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    331175 | PA      | $300548.57    | 0.00%             | 2043-09-21      | Fixed         | 3.50%                 | Yes           |                  2 | On Loan: No      |
| HERO Funding Trust                                                   | HERO Funding Trust, Series 2017-2A, Class A1                                                     | CUSIP: 42771LAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    592558 | PA      | $554234.94    | 0.01%             | 2048-09-20      | Fixed         | 3.28%                 | Yes           |                  2 | On Loan: No      |
| HERO Funding Trust                                                   | HERO Funding Trust, Series 2017-1A, Class A2                                                     | CUSIP: 42771XAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |   1512612 | PA      | $1463698.66   | 0.02%             | 2047-09-20      | Fixed         | 4.46%                 | Yes           |                  2 | On Loan: No      |
| HERO Funding Trust                                                   | HERO Funding Trust, Series 2020-1A, Class A                                                      | CUSIP: 42772BAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |   3903744 | PA      | $3446336.11   | 0.05%             | 2057-09-20      | Fixed         | 2.59%                 | Yes           |                  2 | On Loan: No      |
| HERO Funding                                                         | HERO Funding, Series 2018-2A, Class A3                                                           | CUSIP: 42790AAH6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |   7561358 | PA      | $6993576.20   | 0.11%             | 2049-09-20      | Fixed         | 3.39%                 | No            |                  3 | On Loan: No      |
| Hilton Grand Vacations Trust                                         | Hilton Grand Vacations Trust, Series 2022-1D, Class C                                            | CUSIP: 43283BAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    515815 | PA      | $515258.69    | 0.01%             | 2034-06-20      | Fixed         | 4.69%                 | Yes           |                  2 | On Loan: No      |
| Hilton Grand Vacations Trust                                         | Hilton Grand Vacations Trust, Series 2025-3EXT, Class B                                          | CUSIP: 43283DAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9203727 | PA      | $9295359.37   | 0.14%             | 2044-10-25      | Fixed         | 4.90%                 | Yes           |                  2 | On Loan: No      |
| Hilton Grand Vacations Trust                                         | Hilton Grand Vacations Trust, Series 2025-3EXT, Class C                                          | CUSIP: 43283DAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8319285 | PA      | $8425621.92   | 0.13%             | 2044-10-25      | Fixed         | 5.39%                 | Yes           |                  2 | On Loan: No      |
| Hilton Grand Vacations Trust                                         | Hilton Grand Vacations Trust, Series 2022-2A, Class C                                            | CUSIP: 43283GAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1538650 | PA      | $1555247.79   | 0.02%             | 2037-01-25      | Fixed         | 5.57%                 | Yes           |                  2 | On Loan: No      |
| Hilton Grand Vacations Trust                                         | Hilton Grand Vacations Trust, Series 2024-3A, Class C                                            | CUSIP: 43283NAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5982598 | PA      | $6085796.81   | 0.09%             | 2040-08-27      | Fixed         | 5.71%                 | Yes           |                  2 | On Loan: No      |
| Hilton Grand Vacations Trust                                         | Hilton Grand Vacations Trust, Series 2024-1B, Class B                                            | CUSIP: 43283YAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    501132 | PA      | $513199.12    | 0.01%             | 2039-09-15      | Fixed         | 5.99%                 | Yes           |                  2 | On Loan: No      |
| Hilton Grand Vacations Trust                                         | Hilton Grand Vacations Trust, Series 2024-1B, Class C                                            | CUSIP: 43283YAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    947591 | PA      | $973717.50    | 0.01%             | 2039-09-15      | Fixed         | 6.62%                 | Yes           |                  2 | On Loan: No      |
| Hilton Grand Vacations Trust                                         | Hilton Grand Vacations Trust, Series 2020-AA, Class B                                            | CUSIP: 43285HAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    649027 | PA      | $645592.98    | 0.01%             | 2039-02-25      | Fixed         | 4.22%                 | Yes           |                  2 | On Loan: No      |
| Hilton Grand Vacations Trust                                         | Hilton Grand Vacations Trust, Series 2025-2A, Class C                                            | CUSIP: 43285JAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3764617 | PA      | $3814763.62   | 0.06%             | 2044-05-25      | Fixed         | 5.12%                 | Yes           |                  2 | On Loan: No      |
| HINNT LLC                                                            | HINNT LLC, Series 2025-A, Class C                                                                | CUSIP: 433403AC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3637957 | PA      | $3727198.16   | 0.06%             | 2044-03-15      | Fixed         | 5.89%                 | Yes           |                  2 | On Loan: No      |
| Home Partners of America Trust                                       | Home Partners of America Trust, Series 2019-1, Class A                                           | CUSIP: 43731QAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3192187 | PA      | $3128785.92   | 0.05%             | 2039-09-17      | Fixed         | 2.91%                 | Yes           |                  2 | On Loan: No      |
| Home Partners of America Trust                                       | Home Partners of America Trust, Series 2019-1, Class E                                           | CUSIP: 43731QAJ7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3315487 | PA      | $3237395.51   | 0.05%             | 2039-09-17      | Fixed         | 3.60%                 | Yes           |                  2 | On Loan: No      |
| Home Partners of America Trust                                       | Home Partners of America Trust, Series 2021-2, Class D                                           | CUSIP: 43732VAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11513948 | PA      | $11307631.51  | 0.17%             | 2026-12-17      | Fixed         | 2.65%                 | Yes           |                  2 | On Loan: No      |
| Home Partners of America Trust                                       | Home Partners of America Trust, Series 2021-2, Class E1                                          | CUSIP: 43732VAG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10554452 | PA      | $10368874.13  | 0.16%             | 2026-12-17      | Fixed         | 2.85%                 | Yes           |                  2 | On Loan: No      |
| Homeward Opportunities Fund Trust                                    | Homeward Opportunities Fund Trust, Series 2025-RRTL2, Class A1                                   | CUSIP: 437923AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2865000 | PA      | $2877322.37   | 0.04%             | 2040-09-25      | Variable      | 5.24%                 | Yes           |                  2 | On Loan: No      |
| Hudson Yards Mortgage Trust                                          | Hudson Yards Mortgage Trust, Series 2019-30HY, Class A                                           | CUSIP: 44421GAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4180000 | PA      | $4030886.44   | 0.06%             | 2039-07-10      | Fixed         | 3.23%                 | Yes           |                  2 | On Loan: No      |
| Impac Secured Assets CMN Owner Trust                                 | Impac Secured Assets CMN Owner Trust, Series 2001-8, Class A6                                    | CUSIP: 45254TJZ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     95765 | PA      | $99379.74     | 0.00%             | 2032-01-25      | Fixed         | 6.44%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitization Trust                               | Residential Asset Securitization Trust, Series 2005-A16, Class AX                                | CUSIP: 45660L2X6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    454604 | PA      | $93059.34     | 0.00%             | 2036-02-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Trust                                     | IndyMac INDX Mortgage Loan Trust, Series 2006-AR3, Class 2A1A                                    | CUSIP: 45660L5S4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     56706 | PA      | $38188.86     | 0.00%             | 2036-03-25      | Variable      | 3.66%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitization Trust                               | Residential Asset Securitization Trust, Series 2004-IP2, Class 1A1                               | CUSIP: 45660LAN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    153479 | PA      | $153863.41    | 0.00%             | 2034-12-25      | Variable      | 5.99%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitization Trust                               | Residential Asset Securitization Trust, Series 2003-A5, Class A1                                 | CUSIP: 45660NPZ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     71425 | PA      | $71170.90     | 0.00%             | 2033-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Invitation Homes Trust                                               | Invitation Homes Trust, Series 2024-SFR1, Class B                                                | CUSIP: 46188DAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6434000 | PA      | $6310620.33   | 0.10%             | 2041-09-17      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| Invitation Homes Trust                                               | Invitation Homes Trust, Series 2024-SFR1, Class D                                                | CUSIP: 46188DAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8810000 | PA      | $8614240.04   | 0.13%             | 2041-09-17      | Fixed         | 4.25%                 | Yes           |                  2 | On Loan: No      |
| JPMorgan Mortgage Trust                                              | JPMorgan Mortgage Trust, Series 2004-A4, Class 1A1                                               | CUSIP: 466247DX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1526 | PA      | $1499.93      | 0.00%             | 2034-09-25      | Variable      | 6.74%                 | No            |                  2 | On Loan: No      |
| JPMorgan Mortgage Trust                                              | JPMorgan Mortgage Trust, Series 2004-S1, Class 1A7                                               | CUSIP: 466247ER0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3982 | PA      | $3838.78      | 0.00%             | 2034-09-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Mortgage Trust                                              | JPMorgan Mortgage Trust, Series 2006-A2, Class 4A1                                               | CUSIP: 466247K51<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     72249 | PA      | $73609.71     | 0.00%             | 2034-08-25      | Variable      | 6.45%                 | No            |                  2 | On Loan: No      |
| JPMorgan Mortgage Trust                                              | JPMorgan Mortgage Trust, Series 2006-A2, Class 5A2                                               | CUSIP: 466247K85<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     30823 | PA      | $30760.02     | 0.00%             | 2033-11-25      | Variable      | 6.31%                 | No            |                  2 | On Loan: No      |
| JPMorgan Mortgage Trust                                              | JPMorgan Mortgage Trust, Series 2006-A2, Class 5A3                                               | CUSIP: 466247K93<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     55760 | PA      | $55645.85     | 0.00%             | 2033-11-25      | Variable      | 6.31%                 | No            |                  2 | On Loan: No      |
