# EDGAR Filing Document

**Accession Number:** 0000809707
**File Stem:** 0001752724-25-153725
**Filing Date:** 2025-6
**Character Count:** 541417
**Document Hash:** fad561029fead8315ccdec2963aa5d88
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-25-153725.hdr.sgml**: 20250624

**ACCESSION NUMBER**: 0001752724-25-153725

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250430

**FILED AS OF DATE**: 20250624

**DATE AS OF CHANGE**: 20250624

**PERIOD START**: 20251031

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** Franklin Investors Securities Trust
- **CENTRAL INDEX KEY:** 0000809707

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **STATE OF INCORPORATION:** FL
- **FISCAL YEAR END:** 1031

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-04986
- **FILM NUMBER:** 251068695

**BUSINESS ADDRESS:**
- **STREET 1:** ONE FRANKLIN PARKWAY
- **CITY:** SAN MATEO
- **STATE:** CA
- **ZIP:** 94403-1906
- **BUSINESS PHONE:** 650-312-2200

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

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** FRANKLIN INVESTORS SECURITIES TRUST
- **DATE OF NAME CHANGE:** 19920703

## Series and Classes Contracts Data

### FRANKLIN LOW DURATION U.S. GOVERNMENT SECURITIES FUND (Series ID: S000006850)

| Class ID   | Class Name    | Ticker Symbol   |
|:---|:---|:---|
| C000018509 | Class A       | FISAX           |
| C000018510 | Class C       | FCSCX           |
| C000064441 | Advisor Class | FAUZX           |
| C000133492 | Class R6      | FAURX           |
| C000140480 | Class A1      | FAUGX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** Franklin Investors Securities Trust

- **b. Investment Company Act file number:** 811-04986

- **c. CIK number of Registrant:** 0000809707

- **d. LEI of Registrant:** 549300XUGIR9DEQFV548

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

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

  - **City:** San Mateo

  - **State:** CA

  - **Foreign country:** US

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

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

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

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

- **b. EDGAR series identifier (if any):** S000006850

- **c. LEI of Series:** 549300OAF2KY89TO9M53

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

- **a. Date of fiscal year-end:** 2025-10-31

- **b. Date as of which information is reported:** 2025-04-30

**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:** $397818119.35

**Total Liabilities:** $2209408.63

**Net Assets:** $395608710.72

**Cash Not Reported:** $204413.58

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -285.57000000 | **1-Year:** -8872.61000000 | **5-Year:** -5110.12000000 | **10-Year:** -53440.79000000 | **30-Year:** -26972.25000000

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

- **3-Month:** 0.00000000 | **1-Year:** -16167.43000000 | **5-Year:** -3885.11000000 | **10-Year:** 3319.60000000 | **30-Year:** -10792.81000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000064441 | 0.69%                | 0.39%                | 0.54%                |
| Class ID C000140480 | 0.68%                | 0.38%                | 0.54%                |
| Class ID C000018509 | 0.67%                | 0.37%                | 0.52%                |
| Class ID C000133492 | 0.82%                | 0.26%                | 0.68%                |
| Class ID C000018510 | 0.77%                | 0.21%                | 0.62%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $0.00                    | $1107880.73                                |
| Month 2  | $0.00                    | $-119486.45                                |
| Month 3  | $835.20                  | $349831.52                                 |