| JPMorgan Mortgage Trust                                              | JPMorgan Mortgage Trust, Series 2005-A1, Class 3A4                                               | CUSIP: 466247LS0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     35303 | PA      | $34233.43     | 0.00%             | 2035-02-25      | Variable      | 5.31%                 | No            |                  2 | On Loan: No      |
| JPMorgan Mortgage Trust                                              | JPMorgan Mortgage Trust, Series 2006-A3, Class 6A1                                               | CUSIP: 46628KAT7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     18291 | PA      | $18225.40     | 0.00%             | 2034-08-25      | Variable      | 4.94%                 | No            |                  2 | On Loan: No      |
| JPMorgan Mortgage Trust                                              | JPMorgan Mortgage Trust, Series 2007-A1, Class 5A2                                               | CUSIP: 46630GAS4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     23598 | PA      | $23561.02     | 0.00%             | 2035-07-25      | Variable      | 5.82%                 | No            |                  2 | On Loan: No      |
| JPMorgan Prime Money Market Fund                                     | JPMorgan Prime Money Market Fund, Class IM                                                       | CUSIP: 46637K844<br>LEI: 549300YD7H8SEEU7VG41 | Long             | STIV             | RF                | US        | 193576195 | NS      | $193653625.37 | 2.92%             |  |  |  | No            |                  1 | On Loan: No      |
| Jonah Energy Abs I LLC                                               | Jonah Energy ABS LLC, Series 2022-1, Class B                                                     | CUSIP: 47987EAD9<br>LEI: 2549003KXV9PPFRCPA79 | Long             | ABS-O            | CORP              | US        |   9500445 | PA      | $9636301.33   | 0.15%             | 2039-08-10      | Fixed         | 7.62%                 | Yes           |                  3 | On Loan: No      |
| Jonah Energy ABS II LLC                                              | Jonah Energy ABS LLC, Series 2024-1A, Class A1                                                   | CUSIP: 479913AA3<br>LEI: 254900MMTK6TS4MGMV20 | Long             | ABS-O            | CORP              | US        |   6603871 | PA      | $6643493.98   | 0.10%             | 2039-08-10      | Fixed         | 6.50%                 | Yes           |                  3 | On Loan: No      |
| KGS-Alpha SBA COOF Trust                                             | KGS-Alpha SBA COOF Trust, Series 2012-6, Class A                                                 | CUSIP: 48247NAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1256750 | PA      | $14063.04     | 0.00%             | 2039-05-25      | Variable      | 0.68%                 | Yes           |                  3 | On Loan: No      |
| KGS-Alpha SBA COOF Trust                                             | KGS-Alpha SBA COOF Trust, Series 2012-4, Class A                                                 | CUSIP: 48247QAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1186448 | PA      | $19833.85     | 0.00%             | 2037-09-25      | Variable      | 1.02%                 | Yes           |                  3 | On Loan: No      |
| KGS-Alpha SBA COOF Trust                                             | KGS-Alpha SBA COOF Trust, Series 2012-3, Class A                                                 | CUSIP: 48248FAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1919 | PA      | $0.00         | 0.00%             | 2026-09-25      | Variable      | 0.99%                 | Yes           |                  3 | On Loan: No      |
| KGS-Alpha SBA COOF Trust                                             | KGS-Alpha SBA COOF Trust, Series 2015-2, Class A                                                 | CUSIP: 48250BAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    364416 | PA      | $35384.38     | 0.00%             | 2041-07-25      | Variable      | 3.36%                 | Yes           |                  3 | On Loan: No      |
| Ladder Capital Commercial Mortgage Trust                             | Ladder Capital Commercial Mortgage Trust, Series 2013-GCP, Class A2                              | CUSIP: 50184BAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2686000 | PA      | $2537435.19   | 0.04%             | 2036-02-15      | Fixed         | 3.99%                 | Yes           |                  2 | On Loan: No      |
| LHOME Mortgage Trust                                                 | LHOME Mortgage Trust, Series 2025-RTL1, Class A1                                                 | CUSIP: 50205UAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6200000 | PA      | $6250213.80   | 0.09%             | 2040-01-25      | Variable      | 5.65%                 | Yes           |                  2 | On Loan: No      |
| LHOME Mortgage Trust                                                 | LHOME Mortgage Trust, Series 2024-RTL5, Class A1                                                 | CUSIP: 50205WAA5<br>LEI: 529900ZQNJ23BIJVY871 | Long             | ABS-MBS          | CORP              | US        |   5780000 | PA      | $5791121.30   | 0.09%             | 2039-09-25      | Variable      | 5.32%                 | Yes           |                  2 | On Loan: No      |
| LHOME Mortgage Trust                                                 | LHOME Mortgage Trust, Series 2025-RTL3, Class A1                                                 | CUSIP: 50205YAA1<br>LEI: 529900XB146PHFHY2T23 | Long             | ABS-MBS          | CORP              | US        |   2500000 | PA      | $2515913.50   | 0.04%             | 2040-08-25      | Variable      | 5.24%                 | Yes           |                  2 | On Loan: No      |
| LHOME Mortgage Trust                                                 | LHOME Mortgage Trust, Series 2026-RTL1, Class A1                                                 | CUSIP: 50206JAA3<br>LEI: 52990026MRD22HI0T740 | Long             | ABS-MBS          | CORP              | US        |   5987000 | PA      | $6012083.73   | 0.09%             | 2041-01-25      | Variable      | 4.91%                 | Yes           |                  3 | On Loan: No      |
| Lhome Mortgage Trust                                                 | LHOME Mortgage Trust, Series 2025-RTL2, Class A1                                                 | CUSIP: 50206RAA5<br>LEI: 529900COAFD3IY51O355 | Long             | ABS-MBS          | CORP              | US        |  10284000 | PA      | $10380762.16  | 0.16%             | 2040-04-25      | Variable      | 5.61%                 | Yes           |                  2 | On Loan: No      |
| Legacy Mortgage Asset Trust                                          | Legacy Mortgage Asset Trust, Series 2021-GS1, Class A1                                           | CUSIP: 52474JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2959108 | PA      | $2961395.11   | 0.04%             | 2066-10-25      | Variable      | 5.89%                 | Yes           |                  2 | On Loan: No      |
| Lehman Mortgage Trust                                                | Lehman Mortgage Trust, Series 2006-2, Class 1A1                                                  | CUSIP: 52520MGG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    164446 | PA      | $101311.30    | 0.00%             | 2036-04-25      | Variable      | 5.73%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust                                                | Lehman Mortgage Trust, Series 2007-6, Class 1A8                                                  | CUSIP: 52521NAH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4245 | PA      | $3766.62      | 0.00%             | 2037-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust                                                | Lehman Mortgage Trust, Series 2008-2, Class 1A6                                                  | CUSIP: 52522UAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    310764 | PA      | $72216.42     | 0.00%             | 2038-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Long Beach Mortgage Loan Trust                                       | Long Beach Mortgage Loan Trust, Series 2004-1, Class M1                                          | CUSIP: 542514EU4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    157581 | PA      | $156863.09    | 0.00%             | 2034-02-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Securitization Trust                                     | MASTR Asset Securitization Trust, Series 2003-11, Class 15                                       | CUSIP: 55265K2Y4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         1 | PA      | $0.00         | 0.00%             | 2018-12-25      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| MASTR Asset Securitization Trust                                     | MASTR Asset Securitization Trust, Series 2003-12, Class 6A1                                      | CUSIP: 55265K3Z0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     20529 | PA      | $17410.56     | 0.00%             | 2033-12-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Securitization Trust                                     | MASTR Asset Securitization Trust, Series 2004-1, Class 30                                        | CUSIP: 55265K6X2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3849 | PA      | $3042.18      | 0.00%             | 2034-02-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Securitization Trust                                     | MASTR Asset Securitization Trust, Series 2004-3                                                  | CUSIP: 55265K8G7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       599 | PA      | $0.01         | 0.00%             | 2034-03-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| MFA Trust                                                            | MFA Trust, Series 2024-RPL1, Class A1                                                            | CUSIP: 55287AAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9718094 | PA      | $9504742.71   | 0.14%             | 2066-02-25      | Variable      | 4.25%                 | Yes           |                  2 | On Loan: No      |
| MHC Commercial Mortgage Trust                                        | MHC Commercial Mortgage Trust, Series 2021-MHC, Class E                                          | CUSIP: 55316VAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     32795 | PA      | $32795.14     | 0.00%             | 2038-04-15      | Floating      | 5.88%                 | Yes           |                  2 | On Loan: No      |
| MRCD MARK Mortgage Trust                                             | MRCD MARK Mortgage Trust, Series 2019-PARK, Class A                                              | CUSIP: 55348UAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $4450000.00   | 0.07%             | 2036-12-15      | Fixed         | 2.72%                 | Yes           |                  2 | On Loan: No      |
| MRCD MARK Mortgage Trust                                             | MRCD MARK Mortgage Trust, Series 2019-PARK, Class E                                              | CUSIP: 55348UAS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7000000 | PA      | $5276250.00   | 0.08%             | 2036-12-15      | Fixed         | 2.72%                 | Yes           |                  2 | On Loan: No      |
| MVW LLC                                                              | MVW LLC, Series 2024-2A, Class C                                                                 | CUSIP: 55389QAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3152721 | PA      | $3166692.88   | 0.05%             | 2042-03-20      | Fixed         | 4.92%                 | Yes           |                  2 | On Loan: No      |
| MVW LLC                                                              | MVW LLC, Series 2025-2A, Class B                                                                 | CUSIP: 55389RAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6422883 | PA      | $6466908.27   | 0.10%             | 2044-10-20      | Fixed         | 4.72%                 | Yes           |                  2 | On Loan: No      |
| MVW LLC                                                              | MVW LLC, Series 2025-2A, Class C                                                                 | CUSIP: 55389RAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5798735 | PA      | $5841500.27   | 0.09%             | 2044-10-20      | Fixed         | 4.97%                 | Yes           |                  2 | On Loan: No      |
| MVW LLC                                                              | MVW LLC, Series 2021-1WA, Class B                                                                | CUSIP: 55389TAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    691384 | PA      | $671755.86    | 0.01%             | 2041-01-22      | Fixed         | 1.44%                 | Yes           |                  2 | On Loan: No      |
| MVW LLC                                                              | MVW LLC, Series 2021-1WA, Class C                                                                | CUSIP: 55389TAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1133802 | PA      | $1102853.27   | 0.02%             | 2041-01-22      | Fixed         | 1.94%                 | Yes           |                  2 | On Loan: No      |
| MVW LLC                                                              | MVW LLC, Series 2020-1A, Class B                                                                 | CUSIP: 55400EAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    360290 | PA      | $357111.79    | 0.01%             | 2037-10-20      | Fixed         | 2.73%                 | Yes           |                  2 | On Loan: No      |
| MVW LLC                                                              | MVW LLC, Series 2020-1A, Class C                                                                 | CUSIP: 55400EAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    240194 | PA      | $239094.99    | 0.00%             | 2037-10-20      | Fixed         | 4.21%                 | Yes           |                  2 | On Loan: No      |
| MVW LLC                                                              | MVW LLC, Series 2022-2A, Class C                                                                 | CUSIP: 55400VAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1495750 | PA      | $1539555.00   | 0.02%             | 2041-10-21      | Fixed         | 7.62%                 | Yes           |                  2 | On Loan: No      |
| MVW LLC                                                              | MVW LLC, Series 2023-2A, Class C                                                                 | CUSIP: 55400WAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1873685 | PA      | $1930115.59   | 0.03%             | 2040-11-20      | Fixed         | 7.06%                 | Yes           |                  2 | On Loan: No      |
| Madison Avenue Manufactured Housing Contract Trust                   | Madison Avenue Manufactured Housing Contract Trust, Series 2002-A                                | CUSIP: 55660AAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  14833046 | PA      | $77591.66     | 0.00%             | 2032-03-25      | Fixed         | 0.30%                 | No            |                  2 | On Loan: No      |
| MASTR Adjustable Rate Mortgages Trust                                | MASTR Adjustable Rate Mortgages Trust, Series 2004-3, Class 4A2                                  | CUSIP: 576433KX3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     17151 | PA      | $15582.91     | 0.00%             | 2034-04-25      | Variable      | 4.23%                 | No            |                  2 | On Loan: No      |
| MASTR Adjustable Rate Mortgages Trust                                | MASTR Adjustable Rate Mortgages Trust, Series 2004-4, Class 2A1                                  | CUSIP: 576433LY0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12279 | PA      | $11844.39     | 0.00%             | 2034-05-25      | Variable      | 5.92%                 | No            |                  2 | On Loan: No      |
| MASTR Adjustable Rate Mortgages Trust                                | MASTR Adjustable Rate Mortgages Trust, Series 2004-13, Class 2A1                                 | CUSIP: 576433UE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     20651 | PA      | $20383.92     | 0.00%             | 2034-04-21      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| MASTR Adjustable Rate Mortgages Trust                                | MASTR Adjustable Rate Mortgages Trust, Series 2004-13, Class 3A7                                 | CUSIP: 576433UM6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    106604 | PA      | $106193.94    | 0.00%             | 2034-11-21      | Variable      | 5.60%                 | No            |                  2 | On Loan: No      |
| MASTR Adjustable Rate Mortgages Trust                                | MASTR Adjustable Rate Mortgages Trust, Series 2004-15, Class 3A1                                 | CUSIP: 576433VM5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     21509 | PA      | $21208.94     | 0.00%             | 2034-12-25      | Variable      | 6.76%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                         | MASTR Alternative Loan Trust, Series 2003-4, Class 2A1                                           | CUSIP: 576434EK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     54577 | PA      | $56685.53     | 0.00%             | 2033-06-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                         | MASTR Alternative Loan Trust, Series 2003-9, Class 8A1                                           | CUSIP: 576434LD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     21140 | PA      | $20301.54     | 0.00%             | 2034-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                         | MASTR Alternative Loan Trust, Series 2004-1, Class 30                                            | CUSIP: 576434LX0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     27593 | PA      | $19338.51     | 0.00%             | 2034-02-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                         | MASTR Alternative Loan Trust, Series 2004-3, Class 2A1                                           | CUSIP: 576434NV2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     50136 | PA      | $51804.13     | 0.00%             | 2034-04-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                         | MASTR Alternative Loan Trust, Series 2005-3, Class AX2                                           | CUSIP: 576434P24<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    463097 | PA      | $70161.42     | 0.00%             | 2035-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                         | MASTR Alternative Loan Trust, Series 2004-3, Class 30                                            | CUSIP: 576434PD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     50474 | PA      | $38489.15     | 0.00%             | 2034-04-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                         | MASTR Alternative Loan Trust, Series 2004-3, Class 30X1                                          | CUSIP: 576434PF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     22808 | PA      | $3303.89      | 0.00%             | 2034-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                         | MASTR Alternative Loan Trust, Series 2004-5, Class 30                                            | CUSIP: 576434RP1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     57667 | PA      | $43706.85     | 0.00%             | 2034-06-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                         | MASTR Alternative Loan Trust, Series 2004-5, Class 30X1                                          | CUSIP: 576434RS5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     17619 | PA      | $2837.06      | 0.00%             | 2034-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                         | MASTR Alternative Loan Trust, Series 2004-6, Class 7A1                                           | CUSIP: 576434SK1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    253908 | PA      | $252421.08    | 0.00%             | 2034-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                         | MASTR Alternative Loan Trust, Series 2004-6, Class 30X1                                          | CUSIP: 576434SS4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     25007 | PA      | $3816.97      | 0.00%             | 2034-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                         | MASTR Alternative Loan Trust, Series 2004-7, Class 30                                            | CUSIP: 576434TQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12815 | PA      | $9154.24      | 0.00%             | 2034-08-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                         | MASTR Alternative Loan Trust, Series 2004-7, Class AX1                                           | CUSIP: 576434TR5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     48443 | PA      | $6435.19      | 0.00%             | 2034-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MASTR Resecuritization Trust                                         | MASTR Resecuritization Trust, Series 2005-PO, Class 3                                            | CUSIP: 576435BB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     31696 | PA      | $24028.19     | 0.00%             | 2035-05-28      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| MASTR Asset Securitization Trust                                     | MASTR Asset Securitization Trust, Series 2004-P7, Class A6                                       | CUSIP: 57643MCH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     26236 | PA      | $22253.78     | 0.00%             | 2033-12-27      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| MASTR Reperforming Loan Trust                                        | MASTR Reperforming Loan Trust, Series 2005-2, Class 1A1F                                         | CUSIP: 57643QAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    998603 | PA      | $467353.54    | 0.01%             | 2035-05-25      | Floating      | 4.14%                 | Yes           |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust                               | Merrill Lynch Mortgage Investors Trust, Series 2003-F, Class A1                                  | CUSIP: 5899292M9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     35433 | PA      | $34945.59     | 0.00%             | 2028-10-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust                               | Merrill Lynch Mortgage Investors Trust, Series 2003-A5, Class 2A6                                | CUSIP: 5899293T3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     35246 | PA      | $34466.73     | 0.00%             | 2033-08-25      | Variable      | 6.11%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust                               | Merrill Lynch Mortgage Investors Trust, Series 2003-A, Class 2A2                                 | CUSIP: 589929G36<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8923 | PA      | $8212.30      | 0.00%             | 2028-03-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust                               | Merrill Lynch Mortgage Investors Trust MLMI, Series 2003-A4, Class 2A                            | CUSIP: 589929W61<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11178 | PA      | $10824.94     | 0.00%             | 2033-07-25      | Variable      | 6.62%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust                               | Merrill Lynch Mortgage Investors Trust, Series 2003-E, Class A1                                  | CUSIP: 589929Y36<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     58625 | PA      | $55522.18     | 0.00%             | 2028-10-25      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust                               | Merrill Lynch Mortgage Investors Trust, Series 2004-D, Class A2                                  | CUSIP: 59020UGG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     37414 | PA      | $36806.95     | 0.00%             | 2029-09-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust                               | Merrill Lynch Mortgage Investors Trust, Series 2004-E, Class A2A                                 | CUSIP: 59020UJQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14690 | PA      | $14085.00     | 0.00%             | 2029-11-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust                               | Merrill Lynch Mortgage Investors Trust, Series 2004-A4, Class A2                                 | CUSIP: 59020ULR4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     62090 | PA      | $59379.06     | 0.00%             | 2034-08-25      | Variable      | 5.11%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust                               | Merrill Lynch Mortgage Investors Trust, Series 2004-1, Class 2A1                                 | CUSIP: 59020UNN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     50092 | PA      | $47092.54     | 0.00%             | 2034-12-25      | Variable      | 5.04%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust                               | Merrill Lynch Mortgage Investors Trust MLMI, Series 2005-A1, Class 3A                            | CUSIP: 59020UQE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7718 | PA      | $7632.23      | 0.00%             | 2034-12-25      | Variable      | 5.02%                 | No            |                  2 | On Loan: No      |