**Designated Index Information**

- **Index Name:** Bloomberg US Aggregate Government (1-3 Y) Index

- **Index Identifier:** BM2542

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| FNMA                                                    | FNMA                                                                             | CUSIP: 31405BD32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5126 | PA      | $5298.61      | 0.00%             | 2034-12-01      | Variable      | 6.71%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31379MDU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4431 | PA      | $4500.38      | 0.00%             | 2038-05-01      | Variable      | 7.31%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31407BWE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     58517 | PA      | $59601.34     | 0.02%             | 2035-06-01      | Variable      | 7.43%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31403DTE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     46301 | PA      | $47987.22     | 0.01%             | 2034-04-01      | Variable      | 6.85%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31407FL24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     40973 | PA      | $41947.68     | 0.01%             | 2035-10-01      | Variable      | 7.16%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31400QX32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1933 | PA      | $1959.79      | 0.00%             | 2033-04-01      | Variable      | 6.39%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31414F7E5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4784 | PA      | $4875.82      | 0.00%             | 2038-09-01      | Variable      | 7.21%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31408G4X2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     62049 | PA      | $62847.28     | 0.02%             | 2036-01-01      | Variable      | 6.37%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31409AFG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     43554 | PA      | $44300.20     | 0.01%             | 2036-02-01      | Variable      | 6.52%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31389AZY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33572 | PA      | $32643.47     | 0.01%             | 2035-03-01      | Variable      | 4.29%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31409ARH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12115 | PA      | $12462.40     | 0.00%             | 2036-02-01      | Variable      | 6.68%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31405DM79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1228 | PA      | $1246.64      | 0.00%             | 2034-07-01      | Variable      | 7.46%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31412CFG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5260 | PA      | $5304.35      | 0.00%             | 2037-01-01      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31405RNC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7100 | PA      | $7299.12      | 0.00%             | 2034-08-01      | Variable      | 6.35%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31404WPZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     90698 | PA      | $91746.09     | 0.02%             | 2034-06-01      | Variable      | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31389AZ30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6852 | PA      | $6789.53      | 0.00%             | 2037-12-01      | Variable      | 4.82%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31385XLL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14317 | PA      | $14532.62     | 0.00%             | 2033-04-01      | Variable      | 6.94%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31409AC80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6130 | PA      | $6353.20      | 0.00%             | 2035-10-01      | Variable      | 8.18%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31416B5M6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7190 | PA      | $7374.08      | 0.00%             | 2035-05-01      | Variable      | 6.82%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31416B5B0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    702619 | PA      | $720966.05    | 0.18%             | 2036-02-01      | Variable      | 6.91%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31406PC56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34365 | PA      | $35435.85     | 0.01%             | 2035-05-01      | Variable      | 6.51%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31391RTR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21143 | PA      | $21537.87     | 0.01%             | 2032-08-01      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31406DJV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22933 | PA      | $23113.19     | 0.01%             | 2034-11-01      | Variable      | 6.21%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31405BMC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6400 | PA      | $6409.64      | 0.00%             | 2034-05-01      | Variable      | 6.18%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31414HDB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5680 | PA      | $5812.27      | 0.00%             | 2037-12-01      | Variable      | 7.16%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402RD55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20139 | PA      | $20268.78     | 0.01%             | 2035-02-01      | Variable      | 6.88%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31408BUF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16763 | PA      | $17125.13     | 0.00%             | 2033-11-01      | Variable      | 8.01%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC                                                                            | CUSIP: 31300MMM2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    176970 | PA      | $179751.58    | 0.05%             | 2041-11-01      | Variable      | 7.26%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31407GYF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8848 | PA      | $8769.33      | 0.00%             | 2035-06-01      | Variable      | 6.83%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31385Y2D6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42513 | PA      | $42906.46     | 0.01%             | 2040-06-01      | Variable      | 5.97%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 3138EQTE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    293906 | PA      | $303436.00    | 0.08%             | 2040-03-01      | Variable      | 6.96%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31416CAU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    123625 | PA      | $127743.40    | 0.03%             | 2037-09-01      | Variable      | 6.78%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC                                                                            | CUSIP: 31288QGM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1628339 | PA      | $1691135.90   | 0.43%             | 2043-10-01      | Variable      | 6.59%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31362RD87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       420 | PA      | $415.66       | 0.00%             | 2027-11-01      | Variable      | 4.53%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31407DNF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     90765 | PA      | $93062.42     | 0.02%             | 2035-01-01      | Variable      | 6.55%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402TH24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6441 | PA      | $6554.46      | 0.00%             | 2033-08-01      | Variable      | 7.43%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31385HFW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13656 | PA      | $13644.67     | 0.00%             | 2030-02-01      | Variable      | 6.03%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31406VD86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    114743 | PA      | $116461.62    | 0.03%             | 2035-05-01      | Variable      | 7.04%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31406GD55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     69390 | PA      | $70150.25     | 0.02%             | 2035-02-01      | Variable      | 6.36%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31403NG92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35660 | PA      | $36221.42     | 0.01%             | 2033-11-01      | Variable      | 6.17%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 3138EG7K4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    526688 | PA      | $540627.95    | 0.14%             | 2035-06-01      | Variable      | 7.14%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31407BCV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22185 | PA      | $22764.94     | 0.01%             | 2035-07-01      | Variable      | 7.28%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31405MA23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13391 | PA      | $13549.45     | 0.00%             | 2034-07-01      | Variable      | 6.37%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31362S5F8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        40 | PA      | $39.83        | 0.00%             | 2029-01-01      | Variable      | 4.84%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31404YDK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       640 | PA      | $649.91       | 0.00%             | 2034-07-01      | Variable      | 6.17%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC                                                                            | CUSIP: 3128QPKE1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    167004 | PA      | $170832.08    | 0.04%             | 2036-09-01      | Variable      | 7.47%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31385XHB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       686 | PA      | $696.96       | 0.00%             | 2033-05-01      | Variable      | 6.64%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31407KGP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7806 | PA      | $7926.21      | 0.00%             | 2035-09-01      | Variable      | 6.84%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31403TPB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37171 | PA      | $37434.90     | 0.01%             | 2033-11-01      | Variable      | 6.04%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31406P3R8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3197 | PA      | $3211.08      | 0.00%             | 2035-02-01      | Variable      | 6.55%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31411UKA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4996 | PA      | $5163.81      | 0.00%             | 2037-04-01      | Variable      | 6.68%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC                                                                            | CUSIP: 3128NHWJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    369192 | PA      | $377191.11    | 0.10%             | 2036-11-01      | Variable      | 6.69%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31414CZH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16306 | PA      | $16702.46     | 0.00%             | 2038-04-01      | Variable      | 6.60%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402NGF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24817 | PA      | $25263.10     | 0.01%             | 2033-08-01      | Variable      | 7.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31378FMK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1827 | PA      | $1804.02      | 0.00%             | 2027-04-01      | Variable      | 3.56%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC                                                                            | CUSIP: 31288QBT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1687629 | PA      | $1752938.52   | 0.44%             | 2043-07-01      | Variable      | 7.23%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402HBN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     67219 | PA      | $69170.93     | 0.02%             | 2034-02-01      | Variable      | 6.46%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31400BWF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4476 | PA      | $4563.12      | 0.00%             | 2033-02-01      | Variable      | 6.67%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31406VJY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34363 | PA      | $34891.84     | 0.01%             | 2035-05-01      | Variable      | 6.73%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31418MYA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    194523 | PA      | $197156.06    | 0.05%             | 2038-06-01      | Variable      | 6.81%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31381JU75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    593610 | PA      | $601323.39    | 0.15%             | 2037-09-01      | Variable      | 7.32%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31401Y6N0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12671 | PA      | $12957.27     | 0.00%             | 2033-09-01      | Variable      | 7.27%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31412BPZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15687 | PA      | $15831.36     | 0.00%             | 2036-02-01      | Variable      | 7.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402RKA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7832 | PA      | $8018.16      | 0.00%             | 2035-06-01      | Variable      | 7.01%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31406UUZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    541139 | PA      | $556183.78    | 0.14%             | 2035-03-01      | Variable      | 6.27%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31411JGW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26845 | PA      | $27016.34     | 0.01%             | 2036-12-01      | Variable      | 6.45%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31386TRN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1980 | PA      | $1971.78      | 0.00%             | 2041-02-01      | Variable      | 5.77%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC                                                                            | CUSIP: 3128QS3L8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     38160 | PA      | $38948.28     | 0.01%             | 2036-10-01      | Variable      | 7.61%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC                                                                            | CUSIP: 31349UH50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    432069 | PA      | $454574.67    | 0.11%             | 2034-08-01      | Variable      | 8.27%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31386MLW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2790 | PA      | $2798.26      | 0.00%             | 2040-12-01      | Variable      | 5.97%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31406X7G1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4648 | PA      | $4747.96      | 0.00%             | 2035-04-01      | Variable      | 6.69%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31410FXX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3448 | PA      | $3521.39      | 0.00%             | 2035-02-01      | Variable      | 6.84%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402CSA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       490 | PA      | $494.43       | 0.00%             | 2032-12-01      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31384PDG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6009 | PA      | $5998.09      | 0.00%             | 2027-12-01      | Variable      | 6.97%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31407VFN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9943 | PA      | $10217.53     | 0.00%             | 2035-09-01      | Variable      | 7.48%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31405WSY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2635 | PA      | $2657.09      | 0.00%             | 2034-07-01      | Variable      | 7.48%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31407B3T4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    301820 | PA      | $305235.65    | 0.08%             | 2035-07-01      | Variable      | 7.21%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31406H3E5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1425287 | PA      | $1463527.99   | 0.37%             | 2034-12-01      | Variable      | 6.24%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31411EME4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1658 | PA      | $1690.50      | 0.00%             | 2036-12-01      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31410SHK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28991 | PA      | $29451.91     | 0.01%             | 2036-04-01      | Variable      | 6.19%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA II                                                                          | CUSIP: 36225C4D5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4358 | PA      | $4375.22      | 0.00%             | 2034-01-20      | Variable      | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402C6L1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    138416 | PA      | $138751.40    | 0.04%             | 2034-05-01      | Variable      | 6.87%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 3138EGBF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     75387 | PA      | $78100.20     | 0.02%             | 2035-09-01      | Variable      | 6.84%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31405PZ86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11022 | PA      | $11257.35     | 0.00%             | 2034-09-01      | Variable      | 7.27%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC                                                                            | CUSIP: 3128S5QX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    233405 | PA      | $240893.36    | 0.06%             | 2038-10-01      | Variable      | 7.08%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31403DSD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     47953 | PA      | $48685.66     | 0.01%             | 2035-12-01      | Variable      | 6.64%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31385XUT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        19 | PA      | $19.18        | 0.00%             | 2033-11-01      | Variable      | 6.13%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31410WFR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     80355 | PA      | $82327.79     | 0.02%             | 2038-01-01      | Variable      | 6.89%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31407PWM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28646 | PA      | $29324.13     | 0.01%             | 2035-10-01      | Variable      | 6.48%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                              | FHLMC Pool, 30 Year                                                              | CUSIP: 3132DWHA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1891265 | PA      | $1923460.85   | 0.49%             | 2053-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31385WVC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1553 | PA      | $1560.89      | 0.00%             | 2027-09-01      | Variable      | 6.02%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31406L3E6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3603 | PA      | $3689.83      | 0.00%             | 2035-11-01      | Variable      | 6.68%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31385WWT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1044 | PA      | $1048.42      | 0.00%             | 2030-08-01      | Variable      | 7.46%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA II                                                                          | CUSIP: 36225DNG5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     34465 | PA      | $34721.83     | 0.01%             | 2035-03-20      | Variable      | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31407X4W8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     38990 | PA      | $39753.32     | 0.01%             | 2035-11-01      | Variable      | 6.24%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402EM39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25661 | PA      | $25897.26     | 0.01%             | 2033-05-01      | Variable      | 6.18%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31410GD34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     57711 | PA      | $58323.52     | 0.01%             | 2033-06-01      | Variable      | 6.65%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402CVF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     38512 | PA      | $39803.94     | 0.01%             | 2034-02-01      | Variable      | 6.88%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31407PP28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2459 | PA      | $2515.75      | 0.00%             | 2035-10-01      | Variable      | 6.43%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Series 2024-103, Class FB                                                  | CUSIP: 3136BUQG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2805867 | PA      | $2797709.56   | 0.71%             | 2055-01-25      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31409BAN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9963 | PA      | $10236.73     | 0.00%             | 2036-03-01      | Variable      | 6.68%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31409EL90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        52 | PA      | $53.59        | 0.00%             | 2036-05-01      | Variable      | 6.79%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31407DUE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    369261 | PA      | $377533.72    | 0.10%             | 2035-05-01      | Variable      | 6.18%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31406N6M1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2182 | PA      | $2202.38      | 0.00%             | 2035-04-01      | Variable      | 5.94%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31384VYA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       126 | PA      | $127.52       | 0.00%             | 2028-10-01      | Variable      | 6.96%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402NY36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     91168 | PA      | $92382.07     | 0.02%             | 2033-06-01      | Variable      | 6.34%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31414CPN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     48173 | PA      | $49587.16     | 0.01%             | 2035-06-01      | Variable      | 6.53%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31407T2T6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6040 | PA      | $6199.00      | 0.00%             | 2035-09-01      | Variable      | 7.36%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31410GML4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2818 | PA      | $2836.92      | 0.00%             | 2037-10-01      | Variable      | 6.83%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31407WTA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31669 | PA      | $32244.93     | 0.01%             | 2035-09-01      | Variable      | 7.26%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC                                                                            | CUSIP: 3128JQBR8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    278377 | PA      | $285554.57    | 0.07%             | 2040-04-01      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31403Y2E2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5947 | PA      | $5990.70      | 0.00%             | 2034-01-01      | Variable      | 6.24%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC                                                                            | CUSIP: 31288QF70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3000788 | PA      | $3101431.84   | 0.78%             | 2046-10-01      | Variable      | 6.87%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31403K4Q3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7890 | PA      | $8118.40      | 0.00%             | 2034-05-01      | Variable      | 7.21%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC                                                                            | CUSIP: 3128JNDN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    271505 | PA      | $278115.85    | 0.07%             | 2035-06-01      | Variable      | 7.52%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31404XJY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     49403 | PA      | $50384.95     | 0.01%             | 2034-12-01      | Variable      | 6.39%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31391FFE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33245 | PA      | $33123.54     | 0.01%             | 2027-08-01      | Variable      | 5.36%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31414UQH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    230128 | PA      | $236422.73    | 0.06%             | 2037-04-01      | Variable      | 6.28%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31403DW96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4990 | PA      | $5140.09      | 0.00%             | 2036-11-01      | Variable      | 7.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31413GK90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12253 | PA      | $12428.89     | 0.00%             | 2037-08-01      | Variable      | 6.45%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31407PJH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     48578 | PA      | $49857.64     | 0.01%             | 2035-10-01      | Variable      | 6.63%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31403DVS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23913 | PA      | $24468.84     | 0.01%             | 2036-09-01      | Variable      | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31371MDF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     39375 | PA      | $40041.14     | 0.01%             | 2035-06-01      | Variable      | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402DQT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2683 | PA      | $2767.57      | 0.00%             | 2034-11-01      | Variable      | 6.84%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31411HGV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5671 | PA      | $5776.20      | 0.00%             | 2037-04-01      | Variable      | 6.77%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31412CBE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    133144 | PA      | $134504.60    | 0.03%             | 2034-12-01      | Variable      | 6.87%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31410MHH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19956 | PA      | $20367.42     | 0.01%             | 2036-04-01      | Variable      | 6.36%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31406TLM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6380 | PA      | $6527.51      | 0.00%             | 2035-03-01      | Variable      | 6.72%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402HAQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1084 | PA      | $1106.92      | 0.00%             | 2033-09-01      | Variable      | 7.34%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31414HVC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       304 | PA      | $311.30       | 0.00%             | 2037-12-01      | Variable      | 6.61%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31410B3M4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4269 | PA      | $4379.18      | 0.00%             | 2036-06-01      | Variable      | 7.13%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31405JMH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17465 | PA      | $17779.10     | 0.00%             | 2034-09-01      | Variable      | 7.33%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402DBW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1158 | PA      | $1166.17      | 0.00%             | 2033-09-01      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31403DVG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     38216 | PA      | $38812.84     | 0.01%             | 2033-04-01      | Variable      | 6.45%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31404XJG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5990 | PA      | $6110.80      | 0.00%             | 2034-11-01      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31406LDC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24009 | PA      | $24278.06     | 0.01%             | 2044-11-01      | Variable      | 5.77%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31410QPW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    217526 | PA      | $226180.96    | 0.06%             | 2036-10-01      | Variable      | 7.76%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 3136056A0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        37 | PA      | $36.61        | 0.00%             | 2025-12-01      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31406DJR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6514 | PA      | $6553.01      | 0.00%             | 2034-11-01      | Variable      | 6.16%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31409CCW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    479059 | PA      | $488610.07    | 0.12%             | 2036-01-01      | Variable      | 6.57%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31412EPK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21028 | PA      | $21360.97     | 0.01%             | 2037-01-01      | Variable      | 6.46%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31410WFS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36043 | PA      | $36737.48     | 0.01%             | 2037-05-01      | Variable      | 7.31%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402C5W8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2662 | PA      | $2702.47      | 0.00%             | 2033-08-01      | Variable      | 7.14%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31401D6G1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3388 | PA      | $3456.01      | 0.00%             | 2033-05-01      | Variable      | 6.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31411E4K0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       603 | PA      | $621.40       | 0.00%             | 2037-01-01      | Variable      | 6.73%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402DHR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1793 | PA      | $1831.31      | 0.00%             | 2038-03-01      | Variable      | 7.26%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC                                                                            | CUSIP: 31288QEM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1622237 | PA      | $1690066.26   | 0.43%             | 2043-07-01      | Variable      | 6.99%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 3138ELR88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    773555 | PA      | $801821.37    | 0.20%             | 2037-03-01      | Variable      | 6.77%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402RTY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1941 | PA      | $1987.02      | 0.00%             | 2038-03-01      | Variable      | 6.49%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA II                                                                          | CUSIP: 36225CZW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2478 | PA      | $2490.58      | 0.00%             | 2033-09-20      | Variable      | 4.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31385XMD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6235 | PA      | $6365.93      | 0.00%             | 2033-08-01      | Variable      | 7.51%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402RHU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10768 | PA      | $10837.29     | 0.00%             | 2042-08-01      | Variable      | 5.77%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31407MSU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2931 | PA      | $2963.26      | 0.00%             | 2035-07-01      | Variable      | 6.39%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31390WQV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33215 | PA      | $33387.00     | 0.01%             | 2033-09-01      | Variable      | 6.04%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31391MDC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     61258 | PA      | $61694.57     | 0.02%             | 2032-11-01      | Variable      | 6.04%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31410YNX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     47527 | PA      | $48809.46     | 0.01%             | 2036-09-01      | Variable      | 7.55%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31410EKC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14355 | PA      | $14887.73     | 0.00%             | 2036-09-01      | Variable      | 6.77%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31404U2U3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     46985 | PA      | $47703.55     | 0.01%             | 2034-06-01      | Variable      | 7.77%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31418MVS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    561898 | PA      | $577111.33    | 0.15%             | 2038-08-01      | Variable      | 7.13%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31376RFH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       658 | PA      | $655.78       | 0.00%             | 2026-01-01      | Variable      | 7.36%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31405N7D1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14658 | PA      | $14963.34     | 0.00%             | 2034-10-01      | Variable      | 7.07%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31411BAT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        22 | PA      | $22.50        | 0.00%             | 2036-11-01      | Variable      | 6.57%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31413YWH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     50188 | PA      | $51003.21     | 0.01%             | 2037-11-01      | Variable      | 6.77%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 3138EKTS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     51078 | PA      | $52628.76     | 0.01%             | 2038-07-01      | Variable      | 7.48%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402Q4W8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29289 | PA      | $29376.68     | 0.01%             | 2034-05-01      | Variable      | 6.08%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31388X3J1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6253 | PA      | $6231.88      | 0.00%             | 2029-04-01      | Variable      | 5.77%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31385Y6D2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30329 | PA      | $30642.93     | 0.01%             | 2030-11-01      | Variable      | 6.48%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31405RNA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       676 | PA      | $684.79       | 0.00%             | 2034-08-01      | Variable      | 6.34%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31391A7F0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1460 | PA      | $1482.08      | 0.00%             | 2032-09-01      | Variable      | 7.19%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31385JFR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10503 | PA      | $10655.82     | 0.00%             | 2032-02-01      | Variable      | 6.55%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402CWE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31659 | PA      | $32515.64     | 0.01%             | 2034-02-01      | Variable      | 6.69%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Series 2019-38, Class CF                                                   | CUSIP: 3136B5EY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1240644 | PA      | $1210371.96   | 0.31%             | 2049-07-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31412DZV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8224 | PA      | $8541.28      | 0.00%             | 2037-01-01      | Variable      | 6.36%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402CXQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       578 | PA      | $587.50       | 0.00%             | 2036-08-01      | Variable      | 7.27%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31407DNH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       351 | PA      | $359.12       | 0.00%             | 2035-01-01      | Variable      | 6.82%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31411SVN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    139932 | PA      | $144846.79    | 0.04%             | 2047-03-01      | Variable      | 6.82%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31385HKE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    382851 | PA      | $379841.16    | 0.10%             | 2034-04-01      | Variable      | 4.81%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31404V2S6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       612 | PA      | $630.10       | 0.00%             | 2034-08-01      | Variable      | 7.42%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC                                                                            | CUSIP: 31288QQJ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3834921 | PA      | $3987536.09   | 1.01%             | 2047-08-01      | Variable      | 6.91%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402RSX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9225 | PA      | $9547.27      | 0.00%             | 2034-10-01      | Variable      | 6.49%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31400SJL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     44218 | PA      | $45427.02     | 0.01%             | 2033-04-01      | Variable      | 6.52%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31406NBG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     75566 | PA      | $76994.84     | 0.02%             | 2035-04-01      | Variable      | 6.57%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31406UNY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16130 | PA      | $16475.43     | 0.00%             | 2035-04-01      | Variable      | 6.80%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31385HUG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4277 | PA      | $4316.55      | 0.00%             | 2029-02-01      | Variable      | 7.29%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31381JNU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22013 | PA      | $21934.17     | 0.01%             | 2033-06-01      | Variable      | 6.18%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402DKW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37833 | PA      | $38698.19     | 0.01%             | 2034-08-01      | Variable      | 7.11%                 | No            |                  2 | On Loan: No      |