| Mid-State Capital Corp. Trust                                        | Mid-State Capital Corp. Trust, Series 2006-1, Class M1                                           | CUSIP: 59548PAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    501279 | PA      | $504838.34    | 0.01%             | 2040-10-15      | Fixed         | 6.08%                 | Yes           |                  2 | On Loan: No      |
| Midcon Energy Asset Issuer LLC                                       | Midcon Energy Asset Issuer LLC                                                                   | CUSIP: 595641AD3<br>LEI: 254900A8Q2V7V8S0V807 | Long             | ABS-O            | CORP              | US        |   6000000 | PA      | $6000000.00   | 0.09%             | 2051-02-27      | Variable      | 5.31%                 | No            |                  3 | On Loan: No      |
| MOO Securitization Trust                                             | MOO Securitization Trust, Series 2025-RM1, Class A1A                                             | CUSIP: 614872AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  15000000 | PA      | $14742193.50  | 0.22%             | 2065-12-25      | Variable      | 4.50%                 | Yes           |                  3 | On Loan: No      |
| MOO Securitization Trust                                             | MOO Securitization Trust, Series 2025-RM1, Class A1B                                             | CUSIP: 614872AB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1927956.40   | 0.03%             | 2065-12-25      | Variable      | 4.50%                 | Yes           |                  3 | On Loan: No      |
| Morgan Stanley Mortgage Loan Trust                                   | Morgan Stanley Mortgage Loan Trust, Series 2004-3, Class 4A                                      | CUSIP: 61745MA52<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     94969 | PA      | $94843.76     | 0.00%             | 2034-04-25      | Variable      | 5.65%                 | No            |                  2 | On Loan: No      |
| MortgageIT Trust                                                     | MortgageIT Trust, Series 2005-5, Class A1                                                        | CUSIP: 61915RAU0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14632 | PA      | $14684.68     | 0.00%             | 2035-12-25      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| Multi-Family Connecticut Avenue Securities Trust                     | Multi-Family Connecticut Avenue Securities Trust, Series 2023-01, Class M7                       | CUSIP: 62548NAA6<br>LEI: 254900JAK6X5OPMD5925 | Long             | ABS-MBS          | CORP              | US        |   7427149 | PA      | $7633425.43   | 0.12%             | 2053-11-25      | Floating      | 7.67%                 | Yes           |                  2 | On Loan: No      |
| Multi-Family Connecticut Avenue Securities Trust                     | Multi-Family Connecticut Avenue Securities Trust, Series 2024-01, Class M7                       | CUSIP: 62548RAA7<br>LEI: 254900QY3MMJFMNKXA93 | Long             | ABS-MBS          | CORP              | US        |   1143997 | PA      | $1157269.73   | 0.02%             | 2054-07-25      | Floating      | 6.42%                 | Yes           |                  2 | On Loan: No      |
| MVW LLC                                                              | MVW LLC, Series 2025-1A, Class C                                                                 | CUSIP: 627924AC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7632620 | PA      | $7741511.90   | 0.12%             | 2042-09-22      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: No      |
| MVW LLC                                                              | MVW LLC, Series 2024-1A, Class C                                                                 | CUSIP: 62847RAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    948430 | PA      | $975604.92    | 0.01%             | 2043-02-20      | Fixed         | 6.20%                 | Yes           |                  2 | On Loan: No      |
| MVW LLC                                                              | MVW LLC, Series 2023-1A, Class C                                                                 | CUSIP: 62848PAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2661761 | PA      | $2741881.56   | 0.04%             | 2040-10-20      | Fixed         | 6.54%                 | Yes           |                  2 | On Loan: No      |
| NMABS Issuer I LLC                                                   | NMABS Issuer LLC, Series 2025-1A, Class A                                                        | CUSIP: 629174AA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10968141 | PA      | $10989372.78  | 0.17%             | 2055-11-22      | Fixed         | 5.14%                 | Yes           |                  2 | On Loan: No      |
| NACC Reperforming Loan REMIC Trust                                   | NACC Reperforming Loan REMIC Trust, Series 2004-R2, Class A1                                     | CUSIP: 62951MAM2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    120757 | PA      | $106536.58    | 0.00%             | 2034-10-25      | Variable      | 6.50%                 | Yes           |                  2 | On Loan: No      |
| NRZ Excess Spread-Collateralized Notes                               | NRZ Excess Spread-Collateralized Notes, Series 2021-FHT1, Class A                                | CUSIP: 62955MAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3242751 | PA      | $3213660.81   | 0.05%             | 2026-07-25      | Fixed         | 3.10%                 | Yes           |                  2 | On Loan: No      |
| New Century Home Equity Loan Trust                                   | New Century Home Equity Loan Trust, Series 2003-5, Class AI6                                     | CUSIP: 64352VED9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    107108 | PA      | $107107.20    | 0.00%             | 2033-11-25      | Variable      | 4.84%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                                  | New Residential Mortgage Loan Trust, Series 2022-SFR1, Class E1                                  | CUSIP: 64831KAJ5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6152000 | PA      | $6021681.57   | 0.09%             | 2039-02-17      | Fixed         | 3.55%                 | Yes           |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                                  | New Residential Mortgage Loan Trust, Series 2024-RTL1, Class A1                                  | CUSIP: 64831PAA3<br>LEI: 213800CVLC5IFCJL6C96 | Long             | ABS-MBS          | CORP              | US        |  11910000 | PA      | $11939626.13  | 0.18%             | 2039-03-25      | Variable      | 6.66%                 | Yes           |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                                  | New Residential Mortgage Loan Trust, Series 2024-RTL2, Class A1                                  | CUSIP: 64831WAA8<br>LEI: 213800H34ZKQ2LAZZL53 | Long             | ABS-MBS          | CORP              | US        |   7700000 | PA      | $7791613.06   | 0.12%             | 2039-09-25      | Variable      | 5.44%                 | Yes           |                  2 | On Loan: No      |
| NRZ Excess Spread-Collateralized Notes                               | NRZ Excess Spread-Collateralized Notes, Series 2021-GNT1, Class A                                | CUSIP: 65246QAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3414246 | PA      | $3366530.43   | 0.05%             | 2026-11-25      | Fixed         | 3.47%                 | Yes           |                  2 | On Loan: No      |
| Nomura Asset Acceptance Corp. Alternative Loan Trust                 | Nomura Asset Acceptance Corp. Alternative Loan Trust, Series 2003-A1, Class A1                   | CUSIP: 65535VAT5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3126 | PA      | $3152.00      | 0.00%             | 2033-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Nomura Asset Acceptance Corp. Alternative Loan Trust                 | Nomura Asset Acceptance Corp. Alternative Loan Trust, Series 2003-A1, Class A2                   | CUSIP: 65535VAU2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5598 | PA      | $5743.62      | 0.00%             | 2033-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Nomura Asset Acceptance Corp. Alternative Loan Trust                 | Nomura Asset Acceptance Corp. Alternative Loan Trust, Series 2003-A1, Class A5                   | CUSIP: 65535VAX6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     22059 | PA      | $22330.20     | 0.00%             | 2033-04-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                                                           | AMSR Trust, Series 2023-SFR1, Class E2                                                           | CUSIP: 66981XAF8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3000000 | PA      | $2923281.30   | 0.04%             | 2040-04-17      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| AMSR Trust                                                           | AMSR Trust, Series 2022-SFR3, Class E1                                                           | CUSIP: 66981YAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8181000 | PA      | $8041107.35   | 0.12%             | 2039-10-17      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| AMSR Trust                                                           | AMSR Trust, Series 2021-SFR4, Class E2                                                           | CUSIP: 66982FAF6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  12965000 | PA      | $12695840.12  | 0.19%             | 2038-12-17      | Fixed         | 3.01%                 | Yes           |                  2 | On Loan: No      |
| Ocwen Loan Investment Trust                                          | Ocwen Loan Investment Trust, Series 2023-HB1, Class M1                                           | CUSIP: 67578KAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1550000 | PA      | $1541416.72   | 0.02%             | 2036-06-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Ocwen Loan Investment Trust                                          | Ocwen Loan Investment Trust, Series 2024-HB1, Class A                                            | CUSIP: 675952AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1301989 | PA      | $1285200.23   | 0.02%             | 2037-02-25      | Fixed         | 3.00%                 | Yes           |                  3 | On Loan: No      |
| Ocwen Loan Investment Trust                                          | Ocwen Loan Investment Trust, Series 2024-HB1, Class M2                                           | CUSIP: 675952AC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1390000 | PA      | $1358417.25   | 0.02%             | 2037-02-25      | Fixed         | 3.00%                 | Yes           |                  3 | On Loan: No      |
| Onity Loan Investment Trust                                          | Onity Loan Investment Trust, Series 2025-HB1, Class M1                                           | CUSIP: 68278EAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4115000 | PA      | $3946843.82   | 0.06%             | 2038-06-25      | Variable      | 3.00%                 | Yes           |                  3 | On Loan: No      |
| OLIT                                                                 | OLIT, Series 2025-HB2, Class M1                                                                  | CUSIP: 68278FAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6675000 | PA      | $6356507.72   | 0.10%             | 2038-11-25      | Variable      | 3.00%                 | Yes           |                  3 | On Loan: No      |
| PRPM LLC                                                             | PRPM LLC, Series 2024-RCF1, Class A1                                                             | CUSIP: 693581AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3234270 | PA      | $3213322.24   | 0.05%             | 2054-01-25      | Variable      | 4.00%                 | Yes           |                  2 | On Loan: No      |
| PRPM LLC                                                             | PRPM LLC, Series 2023-RCF2, Class A1                                                             | CUSIP: 69380RAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2120886 | PA      | $2107725.86   | 0.03%             | 2053-11-25      | Variable      | 4.00%                 | Yes           |                  2 | On Loan: No      |
| PRPM LLC                                                             | PRPM LLC, Series 2024-RPL1, Class A1                                                             | CUSIP: 69380XAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7824766 | PA      | $7751922.47   | 0.12%             | 2064-12-25      | Variable      | 4.20%                 | Yes           |                  2 | On Loan: No      |
| PRET Trust                                                           | PRET Trust, Series 2024-RPL2, Class A1                                                           | CUSIP: 69392CAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7566171 | PA      | $7325775.73   | 0.11%             | 2064-06-25      | Variable      | 4.07%                 | Yes           |                  2 | On Loan: No      |
| Pagaya AI Technology in Housing Trust                                | Pagaya AI Technology in Housing Trust, Series 2023-1, Class A                                    | CUSIP: 69547YAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $4892353.00   | 0.07%             | 2040-10-25      | Fixed         | 3.60%                 | Yes           |                  2 | On Loan: No      |
| Piper ABS Issuer I LLC                                               | Piper ABS Issuer LLC, Series 2025-1A, Class A1                                                   | CUSIP: 72408KAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10000000 | PA      | $10000000.00  | 0.15%             | 2046-01-15      | Fixed         | 5.29%                 | No            |                  3 | On Loan: No      |
| Prime Mortgage Trust                                                 | Prime Mortgage Trust, Series 2004-CL1, Class 1A1                                                 | CUSIP: 74160MDK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     46534 | PA      | $47032.37     | 0.00%             | 2034-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Prime Mortgage Trust                                                 | Prime Mortgage Trust, Series 2005-4, Class 2                                                     | CUSIP: 74160MKY7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     42642 | PA      | $33779.50     | 0.00%             | 2035-10-25      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| PRM7 Trust                                                           | PRM7 Trust, Series 2025-PRM7, Class C                                                            | CUSIP: 74290HAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2945000 | PA      | $2956084.98   | 0.04%             | 2042-11-10      | Variable      | 4.94%                 | Yes           |                  2 | On Loan: No      |
| PRM7 Trust                                                           | PRM7 Trust, Series 2025-PRM7, Class D                                                            | CUSIP: 74290HAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6770000 | PA      | $6834172.15   | 0.10%             | 2042-11-10      | Variable      | 5.66%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                                           | Progress Residential Trust, Series 2024-SFR2, Class D                                            | CUSIP: 74290XAG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2576000 | PA      | $2481019.53   | 0.04%             | 2041-04-17      | Variable      | 3.40%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                                           | Progress Residential Trust, Series 2024-SFR2, Class E1                                           | CUSIP: 74290XAJ0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7625000 | PA      | $7271508.05   | 0.11%             | 2041-04-17      | Variable      | 3.40%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                                           | Progress Residential Trust, Series 2022-SFR3, Class D                                            | CUSIP: 74331UAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4555000 | PA      | $4524738.40   | 0.07%             | 2039-04-17      | Fixed         | 4.45%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                                           | Progress Residential Trust, Series 2022-SFR3, Class E2                                           | CUSIP: 74331UAL2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11870000 | PA      | $11872946.13  | 0.18%             | 2039-04-17      | Fixed         | 5.60%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                                           | Progress Residential Trust, Series 2024-SFR3, Class E1                                           | CUSIP: 74331VAJ5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $4838305.00   | 0.07%             | 2041-06-17      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                                           | Progress Residential Trust, Series 2022-SFR2, Class E1                                           | CUSIP: 74332VAJ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11300000 | PA      | $11200345.30  | 0.17%             | 2027-04-17      | Fixed         | 4.55%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                                           | Progress Residential Trust, Series 2021-SFR5, Class E1                                           | CUSIP: 74333FAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6775000 | PA      | $6712161.20   | 0.10%             | 2038-07-17      | Fixed         | 2.21%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                                           | Progress Residential Trust, Series 2021-SFR7, Class C                                            | CUSIP: 74333PAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6246000 | PA      | $5871361.17   | 0.09%             | 2040-08-17      | Fixed         | 2.04%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                                           | Progress Residential Trust, Series 2021-SFR8, Class E2                                           | CUSIP: 74333TAL3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6000000 | PA      | $5918126.40   | 0.09%             | 2038-10-17      | Fixed         | 2.53%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                                           | Progress Residential Trust, Series 2021-SFR10, Class E1                                          | CUSIP: 74333WAJ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6428839 | PA      | $6261611.78   | 0.09%             | 2040-12-17      | Fixed         | 3.57%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                                           | Progress Residential Trust, Series 2022-SFR1, Class E1                                           | CUSIP: 74333YAJ7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10000000 | PA      | $9771615.00   | 0.15%             | 2041-02-17      | Fixed         | 3.93%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                                           | Progress Residential Trust, Series 2025-SFR6, Class D                                            | CUSIP: 74334EAG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7730000 | PA      | $7332586.01   | 0.11%             | 2042-12-17      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                                           | Progress Residential Trust, Series 2025-SFR2, Class D                                            | CUSIP: 74334GAG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7665078 | PA      | $7237172.37   | 0.11%             | 2042-04-17      | Fixed         | 3.56%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                                           | Progress Residential Trust, Series 2025-SFR1, Class E1                                           | CUSIP: 74334NAJ0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6500000 | PA      | $6175095.55   | 0.09%             | 2042-02-17      | Fixed         | 3.75%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                                           | Progress Residential Trust, Series 2025-SFR5, Class D                                            | CUSIP: 74334RAG7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2438585 | PA      | $2339130.74   | 0.04%             | 2042-10-17      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| PRPM LLC                                                             | PRPM LLC, Series 2024-RCF3, Class A1                                                             | CUSIP: 74390BAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3129726 | PA      | $3111899.77   | 0.05%             | 2054-05-25      | Variable      | 4.00%                 | Yes           |                  2 | On Loan: No      |
| RALI Trust                                                           | RALI Trust, Series 2007-QS1, Class 1A1                                                           | CUSIP: 74922KAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     81278 | PA      | $65945.97     | 0.00%             | 2037-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| RCKT Mortgage Trust                                                  | RCKT Mortgage Trust, Series 2026-CES2, Class A1A                                                 | CUSIP: 74940EAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7900000 | PA      | $7907096.57   | 0.12%             | 2056-02-01      | Variable      | 4.76%                 | Yes           |                  2 | On Loan: No      |
| ROCK Trust                                                           | ROCK Trust, Series 2024-CNTR, Class B                                                            | CUSIP: 74970WAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $5203068.50   | 0.08%             | 2041-11-13      | Fixed         | 5.93%                 | Yes           |                  2 | On Loan: No      |
| ROCK Trust                                                           | ROCK Trust, Series 2024-CNTR, Class C                                                            | CUSIP: 74970WAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  15580000 | PA      | $16336479.11  | 0.25%             | 2041-11-13      | Fixed         | 6.47%                 | Yes           |                  2 | On Loan: No      |
| RFM Reremic Trust                                                    | RFM Re-REMIC Trust, Series 2024-FRR2, Class A100                                                 | CUSIP: 74983PAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11000000 | PA      | $9236262.20   | 0.14%             | 2052-11-27      | None          | 0.00%                 | Yes           |                  3 | On Loan: No      |
| Rain City Mortgage Trust                                             | Rain City Mortgage Trust, Series 2024-RTL1, Class A1                                             | CUSIP: 75079KAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4631000 | PA      | $4688147.47   | 0.07%             | 2029-09-25      | Variable      | 6.53%                 | Yes           |                  2 | On Loan: No      |
| Renaissance Home Equity Loan Trust                                   | Renaissance Home Equity Loan Trust, Series 2007-2, Class AF2                                     | CUSIP: 75970QAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    478553 | PA      | $113307.60    | 0.00%             | 2037-06-25      | Variable      | 5.68%                 | No            |                  2 | On Loan: No      |
| Renew                                                                | Renew, Series 2023-1A, Class A                                                                   | CUSIP: 75973HAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | JE        |  12844469 | PA      | $13462077.75  | 0.20%             | 2058-11-20      | Fixed         | 5.90%                 | Yes           |                  2 | On Loan: No      |
| Renew                                                                | Renew, Series 2017-1A, Class A                                                                   | CUSIP: 75973LAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    215555 | PA      | $204909.20    | 0.00%             | 2052-09-20      | Fixed         | 3.67%                 | Yes           |                  2 | On Loan: No      |
| Renew                                                                | Renew, Series 2017-1A, Class B                                                                   | CUSIP: 75973LAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |     11019 | PA      | $11007.82     | 0.00%             | 2052-09-20      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: No      |
| Renew                                                                | Renew, Series 2024-1A, Class A                                                                   | CUSIP: 75973VAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9749823 | PA      | $9982972.54   | 0.15%             | 2059-11-20      | Fixed         | 6.21%                 | Yes           |                  2 | On Loan: No      |