| United States of America                                | U.S. Treasury Notes                                                              | CUSIP: 91282CKE0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  11000000 | PA      | $11123105.51  | 2.81%             | 2027-03-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31404QLK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2877 | PA      | $2917.08      | 0.00%             | 2034-05-01      | Variable      | 6.51%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402NY44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7186 | PA      | $7235.12      | 0.00%             | 2033-07-01      | Variable      | 6.43%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC                                                                            | CUSIP: 31300MHK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1134277 | PA      | $1178421.45   | 0.30%             | 2040-11-01      | Variable      | 7.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31406GW47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     78139 | PA      | $79841.06     | 0.02%             | 2035-03-01      | Variable      | 6.61%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31407CCN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32042 | PA      | $32494.84     | 0.01%             | 2035-07-01      | Variable      | 7.36%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31410RM30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    121086 | PA      | $124121.34    | 0.03%             | 2036-08-01      | Variable      | 7.52%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 3138EJJ66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4096 | PA      | $4169.98      | 0.00%             | 2035-09-01      | Variable      | 6.68%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31404FPY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28398 | PA      | $29084.52     | 0.01%             | 2034-08-01      | Variable      | 7.35%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31408C2W5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     44618 | PA      | $46039.23     | 0.01%             | 2035-10-01      | Variable      | 7.09%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31403AHD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8829 | PA      | $8967.78      | 0.00%             | 2033-10-01      | Variable      | 7.08%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31391TU30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23465 | PA      | $23763.47     | 0.01%             | 2032-12-01      | Variable      | 6.27%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31405MA80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3643 | PA      | $3686.23      | 0.00%             | 2034-07-01      | Variable      | 6.48%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31411EWY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       136 | PA      | $138.56       | 0.00%             | 2037-01-01      | Variable      | 6.74%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402M4P2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    131929 | PA      | $134643.46    | 0.03%             | 2033-08-01      | Variable      | 7.41%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31407GYA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5109 | PA      | $5255.41      | 0.00%             | 2035-06-01      | Variable      | 6.28%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31407DUF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       897 | PA      | $911.09       | 0.00%             | 2035-05-01      | Variable      | 6.18%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31416CG75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    375932 | PA      | $383595.09    | 0.10%             | 2036-08-01      | Variable      | 6.54%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402A4W3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1915 | PA      | $1956.38      | 0.00%             | 2033-06-01      | Variable      | 7.20%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31406KAA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19019 | PA      | $19254.30     | 0.00%             | 2035-05-01      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402RPT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30999 | PA      | $30983.38     | 0.01%             | 2034-10-01      | Variable      | 5.70%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402DSC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8984 | PA      | $9030.20      | 0.00%             | 2033-07-01      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31410G3Q4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2416 | PA      | $2445.97      | 0.00%             | 2037-04-01      | Variable      | 6.61%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31403CWU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     38213 | PA      | $39156.27     | 0.01%             | 2035-09-01      | Variable      | 6.97%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31385XK63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10166 | PA      | $10381.73     | 0.00%             | 2033-08-01      | Variable      | 6.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402XXU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     58493 | PA      | $59242.15     | 0.01%             | 2033-11-01      | Variable      | 6.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31405JWZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7594 | PA      | $7744.10      | 0.00%             | 2034-09-01      | Variable      | 7.40%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC                                                                            | CUSIP: 3128S4EN3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    102242 | PA      | $104030.86    | 0.03%             | 2036-04-01      | Variable      | 6.52%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31388JK53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7322 | PA      | $7369.75      | 0.00%             | 2031-09-01      | Variable      | 6.94%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31408EQJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15496 | PA      | $15736.45     | 0.00%             | 2036-01-01      | Variable      | 6.37%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31386CLJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4976 | PA      | $4993.32      | 0.00%             | 2030-03-01      | Variable      | 6.23%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31406VLK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25407 | PA      | $25570.22     | 0.01%             | 2035-05-01      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31378QJU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1264 | PA      | $1296.17      | 0.00%             | 2038-04-01      | Variable      | 6.58%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31403CWP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1359 | PA      | $1393.31      | 0.00%             | 2035-09-01      | Variable      | 7.19%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31403DET2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3635 | PA      | $3736.64      | 0.00%             | 2033-04-01      | Variable      | 6.58%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31391RTQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    119211 | PA      | $122253.09    | 0.03%             | 2032-09-01      | Variable      | 7.96%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31403JRR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26278 | PA      | $26486.49     | 0.01%             | 2033-10-01      | Variable      | 6.87%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31385XUU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1209 | PA      | $1204.84      | 0.00%             | 2033-11-01      | Variable      | 5.47%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 313612HK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       680 | PA      | $672.45       | 0.00%             | 2027-04-01      | Variable      | 4.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Series 2024-98, Class FA                                                   | CUSIP: 3136BUCU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1013560 | PA      | $1014527.77   | 0.26%             | 2053-12-25      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31407AZX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27879 | PA      | $28582.03     | 0.01%             | 2035-05-01      | Variable      | 6.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31407AZQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9158 | PA      | $9195.08      | 0.00%             | 2035-05-01      | Variable      | 7.18%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31410QKA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19844 | PA      | $20105.82     | 0.01%             | 2036-10-01      | Variable      | 6.36%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31404JQS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9192 | PA      | $9378.61      | 0.00%             | 2034-03-01      | Variable      | 6.49%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA, Series 2010-12, Class FD                                                   | CUSIP: 38376TAF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    488847 | PA      | $488286.95    | 0.12%             | 2040-01-16      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31411E3J4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     49073 | PA      | $50018.56     | 0.01%             | 2037-01-01      | Variable      | 6.56%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC                                                                            | CUSIP: 31342AZT9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    164100 | PA      | $168644.76    | 0.04%             | 2033-08-01      | Variable      | 7.37%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31385JPQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     39365 | PA      | $39556.24     | 0.01%             | 2028-08-01      | Variable      | 7.02%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31401G5B6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     84550 | PA      | $85300.82     | 0.02%             | 2033-04-01      | Variable      | 6.18%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402RD89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    248962 | PA      | $250905.01    | 0.06%             | 2035-04-01      | Variable      | 5.95%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31405QDY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     45332 | PA      | $45708.88     | 0.01%             | 2034-07-01      | Variable      | 6.35%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402RTR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23748 | PA      | $24327.80     | 0.01%             | 2035-09-01      | Variable      | 6.96%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | U.S. Treasury 10 Year Ultra Notes                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       -77 | NC      | $-83517.90    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31407DNZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13688 | PA      | $14035.91     | 0.00%             | 2034-07-01      | Variable      | 6.56%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31408FN88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23026 | PA      | $23347.59     | 0.01%             | 2035-09-01      | Variable      | 7.09%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31407DUK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2872 | PA      | $2906.15      | 0.00%             | 2035-05-01      | Variable      | 6.20%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 3138EGR63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    483312 | PA      | $498524.78    | 0.13%             | 2035-08-01      | Variable      | 6.91%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31412V7C6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13832 | PA      | $13933.80     | 0.00%             | 2037-04-01      | Variable      | 5.86%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31404GPK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     72604 | PA      | $73279.58     | 0.02%             | 2034-05-01      | Variable      | 6.24%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31406YCH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     59053 | PA      | $59231.66     | 0.01%             | 2035-07-01      | Variable      | 6.46%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31391SHX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       928 | PA      | $953.54       | 0.00%             | 2032-12-01      | Variable      | 6.54%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC, Multi-family Structured Pass-Through Certificates, Series KF163, Class AS | CUSIP: 3137HDPJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2933335 | PA      | $2938168.66   | 0.74%             | 2034-04-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31401CV83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3265 | PA      | $3303.08      | 0.00%             | 2033-05-01      | Variable      | 7.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 3140JBHL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5866034 | PA      | $6076059.64   | 1.54%             | 2038-09-01      | Variable      | 6.85%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31409WCN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5645 | PA      | $5750.67      | 0.00%             | 2036-01-01      | Variable      | 6.34%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31404HVC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33335 | PA      | $33965.33     | 0.01%             | 2034-02-01      | Variable      | 6.31%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31389TGC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     78704 | PA      | $80644.72     | 0.02%             | 2032-03-01      | Variable      | 6.70%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31407WSB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       816 | PA      | $814.91       | 0.00%             | 2035-03-01      | Variable      | 6.41%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402MM72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9751 | PA      | $9970.42      | 0.00%             | 2033-08-01      | Variable      | 7.34%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31403DQ36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    182000 | PA      | $186621.57    | 0.05%             | 2035-08-01      | Variable      | 7.26%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31403DK81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1359 | PA      | $1382.33      | 0.00%             | 2036-05-01      | Variable      | 6.69%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31404TAR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10590 | PA      | $10838.02     | 0.00%             | 2034-04-01      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402RNB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6991 | PA      | $7122.10      | 0.00%             | 2033-11-01      | Variable      | 6.45%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31412BTN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10952 | PA      | $11339.00     | 0.00%             | 2036-08-01      | Variable      | 7.13%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31406DAD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     48275 | PA      | $48526.49     | 0.01%             | 2034-10-01      | Variable      | 5.77%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31390XAF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       662 | PA      | $680.51       | 0.00%             | 2033-01-01      | Variable      | 6.46%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Series 2021-8, Class YF                                                    | CUSIP: 3136BFFR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8485867 | PA      | $8493407.95   | 2.15%             | 2061-03-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA II                                                                          | CUSIP: 36225C2Y1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     72719 | PA      | $74174.88     | 0.02%             | 2033-12-20      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31401D3F6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4067 | PA      | $4157.04      | 0.00%             | 2033-05-01      | Variable      | 7.26%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31391SGL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11487 | PA      | $11804.68     | 0.00%             | 2033-01-01      | Variable      | 6.46%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31407MSQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     55209 | PA      | $56819.04     | 0.01%             | 2035-07-01      | Variable      | 6.