| RALI Trust                                                           | RALI Trust, Series 2005-QA6, Class A32                                                           | CUSIP: 76110H6F1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    443503 | PA      | $226212.85    | 0.00%             | 2035-05-25      | Variable      | 6.84%                 | No            |                  2 | On Loan: No      |
| RALI Trust                                                           | RALI Trust, Series 2004-QA6, Class NB2                                                           | CUSIP: 76110HH44<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     21912 | PA      | $21108.27     | 0.00%             | 2034-12-26      | Variable      | 4.33%                 | No            |                  2 | On Loan: No      |
| RALI Trust                                                           | RALI Trust, Series 2004-QA4, Class NB3                                                           | CUSIP: 76110HZL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     60956 | PA      | $60298.87     | 0.00%             | 2034-09-25      | Variable      | 7.20%                 | No            |                  2 | On Loan: No      |
| RALI Trust                                                           | RALI Trust, Series 2005-QA10, Class A31                                                          | CUSIP: 761118GD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     46331 | PA      | $30606.74     | 0.00%             | 2035-09-25      | Variable      | 4.97%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitization Trust                               | Residential Asset Securitization Trust, Series 2006-A6, Class 2A13                               | CUSIP: 76113FBC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    163812 | PA      | $79809.32     | 0.00%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| RFT TRUST                                                            | RFT TRUST, Series 2024-2, Class A1                                                               | CUSIP: 76201AAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  14593234 | PA      | $14597408.00  | 0.22%             | 2028-09-27      | Variable      | 7.11%                 | Yes           |                  2 | On Loan: No      |
| RMF Buyout Issuance Trust                                            | RMF Buyout Issuance Trust, Series 2020-HB1, Class M3                                             | CUSIP: 76971EAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3300000 | PA      | $3040785.66   | 0.05%             | 2050-10-25      | Variable      | 4.75%                 | Yes           |                  3 | On Loan: No      |
| RWC Commercial Mortgage Trust                                        | RWC Commercial Mortgage Trust, Series 2025-1, Class A                                            | CUSIP: 78348LAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11521209 | PA      | $11598217.20  | 0.18%             | 2040-06-25      | Fixed         | 5.01%                 | Yes           |                  2 | On Loan: No      |
| RWC Commercial Mortgage Trust                                        | RWC Commercial Mortgage Trust, Series 2025-1, Class AS                                           | CUSIP: 78348LAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5395000 | PA      | $5460747.79   | 0.08%             | 2040-06-25      | Fixed         | 5.26%                 | Yes           |                  2 | On Loan: No      |
| RWC Commercial Mortgage Trust                                        | RWC Commercial Mortgage Trust, Series 2025-1, Class B                                            | CUSIP: 78348LAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1650000 | PA      | $1665710.48   | 0.03%             | 2040-06-25      | Fixed         | 5.76%                 | Yes           |                  2 | On Loan: No      |
| SLG Office Trust                                                     | SLG Office Trust, Series 2021-OVA, Class A                                                       | CUSIP: 78449RAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6500000 | PA      | $5927311.65   | 0.09%             | 2041-07-15      | Fixed         | 2.59%                 | Yes           |                  2 | On Loan: No      |
| SLG Office Trust                                                     | SLG Office Trust, Series 2021-OVA, Class E                                                       | CUSIP: 78449RAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7000000 | PA      | $6146707.70   | 0.09%             | 2041-07-15      | Fixed         | 2.85%                 | Yes           |                  2 | On Loan: No      |
| Citigroup Global Markets Mortgage Securities VII, Inc.               | Citigroup Global Markets Mortgage Securities VII, Inc., Series 2003-UP2, Class 1                 | CUSIP: 79549AXS3<br>LEI: 549300VB2N1G56GWKB41 | Long             | ABS-MBS          | CORP              | US        |       435 | PA      | $433.20       | 0.00%             | 2033-06-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Global Markets Mortgage Securities VII, Inc.               | Citigroup Global Markets Mortgage Securities VII, Inc., Series 2003-HYB1, Class A                | CUSIP: 79549AYG8<br>LEI: 549300VB2N1G56GWKB41 | Long             | ABS-MBS          | CORP              | US        |     19801 | PA      | $19137.51     | 0.00%             | 2033-09-25      | Variable      | 6.74%                 | No            |                  2 | On Loan: No      |
| Securitized Asset-Backed Receivables LLC Trust                       | Securitized Asset-Backed Receivables LLC Trust, Series 2006-CB1, Class AF2                       | CUSIP: 81375WHH2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     47527 | PA      | $41617.05     | 0.00%             | 2036-01-25      | Variable      | 2.80%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                                               | Sequoia Mortgage Trust, Series 2003-1, Class 1A                                                  | CUSIP: 81743PAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     60702 | PA      | $57219.16     | 0.00%             | 2033-04-20      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                                               | Sequoia Mortgage Trust, Series 2004-8, Class A1                                                  | CUSIP: 81744FDJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    176412 | PA      | $156816.20    | 0.00%             | 2034-09-20      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                                               | Sequoia Mortgage Trust, Series 2004-8, Class A2                                                  | CUSIP: 81744FDK0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    101228 | PA      | $96710.44     | 0.00%             | 2034-09-20      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                                               | Sequoia Mortgage Trust, Series 2004-9, Class A1                                                  | CUSIP: 81744FDV6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    309978 | PA      | $287428.28    | 0.00%             | 2034-10-20      | Floating      | 4.46%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                                               | Sequoia Mortgage Trust, Series 2004-10, Class A1A                                                | CUSIP: 81744FET0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    127684 | PA      | $122613.78    | 0.00%             | 2034-11-20      | Floating      | 4.40%                 | No            |                  2 | On Loan: No      |
| Sierra Timeshare Receivables Funding LLC                             | Sierra Timeshare Receivables Funding LLC, Series 2023-2A, Class C                                | CUSIP: 82650BAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2162904 | PA      | $2245918.00   | 0.03%             | 2040-04-20      | Fixed         | 7.30%                 | Yes           |                  2 | On Loan: No      |
| Sierra Timeshare Receivables Funding LLC                             | Sierra Timeshare Receivables Funding LLC, Series 2024-2A, Class C                                | CUSIP: 82650DAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1915214 | PA      | $1952585.17   | 0.03%             | 2041-06-20      | Fixed         | 5.83%                 | Yes           |                  2 | On Loan: No      |
| Sierra Timeshare Receivables Funding LLC                             | Sierra Timeshare Receivables Funding LLC, Series 2025-3A, Class C                                | CUSIP: 82650FAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2629659 | PA      | $2642864.95   | 0.04%             | 2044-08-22      | Fixed         | 4.98%                 | Yes           |                  2 | On Loan: No      |
| Sierra Timeshare Receivables Funding LLC                             | Sierra Timeshare Receivables Funding LLC, Series 2022-2A, Class C                                | CUSIP: 82650TAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1100380 | PA      | $1110973.13   | 0.02%             | 2040-06-20      | Fixed         | 6.36%                 | Yes           |                  2 | On Loan: No      |
| Sierra Timeshare Receivables Funding LLC                             | Sierra Timeshare Receivables Funding LLC, Series 2024-3A, Class C                                | CUSIP: 82653BAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3264230 | PA      | $3295281.47   | 0.05%             | 2041-08-20      | Fixed         | 5.32%                 | Yes           |                  2 | On Loan: No      |
| Sierra Timeshare Receivables Funding LLC                             | Sierra Timeshare Receivables Funding LLC, Series 2025-2A, Class C                                | CUSIP: 82653HAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2690234 | PA      | $2714574.56   | 0.04%             | 2044-04-20      | Fixed         | 5.32%                 | Yes           |                  2 | On Loan: No      |
| Sierra Timeshare Receivables Funding LLC                             | Sierra Timeshare Receivables Funding LLC, Series 2022-3A, Class C                                | CUSIP: 826934AC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1368823 | PA      | $1404996.70   | 0.02%             | 2039-07-20      | Fixed         | 7.63%                 | Yes           |                  2 | On Loan: No      |
| Sierra Timeshare Receivables Funding LLC                             | Sierra Timeshare Receivables Funding LLC, Series 2024-1A, Class C                                | CUSIP: 826935AC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1740836 | PA      | $1766909.34   | 0.03%             | 2043-01-20      | Fixed         | 5.94%                 | Yes           |                  2 | On Loan: No      |
| Structured Asset Securities Corp. Pass-Through Certificates          | Structured Asset Securities Corp. Pass-Through Certificates, Series 2002-AL1, Class A2           | CUSIP: 86358RXY8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      3924 | PA      | $3314.78      | 0.00%             | 2032-02-25      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corp. Pass-Through Certificates          | Structured Asset Securities Corp. Pass-Through Certificates, Series 2002-AL1, Class A3           | CUSIP: 86358RXZ5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     73034 | PA      | $11957.73     | 0.00%             | 2032-02-25      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corp. Mortgage Pass-Through Certificates | Structured Asset Securities Corp. Mortgage Pass-Through Certificates, Series 2003-34A, Class 3A3 | CUSIP: 86359A5B5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     27010 | PA      | $26881.33     | 0.00%             | 2033-11-25      | Variable      | 5.40%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corp. Mortgage Pass-Through Certificates | Structured Asset Securities Corp. Mortgage Pass-Through Certificates, Series 2003-37A, Class 2A  | CUSIP: 86359BBS9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    192740 | PA      | $190242.73    | 0.00%             | 2033-12-25      | Variable      | 5.43%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments II Trust                       | Structured Asset Mortgage Investments II Trust, Series 2004-AR5, Class 1A1                       | CUSIP: 86359LDX4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    131821 | PA      | $128474.05    | 0.00%             | 2034-10-19      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments II Trust                       | Structured Asset Mortgage Investments II Trust, Series 2005-AR5, Class A3                        | CUSIP: 86359LPF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    202696 | PA      | $196415.56    | 0.00%             | 2035-07-19      | Floating      | 4.28%                 | No            |                  2 | On Loan: No      |