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402RKW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     90642 | PA      | $92979.65     | 0.02%             | 2035-06-01      | Variable      | 6.68%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC                                                                            | CUSIP: 3128LUK88<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    502102 | PA      | $519545.65    | 0.13%             | 2037-03-01      | Variable      | 6.78%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC                                                                            | CUSIP: 31300MGN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    253025 | PA      | $261992.33    | 0.07%             | 2036-11-01      | Variable      | 7.02%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Series 2020-54, Class WF                                                   | CUSIP: 3136BBGN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2830454 | PA      | $2755737.00   | 0.70%             | 2050-08-25      | Floating      | 4.28%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Series 2021-36, Class YF                                                   | CUSIP: 3136BHPA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4175207 | PA      | $4210848.54   | 1.06%             | 2061-06-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31406CT32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21931 | PA      | $22748.50     | 0.01%             | 2035-01-01      | Variable      | 7.41%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31362JUN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       204 | PA      | $200.83       | 0.00%             | 2028-06-01      | Variable      | 4.35%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31400PAT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    105695 | PA      | $107448.26    | 0.03%             | 2033-02-01      | Variable      | 6.52%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31401CR21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1069 | PA      | $1091.88      | 0.00%             | 2033-05-01      | Variable      | 7.16%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31405D4L8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7058 | PA      | $7112.07      | 0.00%             | 2034-08-01      | Variable      | 7.10%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31416CDW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19201 | PA      | $19512.67     | 0.00%             | 2038-04-01      | Variable      | 6.63%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31405ARB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    166562 | PA      | $170759.53    | 0.04%             | 2035-01-01      | Variable      | 6.99%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31406PKY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12298 | PA      | $12645.58     | 0.00%             | 2035-02-01      | Variable      | 6.42%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402CRK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       948 | PA      | $953.97       | 0.00%             | 2033-11-01      | Variable      | 6.04%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31407XWX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5508 | PA      | $5612.77      | 0.00%             | 2035-11-01      | Variable      | 6.51%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31404AUY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22122 | PA      | $22667.51     | 0.01%             | 2033-09-01      | Variable      | 6.65%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31411YBW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    108782 | PA      | $111289.70    | 0.03%             | 2037-05-01      | Variable      | 6.59%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402DHF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3906 | PA      | $3975.95      | 0.00%             | 2034-04-01      | Variable      | 6.86%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31405WHT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34813 | PA      | $35422.44     | 0.01%             | 2034-09-01      | Variable      | 7.36%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402DNA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       779 | PA      | $795.57       | 0.00%             | 2034-09-01      | Variable      | 6.93%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31410KXH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16634 | PA      | $17002.15     | 0.00%             | 2038-10-01      | Variable      | 7.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31409UUT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    389287 | PA      | $399083.46    | 0.10%             | 2036-05-01      | Variable      | 6.93%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31413DTG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1998 | PA      | $2035.53      | 0.00%             | 2037-08-01      | Variable      | 7.27%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC                                                                            | CUSIP: 3128S5QL1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    310117 | PA      | $321591.26    | 0.08%             | 2037-04-01      | Variable      | 6.76%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31405PLR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    151415 | PA      | $155431.96    | 0.04%             | 2034-10-01      | Variable      | 6.65%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31380ADC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4913 | PA      | $4906.11      | 0.00%             | 2027-12-01      | Variable      | 6.71%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31405MCX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16112 | PA      | $16489.00     | 0.00%             | 2034-08-01      | Variable      | 7.43%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31406L3Q9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29981 | PA      | $30682.05     | 0.01%             | 2036-09-01      | Variable      | 7.18%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31406X2J0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20221 | PA      | $20543.30     | 0.01%             | 2035-02-01      | Variable      | 6.21%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31418M6F4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42925 | PA      | $44143.65     | 0.01%             | 2036-12-01      | Variable      | 6.69%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31405PDD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33519 | PA      | $34372.31     | 0.01%             | 2034-10-01      | Variable      | 6.59%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402Q4F5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1237 | PA      | $1263.45      | 0.00%             | 2034-07-01      | Variable      | 6.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402C3F7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27643 | PA      | $28021.30     | 0.01%             | 2030-09-01      | Variable      | 5.91%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31405KMH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31145 | PA      | $31693.10     | 0.01%             | 2034-10-01      | Variable      | 7.15%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 3138EQBQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     81719 | PA      | $84852.54     | 0.02%             | 2036-08-01      | Variable      | 6.92%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31405PKE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15305 | PA      | $15505.76     | 0.00%             | 2034-10-01      | Variable      | 6.58%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402DLW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10627 | PA      | $10771.76     | 0.00%             | 2037-02-01      | Variable      | 6.69%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31410KD27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    232040 | PA      | $236431.18    | 0.06%             | 2034-05-01      | Variable      | 7.19%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31406UDS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32410 | PA      | $33492.43     | 0.01%             | 2034-11-01      | Variable      | 7.04%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402RHA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2153 | PA      | $2198.79      | 0.00%             | 2034-01-01      | Variable      | 6.63%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC                                                                            | CUSIP: 3128QGFA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    101336 | PA      | $102990.26    | 0.03%             | 2036-04-01      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31410EM88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2462 | PA      | $2491.55      | 0.00%             | 2036-06-01      | Variable      | 7.43%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31403DHM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1851121 | PA      | $1917747.37   | 0.48%             | 2035-03-01      | Variable      | 6.71%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31376PMT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         9 | PA      | $8.86         | 0.00%             | 2026-07-01      | Variable      | 7.39%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31400U3Z5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22502 | PA      | $22633.23     | 0.01%             | 2033-03-01      | Variable      | 6.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 3138EJPA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    294268 | PA      | $303330.08    | 0.08%             | 2039-09-01      | Variable      | 6.63%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31406MA71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1211 | PA      | $1221.63      | 0.00%             | 2035-01-01      | Variable      | 6.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31403LLM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9262 | PA      | $9459.54      | 0.00%             | 2033-10-01      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31406X2K7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4915 | PA      | $4951.49      | 0.00%             | 2035-01-01      | Variable      | 6.24%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31410MHD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    482464 | PA      | $494275.53    | 0.12%             | 2036-04-01      | Variable      | 6.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31381JFR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37058 | PA      | $36653.89     | 0.01%             | 2034-11-01      | Variable      | 6.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31403AVC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       430 | PA      | $437.10       | 0.00%             | 2033-10-01      | Variable      | 6.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31404WC38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20639 | PA      | $21263.81     | 0.01%             | 2034-07-01      | Variable      | 7.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31407WSP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23631 | PA      | $23870.46     | 0.01%             | 2035-09-01      | Variable      | 6.23%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31414KPM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2627 | PA      | $2709.27      | 0.00%             | 2038-01-01      | Variable      | 6.51%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, 30 Year                                                                    | CUSIP: 31418E3E8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1958210 | PA      | $1955840.44   | 0.49%             | 2054-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402Q4R9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7624 | PA      | $7813.94      | 0.00%             | 2034-08-01      | Variable      | 6.70%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31401L5Z2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     76681 | PA      | $78882.29     | 0.02%             | 2033-06-01      | Variable      | 7.08%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31391SJK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       189 | PA      | $192.85       | 0.00%             | 2033-02-01      | Variable      | 6.54%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31409JU99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13136 | PA      | $13496.68     | 0.00%             | 2036-06-01      | Variable      | 6.77%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31405UMM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6095 | PA      | $6202.87      | 0.00%             | 2034-10-01      | Variable      | 6.85%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402BTK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14353 | PA      | $14689.31     | 0.00%             | 2033-08-01      | Variable      | 7.26%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31404VKH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27282 | PA      | $27751.17     | 0.01%             | 2034-06-01      | Variable      | 7.77%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31407WSA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6753 | PA      | $6829.14      | 0.00%             | 2034-12-01      | Variable      | 6.37%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31401EWC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28618 | PA      | $28767.24     | 0.01%             | 2031-01-01      | Variable      | 7.18%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31416B5H7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    209675 | PA      | $216162.34    | 0.05%             | 2035-09-01      | Variable      | 7.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31407BVH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17402 | PA      | $17650.60     | 0.00%             | 2035-07-01      | Variable      | 7.34%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31413RBC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6757 | PA      | $6953.18      | 0.00%             | 2037-09-01      | Variable      | 7.37%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC                                                                            | CUSIP: 3128S6AS1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    312568 | PA      | $322578.39    | 0.08%             | 2038-05-01      | Variable      | 6.91%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC                                                                            | CUSIP: 3128JMV38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    948712 | PA      | $986449.22    | 0.25%             | 2036-02-01      | Variable      | 6.70%                 | No            |                  2 | On Loan: No      |
| United States of America                                | U.S. Treasury Notes                                                              | CUSIP: 91282CKJ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  15000000 | PA      | $15249902.40  | 3.85%             | 2027-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 3138ELXF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    175824 | PA      | $178375.65    | 0.05%             | 2037-01-01      | Variable      | 6.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31408BT65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    135871 | PA      | $140911.98    | 0.04%             | 2035-12-01      | Variable      | 7.36%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31416CGR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     62506 | PA      | $64507.19     | 0.02%             | 2037-01-01      | Variable      | 6.80%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31387TZK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4027 | PA      | $4032.60      | 0.00%             | 2028-06-01      | Variable      | 7.68%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31411JU79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    454870 | PA      | $468265.99    | 0.12%             | 2037-02-01      | Variable      | 6.78%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31379LCM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8569 | PA      | $8590.38      | 0.00%             | 2027-12-01      | Variable      | 6.49%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31361HL57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       850 | PA      | $842.84       | 0.00%             | 2026-08-01      | Variable      | 4.21%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31409JLH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3797 | PA      | $3888.69      | 0.00%             | 2036-06-01      | Variable      | 7.71%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402QWK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        18 | PA      | $18.02        | 0.00%             | 2033-07-01      | Variable      | 7.06%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31400JMH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4106 | PA      | $4225.03      | 0.00%             | 2033-04-01      | Variable      | 6.37%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402DHG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20096 | PA      | $20202.69     | 0.01%             | 2034-08-01      | Variable      | 6.05%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31403QMV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37227 | PA      | $37821.65     | 0.01%             | 2033-10-01      | Variable      | 6.19%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31404GV40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1267 | PA      | $1306.76      | 0.00%             | 2034-01-01      | Variable      | 6.27%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31417SC24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37278 | PA      | $38113.77     | 0.01%             | 2039-12-01      | Variable      | 6.43%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31410F6X8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1805 | PA      | $1857.73      | 0.00%             | 2038-03-01      | Variable      | 6.66%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 3138EGJB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    133885 | PA      | $137324.26    | 0.03%             | 2035-07-01      | Variable      | 7.35%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402RRV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       911 | PA      | $927.12       | 0.00%             | 2034-08-01      | Variable      | 6.28%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31403VQK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14356 | PA      | $14572.69     | 0.00%             | 2034-01-01      | Variable      | 6.54%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31405N7J8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3235 | PA      | $3296.68      | 0.00%             | 2034-10-01      | Variable      | 6.76%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 3138EHG55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21021 | PA      | $21594.22     | 0.01%             | 2041-11-01      | Variable      | 6.37%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31403C4Q1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1475 | PA      | $1528.48      | 0.00%             | 2035-10-01      | Variable      | 7.76%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31385XPZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         6 | PA      | $6.10         | 0.00%             | 2027-08-01      | Variable      | 7.35%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC, Series 4215, Class KF                                                     | CUSIP: 3137B34M7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1028965 | PA      | $1001229.95   | 0.25%             | 2040-02-15      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 3138EH7E6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37220 | PA      | $37371.09     | 0.01%             | 2034-08-01      | Variable      | 6.05%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31416BNZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4179 | PA      | $4298.94      | 0.00%             | 2037-11-01      | Variable      | 7.20%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31362GM40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       769 | PA      | $761.44       | 0.00%             | 2028-01-01      | Variable      | 4.39%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31405BD57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7084 | PA      | $7254.04      | 0.00%             | 2034-12-01      | Variable      | 6.46%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31386C3H3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35488 | PA      | $35541.02     | 0.01%             | 2040-09-01      | Variable      | 5.97%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31416B4U9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1940 | PA      | $1958.52      | 0.00%             | 2037-11-01      | Variable      | 6.69%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402RCM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       495 | PA      | $510.22       | 0.00%             | 2038-05-01      | Variable      | 6.84%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31410QQR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7351 | PA      | $7479.62      | 0.00%             | 2036-10-01      | Variable      | 6.79%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31408BQB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     94770 | PA      | $96335.46     | 0.02%             | 2035-12-01      | Variable      | 6.36%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402GTK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16394 | PA      | $16700.04     | 0.00%             | 2033-07-01      | Variable      | 7.36%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402CR61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1505 | PA      | $1555.37      | 0.00%             | 2034-01-01      | Variable      | 6.79%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31406PDR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     86930 | PA      | $89452.12     | 0.02%             | 2035-05-01      | Variable      | 6.46%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31408DCA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2560 | PA      | $2605.83      | 0.00%             | 2035-11-01      | Variable      | 7.41%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31405HB80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14414 | PA      | $14804.82     | 0.00%             | 2034-06-01      | Variable      | 6.31%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31414UQ27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     75423 | PA      | $76064.01     | 0.02%             | 2037-06-01      | Variable      | 6.15%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC                                                                            | CUSIP: 3128S5W75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    709748 | PA      | $730796.64    | 0.18%             | 2037-11-01      | Variable      | 7.23%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31391NM40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1225 | PA      | $1245.35      | 0.00%             | 2032-11-01      | Variable      | 6.15%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31385WZK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14562 | PA      | $14943.56     | 0.00%             | 2033-01-01      | Variable      | 6.41%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402DFN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    274053 | PA      | $278847.18    | 0.07%             | 2034-07-01      | Variable      | 7.15%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 3138EHVL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     47212 | PA      | $47825.44     | 0.01%             | 2037-07-01      | Variable      | 6.21%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC                                                                            | CUSIP: 31300LN50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    944156 | PA      | $977346.82    | 0.25%             | 2035-03-01      | Variable      | 7.06%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31384VSV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32436 | PA      | $31768.31     | 0.01%             | 2036-05-01      | Variable      | 4.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31405XYA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    115383 | PA      | $115824.95    | 0.03%             | 2034-08-01      | Variable      | 6.16%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31406TTN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       915 | PA      | $935.28       | 0.00%             | 2035-03-01      | Variable      | 6.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31401CU76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4667 | PA      | $4723.27      | 0.00%             | 2033-05-01      | Variable      | 6.13%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31407AZR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26026 | PA      | $26364.36     | 0.01%             | 2035-05-01      | Variable      | 6.58%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31407MGQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     56380 | PA      | $57575.72     | 0.01%             | 2035-07-01      | Variable      | 7.37%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31409ASN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4648 | PA      | $4766.13      | 0.00%             | 2036-02-01      | Variable      | 6.42%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31401CXK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5080 | PA      | $5153.36      | 0.00%             | 2033-05-01      | Variable      | 7.36%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31410GJK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       263 | PA      | $265.87       | 0.00%             | 2032-01-01      | Variable      | 7.11%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31405QYJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8197 | PA      | $8423.25      | 0.00%             | 2034-11-01      | Variable      | 6.41%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31404DTS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29437 | PA      | $30052.74     | 0.01%             | 2034-02-01      | Variable      | 6.65%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31385XEK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15280 | PA      | $15637.44     | 0.00%             | 2033-05-01      | Variable      | 6.44%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC                                                                            | CUSIP: 3128S4A49<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    214730 | PA      | $223376.20    | 0.06%             | 2036-02-01      | Variable      | 6.88%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31401KL29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21090 | PA      | $21677.82     | 0.01%             | 2033-06-01      | Variable      | 7.36%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC                                                                            | CUSIP: 3128S4GM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     19813 | PA      | $20118.12     | 0.01%             | 2036-02-01      | Variable      | 7.60%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31406V3E4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1124 | PA      | $1145.12      | 0.00%             | 2035-06-01      | Variable      | 7.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402RBC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3278 | PA      | $3355.56      | 0.00%             | 2035-02-01      | Variable      | 6.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31406AKA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10340 | PA      | $10535.54     | 0.00%             | 2034-10-01      | Variable      | 6.27%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31375DHB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6063 | PA      | $6052.82      | 0.00%             | 2036-05-01      | Variable      | 6.45%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31403NBV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2509 | PA      | $2562.72      | 0.00%             | 2033-11-01      | Variable      | 6.93%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402EM70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12013 | PA      | $12085.72     | 0.00%             | 2033-01-01      | Variable      | 7.26%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31405KMW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10236 | PA      | $10455.18     | 0.00%             | 2034-08-01      | Variable      | 7.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31411EZA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       732 | PA      | $749.61       | 0.00%             | 2037-01-01      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31373CSC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3744940 | PA      | $3707520.73   | 0.94%             | 2034-04-01      | Variable      | 4.35%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC                                                                            | CUSIP: 3128S5EK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    112805 | PA      | $115153.43    | 0.03%             | 2037-10-01      | Variable      | 6.83%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31405VG76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11759 | PA      | $11785.59     | 0.00%             | 2034-08-01      | Variable      | 5.93%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31412DPT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13494 | PA      | $13723.47     | 0.00%             | 2037-04-01      | Variable      | 6.46%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31400WR77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25231 | PA      | $25622.38     | 0.01%             | 2033-04-01      | Variable      | 6.41%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31400ARQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        87 | PA      | $89.18        | 0.00%             | 2033-04-01      | Variable      | 6.37%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31408DRK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37618 | PA      | $38466.73     | 0.01%             | 2035-12-01      | Variable      | 6.29%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31375PW51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1902 | PA      | $1911.38      | 0.00%             | 2026-03-01      | Variable      | 7.04%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31404ULA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13212 | PA      | $13556.49     | 0.00%             | 2034-05-01      | Variable      | 7.27%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31404MPD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14908 | PA      | $15259.88     | 0.00%             | 2034-03-01      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31407YRJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     77738 | PA      | $79554.16     | 0.02%             | 2035-11-01      | Variable      | 6.46%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC, Series 4794, Class WF                                                     | CUSIP: 3137F5MJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3100167 | PA      | $3054604.47   | 0.77%             | 2043-03-15      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31410QEE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4785 | PA      | $4911.95      | 0.00%             | 2036-10-01      | Variable      | 6.48%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31407FUV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1633 | PA      | $1685.54      | 0.00%             | 2035-07-01      | Variable      | 7.44%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31419BA21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    137047 | PA      | $142360.87    | 0.04%             | 2038-07-01      | Variable      | 6.64%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31405YPX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     78161 | PA      | $79135.43     | 0.02%             | 2044-09-01      | Variable      | 5.77%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31409UWF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3298 | PA      | $3338.81      | 0.00%             | 2036-01-01      | Variable      | 6.51%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31406MAP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5309 | PA      | $5435.80      | 0.00%             | 2035-01-01      | Variable      | 6.19%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31410FZH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     87445 | PA      | $88664.11     | 0.02%             | 2035-06-01      | Variable      | 6.55%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31407T2S8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18327 | PA      | $18767.34     | 0.00%             | 2035-09-01      | Variable      | 7.36%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402QZV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32782 | PA      | $33899.47     | 0.01%             | 2034-11-01      | Variable      | 6.82%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31412SKY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2108 | PA      | $2153.32      | 0.00%             | 2038-03-01      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31386M2G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2779 | PA      | $2797.94      | 0.00%             | 2030-09-01      | Variable      | 5.91%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31400BWB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6307 | PA      | $6429.71      | 0.00%             | 2033-02-01      | Variable      | 6.58%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31414R5F8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17682 | PA      | $18072.71     | 0.00%             | 2038-03-01      | Variable      | 6.56%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31414DPA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7872 | PA      | $8129.48      | 0.00%             | 2038-05-01      | Variable      | 6.91%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31403DTT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4605 | PA      | $4723.03      | 0.00%             | 2035-04-01      | Variable      | 6.95%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31407EM67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     96276 | PA      | $98382.08     | 0.02%             | 2035-06-01      | Variable      | 7.73%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31378VKP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1684 | PA      | $1687.26      | 0.00%             | 2027-06-01      | Variable      | 6.37%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31411DUK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     66264 | PA      | $68177.63     | 0.02%             | 2036-11-01      | Variable      | 6.73%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31374T2E8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     46834 | PA      | $45882.02     | 0.01%             | 2036-05-01      | Variable      | 4.43%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402DM98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1619 | PA      | $1648.75      | 0.00%             | 2038-03-01      | Variable      | 7.20%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 3138ERS68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    154815 | PA      | $158907.79    | 0.04%             | 2038-07-01      | Variable      | 6.69%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31411GTW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     75302 | PA      | $78020.13     | 0.02%             | 2037-03-01      | Variable      | 6.97%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC, Series 4988, Class AF                                                     | CUSIP: 3137FUN26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3346370 | PA      | $3300738.10   | 0.83%             | 2037-10-15      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC                                                                            | CUSIP: 3128JRJB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     99487 | PA      | $101731.93    | 0.03%             | 2035-11-01      | Variable      | 7.25%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC                                                                            | CUSIP: 3128S5VZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    170735 | PA      | $174439.00    | 0.04%             | 2038-03-01      | Variable      | 6.74%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31404P6G1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23623 | PA      | $24062.76     | 0.01%             | 2034-04-01      | Variable      | 6.20%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC                                                                            | CUSIP: 31347AVZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1350384 | PA      | $1398192.88   | 0.35%             | 2045-05-01      | Variable      | 6.81%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31413YLY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3109 | PA      | $3127.37      | 0.00%             | 2037-11-01      | Variable      | 5.86%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31406XXN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12742 | PA      | $13139.13     | 0.00%             | 2035-06-01      | Variable      | 7.44%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402RKL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    334751 | PA      | $343327.59    | 0.09%             | 2034-12-01      | Variable      | 7.01%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402CWB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    300046 | PA      | $306578.88    | 0.08%             | 2034-02-01      | Variable      | 6.76%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31414EKD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5071 | PA      | $5213.13      | 0.00%             | 2038-06-01      | Variable      | 7.83%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31375VEU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2408 | PA      | $2409.39      | 0.00%             | 2036-07-01      | Variable      | 7.