| TVC Mortgage Trust                                                   | TVC Mortgage Trust, Series 2026-RRTL1, Class A1                                                  | CUSIP: 87306XAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8695000 | PA      | $8718126.09   | 0.13%             | 2040-04-25      | Variable      | 4.96%                 | Yes           |                  2 | On Loan: No      |
| Thornburg Mortgage Securities Trust                                  | Thornburg Mortgage Securities Trust, Series 2003-4, Class A1                                     | CUSIP: 885220DW0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10531 | PA      | $10571.34     | 0.00%             | 2043-09-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| Thornburg Mortgage Securities Trust                                  | Thornburg Mortgage Securities Trust, Series 2004-1, Class II2A                                   | CUSIP: 885220EW9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7467 | PA      | $7326.43      | 0.00%             | 2044-03-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Toorak Mortgage Trust                                                | Toorak Mortgage Trust, Series 2025-RRTL1, Class A1                                               | CUSIP: 89053JAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1509707.10   | 0.02%             | 2040-02-25      | Variable      | 5.52%                 | Yes           |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                                            | Towd Point Mortgage Trust, Series 2017-FRE2, Class M6                                            | CUSIP: 89175GAK2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    820992 | PA      | $814152.01    | 0.01%             | 2047-11-25      | Variable      | 4.00%                 | Yes           |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                                            | Towd Point Mortgage Trust, Series 2019-3, Class M2                                               | CUSIP: 89177LAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7550000 | PA      | $6835939.12   | 0.10%             | 2059-02-25      | Variable      | 4.25%                 | Yes           |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                                            | Towd Point Mortgage Trust, Series 2021-R1, Class A1                                              | CUSIP: 89179TAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  15132189 | PA      | $13941208.39  | 0.21%             | 2060-11-30      | Variable      | 2.92%                 | Yes           |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                                            | Towd Point Mortgage Trust, Series 2021-R1, Class A2C                                             | CUSIP: 89179TAU8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10250000 | PA      | $8664294.25   | 0.13%             | 2060-11-30      | Fixed         | 3.31%                 | Yes           |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                                            | Towd Point Mortgage Trust, Series 2026-FIX1, Class A1                                            | CUSIP: 89183TAA6<br>LEI: 254900HMDJT9KG22DU68 | Long             | ABS-O            | CORP              | US        |  10859295 | PA      | $10929513.86  | 0.17%             | 2065-12-25      | Variable      | 4.98%                 | Yes           |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                                            | Towd Point Mortgage Trust, Series 2026-CES1, Class A1                                            | CUSIP: 89190LAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9453924 | PA      | $9503951.03   | 0.14%             | 2066-01-25      | Variable      | 4.96%                 | Yes           |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                                            | Towd Point Mortgage Trust, Series 2026-CES2, Class A1A                                           | CUSIP: 89190MAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6095000 | PA      | $6093732.24   | 0.09%             | 2066-02-25      | Variable      | 4.72%                 | Yes           |                  2 | On Loan: No      |
| Triad Holdings III LLC                                               | Triad Holdings III LLC                                                                           | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | US        |  12270070 | PA      | $12392770.41  | 0.19%             | 2052-04-01      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| Tricon Residential Trust                                             | Tricon Residential Trust, Series 2022-SFR1, Class E1                                             | CUSIP: 89616QAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5669000 | PA      | $5639192.96   | 0.09%             | 2039-04-17      | Fixed         | 5.34%                 | Yes           |                  2 | On Loan: No      |
| Vendee Mortgage Trust                                                | Vendee Mortgage Trust, Series 1996-2, Class 1Z                                                   | CUSIP: 911760HH2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4004 | PA      | $4002.34      | 0.00%             | 2026-06-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Vendee Mortgage Trust                                                | Vendee Mortgage Trust, Series 1997-1, Class 2Z                                                   | CUSIP: 911760KE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     13517 | PA      | $13665.51     | 0.00%             | 2027-02-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Vendee Mortgage Trust                                                | Vendee Mortgage Trust, Series 1998-1, Class 2E                                                   | CUSIP: 911760LH7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     21384 | PA      | $21617.72     | 0.00%             | 2028-03-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                             | U.S. Treasury Bonds                                                                              | CUSIP: 912810RC4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  97339000 | PA      | $86707756.09  | 1.31%             | 2043-08-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| United States of America                                             | U.S. Treasury Bonds                                                                              | CUSIP: 912810SR0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  63000000 | PA      | $41353593.75  | 0.62%             | 2040-05-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| United States of America                                             | U.S. Treasury Bonds                                                                              | CUSIP: 912810TD0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  25000000 | PA      | $15815429.75  | 0.24%             | 2052-02-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| United States of America                                             | U.S. Treasury Bonds                                                                              | CUSIP: 912810TN8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  17000000 | PA      | $14270703.04  | 0.22%             | 2053-02-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| United States of America                                             | U.S. Treasury Bonds                                                                              | CUSIP: 912810TQ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3000000 | PA      | $2779453.14   | 0.04%             | 2043-02-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| United States of America                                             | U.S. Treasury Bonds                                                                              | CUSIP: 912810TU2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   8956000 | PA      | $8809415.45   | 0.13%             | 2043-08-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| United States of America                                             | U.S. Treasury Notes                                                                              | CUSIP: 91282CEP2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5000000 | PA      | $4782421.90   | 0.07%             | 2032-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| United States of America                                             | U.S. Treasury Notes                                                                              | CUSIP: 91282CPJ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10060000 | PA      | $10096153.13  | 0.15%             | 2035-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                             | U.S. Treasury STRIPS Bonds                                                                       | CUSIP: 9128337N4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    150000 | PA      | $126942.40    | 0.00%             | 2030-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| vMobo, Inc.                                                          | vMobo, Inc.                                                                                      | CUSIP: 91834VAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9995881 | PA      | $9566258.23   | 0.14%             | 2027-07-18      | Fixed         | 7.46%                 | No            |                  3 | On Loan: No      |
| VOLT C LLC                                                           | VOLT C LLC, Series 2021-NPL9, Class A1                                                           | CUSIP: 91835DAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3880432 | PA      | $3881230.83   | 0.06%             | 2051-05-25      | Variable      | 5.99%                 | Yes           |                  2 | On Loan: No      |
| Vendee Mortgage Trust                                                | Vendee Mortgage Trust, Series 2010-1, Class DZ                                                   | CUSIP: 92261XAC2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1014670 | PA      | $997417.18    | 0.02%             | 2040-04-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| VOLT XCV LLC                                                         | VOLT XCV LLC, Series 2021-NPL4, Class A1                                                         | CUSIP: 92873BAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    237695 | PA      | $237780.77    | 0.00%             | 2051-03-27      | Variable      | 6.24%                 | Yes           |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Trust                        | WaMu Mortgage Pass-Through Certificates Trust, Series 2003-AR7, Class A7                         | CUSIP: 9292276K7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     64249 | PA      | $63108.55     | 0.00%             | 2033-08-25      | Variable      | 5.64%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Trust                        | WaMu Mortgage Pass-Through Certificates Trust, Series 2003-S1, Class A5                          | CUSIP: 929227H82<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     55485 | PA      | $56635.66     | 0.00%             | 2033-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Trust                        | WaMu Mortgage Pass-Through Certificates Trust, Series 2003-S3, Class 1A4                         | CUSIP: 929227T30<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     27555 | PA      | $27585.58     | 0.00%             | 2033-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Trust                        | WaMu Mortgage Pass-Through Certificates Trust, Series 2003-AR8, Class A                          | CUSIP: 92922FAS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     53416 | PA      | $52670.86     | 0.00%             | 2033-08-25      | Variable      | 5.19%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Trust                        | WaMu Mortgage Pass-Through Certificates Trust, Series 2003-AR9, Class 1A6                        | CUSIP: 92922FBV9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    216444 | PA      | $213102.46    | 0.00%             | 2033-09-25      | Variable      | 5.39%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Trust                        | WaMu Mortgage Pass-Through Certificates Trust, Series 2003-AR9, Class 2A                         | CUSIP: 92922FBX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     23411 | PA      | $22976.55     | 0.00%             | 2033-09-25      | Variable      | 5.69%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Trust                        | WaMu Mortgage Pass-Through Certificates Trust, Series 