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31403DMZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    191431 | PA      | $196911.63    | 0.05%             | 2036-05-01      | Variable      | 6.18%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31403DQN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42732 | PA      | $43911.78     | 0.01%             | 2036-08-01      | Variable      | 7.81%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31401HJF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20575 | PA      | $21101.11     | 0.01%             | 2033-06-01      | Variable      | 6.65%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31403DPE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13961 | PA      | $14073.36     | 0.00%             | 2034-03-01      | Variable      | 6.20%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC                                                                            | CUSIP: 3128QGMT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     93489 | PA      | $94193.78     | 0.02%             | 2037-01-01      | Variable      | 6.14%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31407YMC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3953 | PA      | $4082.31      | 0.00%             | 2035-12-01      | Variable      | 6.73%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 3138EJZS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    845178 | PA      | $874671.74    | 0.22%             | 2036-06-01      | Variable      | 6.86%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31406DG67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9322 | PA      | $9634.44      | 0.00%             | 2034-11-01      | Variable      | 6.85%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31386CXW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1032 | PA      | $1036.25      | 0.00%             | 2028-06-01      | Variable      | 7.31%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402G7D9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12242 | PA      | $12517.71     | 0.00%             | 2033-08-01      | Variable      | 7.34%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402CXP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       109 | PA      | $109.91       | 0.00%             | 2032-06-01      | Variable      | 6.68%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31409XZY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    148422 | PA      | $151795.18    | 0.04%             | 2036-02-01      | Variable      | 6.59%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31387MAU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     86102 | PA      | $86724.54     | 0.02%             | 2031-04-01      | Variable      | 6.48%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31407SKU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    204784 | PA      | $209510.11    | 0.05%             | 2035-12-01      | Variable      | 6.60%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31405XQU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1864 | PA      | $1905.87      | 0.00%             | 2034-11-01      | Variable      | 6.95%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31413RTG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21430 | PA      | $21982.80     | 0.01%             | 2037-10-01      | Variable      | 6.78%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31406MER3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     45417 | PA      | $46686.89     | 0.01%             | 2035-01-01      | Variable      | 6.34%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31371L4X4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4378 | PA      | $4467.91      | 0.00%             | 2035-01-01      | Variable      | 6.63%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31416BT40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    599005 | PA      | $618382.03    | 0.16%             | 2036-02-01      | Variable      | 7.17%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31404A3G7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15961 | PA      | $16299.48     | 0.00%             | 2033-10-01      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31407UMR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     54531 | PA      | $56906.16     | 0.01%             | 2034-11-01      | Variable      | 7.04%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31385H4F6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3329 | PA      | $3388.17      | 0.00%             | 2040-07-01      | Variable      | 7.09%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31407JNN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    157812 | PA      | $162318.93    | 0.04%             | 2035-07-01      | Variable      | 7.64%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31410GGV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15119 | PA      | $15551.30     | 0.00%             | 2037-08-01      | Variable      | 7.45%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31410ABX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9570 | PA      | $9741.22      | 0.00%             | 2036-07-01      | Variable      | 7.44%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402RUB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36322 | PA      | $37212.44     | 0.01%             | 2035-09-01      | Variable      | 7.37%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31412EJ23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1307 | PA      | $1328.41      | 0.00%             | 2037-02-01      | Variable      | 6.21%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31401DMN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7022 | PA      | $7214.84      | 0.00%             | 2033-05-01      | Variable      | 6.52%                 | No            |                  2 | On Loan: No      |
| United States of America                                | U.S. Treasury Notes                                                              | CUSIP: 9128286F2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2162000 | PA      | $2135549.66   | 0.54%             | 2026-02-28      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31419ACA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    713113 | PA      | $740591.69    | 0.19%             | 2040-05-01      | Variable      | 6.93%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31412CFL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3064 | PA      | $3105.97      | 0.00%             | 2037-01-01      | Variable      | 5.95%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC                                                                            | CUSIP: 3128S5AJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    236725 | PA      | $241520.64    | 0.06%             | 2037-01-01      | Variable      | 6.80%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31391KQN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       583 | PA      | $592.84       | 0.00%             | 2032-10-01      | Variable      | 6.63%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31404XR71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     94050 | PA      | $95701.06     | 0.02%             | 2034-11-01      | Variable      | 6.54%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31407XT92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    426364 | PA      | $431978.91    | 0.11%             | 2035-11-01      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31404FPT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     78759 | PA      | $81022.70     | 0.02%             | 2034-06-01      | Variable      | 7.22%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402VZW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5766 | PA      | $5855.55      | 0.00%             | 2033-08-01      | Variable      | 6.34%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402Q4J7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1150 | PA      | $1183.14      | 0.00%             | 2033-11-01      | Variable      | 6.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31403UYK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11131 | PA      | $11289.26     | 0.00%             | 2033-11-01      | Variable      | 6.18%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31406NBL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17275 | PA      | $17627.39     | 0.00%             | 2035-04-01      | Variable      | 6.37%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31416CBD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13552 | PA      | $13987.37     | 0.00%             | 2035-12-01      | Variable      | 6.95%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402LGC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    113574 | PA      | $114427.00    | 0.03%             | 2033-09-01      | Variable      | 6.16%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31409ENJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15200 | PA      | $15701.61     | 0.00%             | 2036-05-01      | Variable      | 7.28%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31410KF41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    185889 | PA      | $189964.18    | 0.05%             | 2035-08-01      | Variable      | 7.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31410UXH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37424 | PA      | $38910.20     | 0.01%             | 2036-09-01      | Variable      | 7.09%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31403QMT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25107 | PA      | $25520.41     | 0.01%             | 2033-10-01      | Variable      | 6.18%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31409VAS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    460028 | PA      | $474678.20    | 0.12%             | 2036-02-01      | Variable      | 6.79%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31410Q3N9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     58247 | PA      | $59594.43     | 0.02%             | 2036-03-01      | Variable      | 7.63%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31363XDF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21304 | PA      | $21018.08     | 0.01%             | 2028-11-01      | Variable      | 4.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 3138EGEG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     44280 | PA      | $45825.69     | 0.01%             | 2036-09-01      | Variable      | 6.94%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31404EZ90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35001 | PA      | $35512.47     | 0.01%             | 2034-03-01      | Variable      | 6.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31412SVV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        66 | PA      | $66.99        | 0.00%             | 2038-07-01      | Variable      | 7.37%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31410PYG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26426 | PA      | $27227.15     | 0.01%             | 2036-09-01      | Variable      | 7.61%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402C2J0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       749 | PA      | $763.10       | 0.00%             | 2038-05-01      | Variable      | 6.78%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31404JSQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19625 | PA      | $20029.10     | 0.01%             | 2034-03-01      | Variable      | 6.27%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31403CWW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2865 | PA      | $2912.00      | 0.00%             | 2035-03-01      | Variable      | 6.70%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC, Series 343, Class F4                                                      | CUSIP: 31351DEC1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3116910 | PA      | $3071531.57   | 0.78%             | 2037-10-15      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31384V7K2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6655 | PA      | $6664.58      | 0.00%             | 2040-10-01      | Variable      | 5.97%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31404CVT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    115686 | PA      | $119226.41    | 0.03%             | 2034-01-01      | Variable      | 6.49%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31404FPR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     55912 | PA      | $57298.56     | 0.01%             | 2034-05-01      | Variable      | 7.22%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402KU28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1634 | PA      | $1666.02      | 0.00%             | 2033-08-01      | Variable      | 7.28%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC, Series 4891, Class AF                                                     | CUSIP: 3137FM2A9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5070815 | PA      | $5154378.80   | 1.30%             | 2042-07-15      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31407FU40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4797 | PA      | $4948.67      | 0.00%             | 2035-08-01      | Variable      | 7.42%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31408AMN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     44554 | PA      | $45432.27     | 0.01%             | 2036-01-01      | Variable      | 6.59%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31404X3H5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37686 | PA      | $38873.17     | 0.01%             | 2034-05-01      | Variable      | 6.78%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31401H6Q0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1531 | PA      | $1557.31      | 0.00%             | 2033-06-01      | Variable      | 7.51%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31410XDA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25748 | PA      | $26804.58     | 0.01%             | 2036-10-01      | Variable      | 7.51%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31400SXU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20974 | PA      | $21496.04     | 0.01%             | 2033-05-01      | Variable      | 6.46%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31384V7B2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        32 | PA      | $31.99        | 0.00%             | 2030-03-01      | Variable      | 5.55%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31391EUJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8946 | PA      | $9113.16      | 0.00%             | 2032-10-01      | Variable      | 6.34%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402G6M0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10417 | PA      | $10636.29     | 0.00%             | 2033-08-01      | Variable      | 7.34%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31407MWS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5591 | PA      | $5703.43      | 0.00%             | 2035-05-01      | Variable      | 7.08%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31412V6Z6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9422 | PA      | $9638.30      | 0.00%             | 2037-04-01      | Variable      | 5.77%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31388NR99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25836 | PA      | $25849.92     | 0.01%             | 2030-03-01      | Variable      | 6.34%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31390CLB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       706 | PA      | $718.75       | 0.00%             | 2032-03-01      | Variable      | 6.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31412CE30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9780 | PA      | $9994.68      | 0.00%             | 2037-01-01      | Variable      | 6.22%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31406L2Y3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     64837 | PA      | $66556.99     | 0.02%             | 2035-07-01      | Variable      | 6.92%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402DHP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6382 | PA      | $6405.46      | 0.00%             | 2032-10-01      | Variable      | 6.23%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31406VQ74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6098 | PA      | $6105.61      | 0.00%             | 2035-05-01      | Variable      | 7.04%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402J4L8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     65393 | PA      | $66805.30     | 0.02%             | 2033-08-01      | Variable      | 7.59%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC                                                                            | CUSIP: 31349SRM7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     98626 | PA      | $101268.63    | 0.03%             | 2034-04-01      | Variable      | 6.48%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31403DTQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2722 | PA      | $2790.80      | 0.00%             | 2035-11-01      | Variable      | 7.04%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31410EPE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    154555 | PA      | $158168.02    | 0.04%             | 2036-06-01      | Variable      | 7.73%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402XWP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     47225 | PA      | $47440.13     | 0.01%             | 2033-10-01      | Variable      | 6.60%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402D4C1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10438 | PA      | $10539.29     | 0.00%             | 2033-07-01      | Variable      | 7.21%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31373KHT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    214646 | PA      | $210816.60    | 0.05%             | 2034-09-01      | Variable      | 4.20%                 | No            |                  2 | On Loan: No      |
| United States of America                                | U.S. Treasury Notes                                                              | CUSIP: 9128286A3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10000000 | PA      | $9896430.40   | 2.50%             | 2026-01-31      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31406RA70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2936 | PA      | $2938.43      | 0.00%             | 2035-07-01      | Variable      | 6.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402RBH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7350 | PA      | $7552.06      | 0.00%             | 2034-11-01      | Variable      | 7.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31406GLR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    115610 | PA      | $116552.58    | 0.03%             | 2035-02-01      | Variable      | 6.22%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31391MQR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    154205 | PA      | $154684.37    | 0.04%             | 2033-01-01      | Variable      | 6.16%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31407JNQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4078 | PA      | $4204.01      | 0.00%             | 2035-07-01      | Variable      | 7.36%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 3138EHJB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     49949 | PA      | $51930.91     | 0.01%             | 2037-08-01      | Variable      | 6.72%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31419APP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    304268 | PA      | $311506.65    | 0.08%             | 2038-11-01      | Variable      | 7.17%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31410GG31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2825 | PA      | $2881.99      | 0.00%             | 2038-03-01      | Variable      | 6.52%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31409AK81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       907 | PA      | $926.58       | 0.00%             | 2036-02-01      | Variable      | 6.52%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402RN62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6844 | PA      | $6984.89      | 0.00%             | 2035-07-01      | Variable      | 6.70%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31408GX28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8491 | PA      | $8787.11      | 0.00%             | 2035-09-01      | Variable      | 6.97%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31403CZ95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8333 | PA      | $8564.01      | 0.00%             | 2035-09-01      | Variable      | 7.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31406WEE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    206302 | PA      | $209631.97    | 0.05%             | 2035-06-01      | Variable      | 7.42%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402RPM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3897 | PA      | $4009.91      | 0.00%             | 2035-06-01      | Variable      | 6.52%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31410GJN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    238379 | PA      | $242284.87    | 0.06%             | 2037-08-01      | Variable      | 6.19%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31409X3V9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35430 | PA      | $35703.93     | 0.01%             | 2036-04-01      | Variable      | 6.16%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31410RM48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29424 | PA      | $30251.63     | 0.01%             | 2036-08-01      | Variable      | 7.55%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31385HUF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       772 | PA      | $777.88       | 0.00%             | 2038-03-01      | Variable      | 7.26%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31410FW50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14670 | PA      | $14929.11     | 0.00%             | 2037-01-01      | Variable      | 6.87%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC                                                                            | CUSIP: 3128S4GC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     33840 | PA      | $34494.82     | 0.01%             | 2037-01-01      | Variable      | 6.37%                 | No            |                  2 | On Loan: No      |