2003-S9, Class A8                          | CUSIP: 92922FEV6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    178906 | PA      | $179894.04    | 0.00%             | 2033-10-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Trust                        | WaMu Mortgage Pass-Through Certificates Trust, Series 2003-S9, Class P                           | CUSIP: 92922FFA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2956 | PA      | $2387.20      | 0.00%             | 2033-10-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Trust                        | WaMu Mortgage Pass-Through Certificates Trust, Series 2003-AR11, Class A6                        | CUSIP: 92922FJF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    137650 | PA      | $130203.94    | 0.00%             | 2033-10-25      | Variable      | 5.76%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Trust                        | WaMu Mortgage Pass-Through Certificates Trust, Series 2004-AR3, Class A1                         | CUSIP: 92922FNH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12410 | PA      | $11937.49     | 0.00%             | 2034-06-25      | Variable      | 5.33%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Trust                        | WaMu Mortgage Pass-Through Certificates Trust, Series 2004-AR3, Class A2                         | CUSIP: 92922FNJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     84106 | PA      | $80900.61     | 0.00%             | 2034-06-25      | Variable      | 5.33%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Trust                        | WaMu Mortgage Pass-Through Certificates Trust, Series 2004-S2, Class 2A4                         | CUSIP: 92922FQK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    181419 | PA      | $180042.89    | 0.00%             | 2034-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates WMALT Trust     | Washington Mutual Mortgage Pass-Through Certificates WMALT Trust, Series 2005-6, Class 2A4       | CUSIP: 92922FY44<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    115517 | PA      | $104913.15    | 0.00%             | 2035-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| WFRBS Commercial Mortgage Trust                                      | WFRBS Commercial Mortgage Trust, Series 2013-C11, Class D                                        | CUSIP: 92937EAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    684983 | PA      | $616471.16    | 0.01%             | 2045-03-15      | Variable      | 4.22%                 | Yes           |                  2 | On Loan: No      |
| Wachovia Bank Commercial Mortgage Trust                              | Wachovia Bank Commercial Mortgage Trust, Series 2006-C24, Class XC                               | CUSIP: 92976BGA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3558 | PA      | $0.04         | 0.00%             | 2045-03-15      | Variable      | 0.00%                 | Yes           |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Trust                        | WaMu Mortgage Pass-Through Certificates Trust, Series 2006-AR10, Class 2P                        | CUSIP: 93363EAM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     25406 | PA      | $23491.22     | 0.00%             | 2036-09-25      | Variable      | 4.14%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates WMALT Trust     | Washington Mutual Mortgage Pass-Through Certificates WMALT Trust, Series 2005-1, Class 1A1       | CUSIP: 9393362D4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     19842 | PA      | $19936.16     | 0.00%             | 2035-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates WMALT Trust     | Washington Mutual Mortgage Pass-Through Certificates WMALT Trust, Series 2005-2, Class 1A4       | CUSIP: 9393363L5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1302439 | PA      | $73907.05     | 0.00%             | 2035-04-25      | Floating      | 1.26%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates WMALT Trust     | Washington Mutual Mortgage Pass-Through Certificates WMALT Trust, Series 2005-4, Class CB7       | CUSIP: 9393366B4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    151459 | PA      | $142119.53    | 0.00%             | 2035-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Washington Mutual MSC Mortgage Pass-Through Certificates Trust       | Washington Mutual MSC Mortgage Pass-Through Certificates Trust, Series 2004-RA2, Class 2A        | CUSIP: 939336R54<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     72465 | PA      | $75920.99     | 0.00%             | 2033-07-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates WMALT Trust     | Washington Mutual Mortgage Pass-Through Certificates WMALT Trust, Series 2005-11, Class A4       | CUSIP: 93934FHY1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2019928 | PA      | $115659.08    | 0.00%             | 2036-01-25      | Floating      | 1.16%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage-Backed Securities Trust                         | Wells Fargo Mortgage-Backed Securities Trust, Series 2004-U, Class A1                            | CUSIP: 949803AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    110023 | PA      | $109030.95    | 0.00%             | 2034-10-25      | Variable      | 6.69%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage-Backed Securities Trust                         | Wells Fargo Mortgage-Backed Securities Trust, Series 2007-7, Class A7                            | CUSIP: 94985JAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     53689 | PA      | $49703.20     | 0.00%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                | Wells Fargo Commercial Mortgage Trust, Series 2021-SAVE, Class A                                 | CUSIP: 95003LAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    749204 | PA      | $747331.29    | 0.01%             | 2040-02-15      | Floating      | 5.27%                 | Yes           |                  2 | On Loan: No      |
| Westgate Resorts LLC                                                 | Westgate Resorts LLC, Series 2022-1A, Class B                                                    | CUSIP: 96034JAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    646921 | PA      | $643276.60    | 0.01%             | 2036-08-20      | Fixed         | 2.29%                 | Yes           |                  2 | On Loan: No      |
| Westgate Resorts LLC                                                 | Westgate Resorts LLC, Series 2024-1A, Class B                                                    | CUSIP: 96034KAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3934543 | PA      | $3998753.23   | 0.06%             | 2038-01-20      | Fixed         | 6.56%                 | Yes           |                  2 | On Loan: No      |
| Westgate Resorts LLC                                                 | Westgate Resorts LLC, Series 2024-1A, Class C                                                    | CUSIP: 96034KAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3235200 | PA      | $3289399.58   | 0.05%             | 2038-01-20      | Fixed         | 7.06%                 | Yes           |                  2 | On Loan: No      |
| Mpire                                                                | Mpire                                                                                            | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-O            | CORP              | US        |   6745507 | PA      | $6764596.78   | 0.10%             | 2030-09-13      | Floating      | 8.29%                 | No            |                  3 | On Loan: No      |
| BAML Funding Ltd.                                                    | BAML Funding Ltd.                                                                                | CUSIP: N/A<br>LEI: 5493007M5OY1YM78LJ66       | Long             | DBT              | CORP              | GB        |   3000000 | PA      | $2996250.00   | 0.05%             | 2029-10-26      | Floating      | 8.00%                 | No            |                  3 | On Loan: No      |
| Tucielo 2025-assiciation Condu                                       | Tucielo 2025-assiciation Condu                                                                   | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-O            | CORP              | US        |    287500 | PA      | $287500.00    | 0.00%             | 2033-08-09      | Fixed         | 8.01%                 | No            |                  3 | On Loan: No      |
| BAML RCAP Frn                                                        | BAML RCAP Frn                                                                                    | CUSIP: N/A<br>LEI: 5493007M5OY1YM78LJ66       | Long             | ABS-MBS          | CORP              | GB        |   4000000 | PA      | $4000000.00   | 0.06%             | 2027-10-25      | Fixed         | 8.00%                 | No            |                  3 | On Loan: No      |
| Acrc                                                                 | Acrc                                                                                             | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |   6000000 | PA      | $5839799.99   | 0.09%             | 2026-11-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| Grene Energy Senio                                                   | Grene Energy Senio                                                                               | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |    229142 | PA      | $185926.09    | 0.00%             | 2027-01-25      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| Grene 2023-Senior                                                    | Grene 2023-Senior                                                                                | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |   4577251 | PA      | $4697174.94   | 0.07%             | 2061-01-17      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| BAML RCAP Frn                                                        | BAML RCAP Frn                                                                                    | CUSIP: N/A<br>LEI: 5493007M5OY1YM78LJ66       | Long             | ABS-MBS          | CORP              | GB        |   5000000 | PA      | $5000000.00   | 0.08%             | 2027-10-25      | Fixed         | 8.00%                 | No            |                  3 | On Loan: No      |
| P4 SFR                                                               | P4 SFR                                                                                           | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |   2465255 | PA      | $2440602.00   | 0.04%             | 2026-10-11      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| Ygrene Frn                                                           | Ygrene Frn                                                                                       | CUSIP: N/A<br>LEI: 549300U6Y2YJ14NVVY40       | Long             | ABS-MBS          | CORP              | US        |   4517798 | PA      | $4540386.99   | 0.07%             | 2045-07-25      | Fixed         | 8.50%                 | No            |                  3 | On Loan: No      |
| Baring Frn                                                           | Baring Frn, Series 2021-EBO1, Class PA                                                           | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |    714056 | PA      | $714056.41    | 0.01%             | 2027-06-25      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| Repo Buyer RRI Trust                                                 | Repo Buyer RRI Trust                                                                             | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |   1786223 | PA      | $1558479.36   | 0.02%             | 2055-04-14      | Fixed         | 3.06%                 | No            |                  3 | On Loan: No      |
| N/A                                                                  | U.S. Treasury 10 Year Note                                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       566 | NC      | $277660.92    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                  | U.S. Treasury Long Bond                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        46 | NC      | $38016.01     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                  | U.S. Treasury 10 Year Ultra Note                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       251 | NC      | $297655.88    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |

### Signature

**Date Signed:** 2026-03-30

**Name of Applicant:** J.P. Morgan Exchange-Traded Fund Trust

**Signature:** Timothy J. Clemens

**Name of Signer:** Timothy J. Clemens

**Title:** Treasurer and Principal Financial Officer