| United States of America                                | U.S. Treasury Notes                                                              | CUSIP: 91282CKK6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  18238000 | PA      | $18409763.48  | 4.65%             | 2026-04-30      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31410F3M5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       661 | PA      | $668.94       | 0.00%             | 2037-04-01      | Variable      | 6.05%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC                                                                            | CUSIP: 3128JRG26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    121751 | PA      | $124160.66    | 0.03%             | 2035-06-01      | Variable      | 7.20%                 | No            |                  2 | On Loan: No      |
| FHLMC, Multi-family Structured Pass-Through Certificate | FHLMC, Multi-family Structured Pass-Through Certificates, Series KF164, Class AS | CUSIP: 3137HHUV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3999600 | PA      | $4001409.38   | 1.01%             | 2034-10-25      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC                                                                            | CUSIP: 3128S5DY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    443295 | PA      | $454010.74    | 0.11%             | 2037-04-01      | Variable      | 7.09%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31403DVD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3254 | PA      | $3354.61      | 0.00%             | 2038-05-01      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC                                                                            | CUSIP: 31347ASU9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    358473 | PA      | $369808.56    | 0.09%             | 2036-01-01      | Variable      | 6.82%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31400AMQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1815 | PA      | $1855.32      | 0.00%             | 2033-01-01      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31405RXF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8303 | PA      | $8458.80      | 0.00%             | 2034-10-01      | Variable      | 7.09%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31391QW34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1250 | PA      | $1283.07      | 0.00%             | 2032-12-01      | Variable      | 6.42%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31404ECQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16664 | PA      | $17018.37     | 0.00%             | 2034-02-01      | Variable      | 6.60%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31401CXL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8422 | PA      | $8578.09      | 0.00%             | 2033-05-01      | Variable      | 7.07%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31391SSW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2064 | PA      | $2109.18      | 0.00%             | 2032-12-01      | Variable      | 6.21%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31409HGL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     44355 | PA      | $45395.12     | 0.01%             | 2036-05-01      | Variable      | 6.55%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31401PEH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    262146 | PA      | $265195.47    | 0.07%             | 2033-04-01      | Variable      | 6.17%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 3138ETM29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3729019 | PA      | $3868011.83   | 0.98%             | 2036-05-01      | Variable      | 7.03%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31410AH33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2563 | PA      | $2634.05      | 0.00%             | 2036-07-01      | Variable      | 6.64%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31400FEQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     51140 | PA      | $52420.73     | 0.01%             | 2033-07-01      | Variable      | 7.33%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31400VP89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       344 | PA      | $343.11       | 0.00%             | 2028-03-01      | Variable      | 5.79%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31413KMQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    248261 | PA      | $251146.44    | 0.06%             | 2037-10-01      | Variable      | 6.31%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31406QGG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     63618 | PA      | $64355.43     | 0.02%             | 2035-02-01      | Variable      | 6.36%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, 30 Year                                                                    | CUSIP: 31418ERA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         0 | PA      | $0.01         | 0.00%             | 2053-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31405DVE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23438 | PA      | $23837.39     | 0.01%             | 2034-07-01      | Variable      | 7.45%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31406NEA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    165525 | PA      | $168938.70    | 0.04%             | 2035-04-01      | Variable      | 6.63%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31406WNX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22606 | PA      | $22916.41     | 0.01%             | 2035-02-01      | Variable      | 6.21%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31400Q2Z5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2134 | PA      | $2186.69      | 0.00%             | 2033-03-01      | Variable      | 6.54%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC                                                                            | CUSIP: 3128JMVS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    180891 | PA      | $184983.54    | 0.05%             | 2036-01-01      | Variable      | 6.74%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31390W7E6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16523 | PA      | $17026.23     | 0.00%             | 2032-11-01      | Variable      | 6.68%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC                                                                            | CUSIP: 3128S4HF7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    219514 | PA      | $227015.98    | 0.06%             | 2037-03-01      | Variable      | 6.61%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31410GMA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    354097 | PA      | $363338.95    | 0.09%             | 2037-09-01      | Variable      | 6.97%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31410GDQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6219 | PA      | $6357.63      | 0.00%             | 2033-12-01      | Variable      | 6.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31403NPV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     39927 | PA      | $40646.76     | 0.01%             | 2033-12-01      | Variable      | 6.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31418MM90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     56390 | PA      | $58130.38     | 0.01%             | 2037-11-01      | Variable      | 6.57%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402QX48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1223 | PA      | $1243.21      | 0.00%             | 2035-01-01      | Variable      | 6.47%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, 30 Year                                                                    | CUSIP: 31418EXW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         0 | PA      | $0.01         | 0.00%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402HAL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20059 | PA      | $20596.40     | 0.01%             | 2033-09-01      | Variable      | 7.46%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402TLH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16801 | PA      | $16929.69     | 0.00%             | 2033-08-01      | Variable      | 6.86%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31404GTS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     89138 | PA      | $89678.46     | 0.02%             | 2033-11-01      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31410EPC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    200093 | PA      | $204393.16    | 0.05%             | 2036-06-01      | Variable      | 7.60%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31385HJT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2620 | PA      | $2621.77      | 0.00%             | 2036-07-01      | Variable      | 5.17%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31410F4H5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1640 | PA      | $1681.46      | 0.00%             | 2037-03-01      | Variable      | 6.77%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC                                                                            | CUSIP: 31300LF34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    882275 | PA      | $910730.26    | 0.23%             | 2035-12-01      | Variable      | 6.73%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31409EJW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    128798 | PA      | $132692.38    | 0.03%             | 2036-04-01      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31409VJ20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     52527 | PA      | $53961.88     | 0.01%             | 2036-07-01      | Variable      | 6.73%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31405PLQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11093 | PA      | $11218.18     | 0.00%             | 2034-10-01      | Variable      | 6.39%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31400XZG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3400 | PA      | $3442.05      | 0.00%             | 2033-04-01      | Variable      | 6.63%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31416CAQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5559 | PA      | $5633.72      | 0.00%             | 2037-10-01      | Variable      | 7.43%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402Q5R8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    107457 | PA      | $109054.98    | 0.03%             | 2035-01-01      | Variable      | 6.29%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC                                                                            | CUSIP: 3128S5ZW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3712172 | PA      | $3862182.29   | 0.98%             | 2037-09-01      | Variable      | 6.88%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31374GEW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1775 | PA      | $1780.98      | 0.00%             | 2027-04-01      | Variable      | 6.48%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31403DQ69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    105863 | PA      | $108811.48    | 0.03%             | 2036-07-01      | Variable      | 6.97%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 3138EMA43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    470352 | PA      | $488484.55    | 0.12%             | 2040-12-01      | Variable      | 6.76%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31407XWM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32295 | PA      | $33074.55     | 0.01%             | 2035-11-01      | Variable      | 6.41%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31416CL61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       735 | PA      | $760.52       | 0.00%             | 2036-09-01      | Variable      | 6.98%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31410AKW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     44611 | PA      | $45822.22     | 0.01%             | 2036-07-01      | Variable      | 6.68%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC                                                                            | CUSIP: 31288QLJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6652106 | PA      | $6918092.68   | 1.75%             | 2046-07-01      | Variable      | 6.76%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31391TZ50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13138 | PA      | $13350.16     | 0.00%             | 2032-12-01      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31403AL78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6904 | PA      | $7032.07      | 0.00%             | 2033-09-01      | Variable      | 7.14%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31374GRC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5367 | PA      | $5312.98      | 0.00%             | 2036-05-01      | Variable      | 4.42%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31405FTR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1339 | PA      | $1380.68      | 0.00%             | 2034-07-01      | Variable      | 7.42%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31400RT76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5801 | PA      | $5954.64      | 0.00%             | 2033-04-01      | Variable      | 6.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31385XSJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3594 | PA      | $3562.90      | 0.00%             | 2035-09-01      | Variable      | 4.69%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31403FGK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7201 | PA      | $7382.17      | 0.00%             | 2034-07-01      | Variable      | 7.28%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31404XE26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    275687 | PA      | $281940.54    | 0.07%             | 2034-08-01      | Variable      | 7.22%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402DNC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       114 | PA      | $115.96       | 0.00%             | 2033-05-01      | Variable      | 6.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31400AMD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23290 | PA      | $23889.53     | 0.01%             | 2033-01-01      | Variable      | 6.35%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC                                                                            | CUSIP: 3128NHK36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1564854 | PA      | $1605080.96   | 0.41%             | 2035-09-01      | Variable      | 7.07%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402RHT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14686 | PA      | $14735.45     | 0.00%             | 2042-08-01      | Variable      | 5.77%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402QZY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       633 | PA      | $645.82       | 0.00%             | 2038-05-01      | Variable      | 7.13%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31403DUU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6830 | PA      | $6983.51      | 0.00%             | 2036-10-01      | Variable      | 7.59%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31405NLX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1189 | PA      | $1205.70      | 0.00%             | 2034-09-01      | Variable      | 7.32%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31409GFF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30058 | PA      | $30996.89     | 0.01%             | 2036-04-01      | Variable      | 6.52%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402DMF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4973 | PA      | $5095.78      | 0.00%             | 2034-08-01      | Variable      | 7.14%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31412EJ72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3736 | PA      | $3803.14      | 0.00%             | 2037-02-01      | Variable      | 6.46%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC, Series 4915, Class FE                                                     | CUSIP: 3137FNJT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6945650 | PA      | $6862443.44   | 1.73%             | 2038-02-15      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31410DXD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18347 | PA      | $18886.75     | 0.00%             | 2036-08-01      | Variable      | 6.93%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31404XJX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8508 | PA      | $8719.64      | 0.00%             | 2034-12-01      | Variable      | 6.20%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31409UWM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     52066 | PA      | $53594.61     | 0.01%             | 2035-11-01      | Variable      | 6.26%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31404XH31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5776 | PA      | $5926.90      | 0.00%             | 2034-10-01      | Variable      | 6.59%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31419GJS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    160121 | PA      | $165032.46    | 0.04%             | 2040-09-01      | Variable      | 7.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31405JE75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2778 | PA      | $2833.68      | 0.00%             | 2034-09-01      | Variable      | 7.40%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA II                                                                          | CUSIP: 36225DBX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4707 | PA      | $4727.94      | 0.00%             | 2034-06-20      | Variable      | 4.88%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31409CD44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     69047 | PA      | $71110.59     | 0.02%             | 2036-02-01      | Variable      | 6.52%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31371MB89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     53784 | PA      | $55058.68     | 0.01%             | 2035-05-01      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 3138EGEH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1320172 | PA      | $1363187.97   | 0.34%             | 2039-01-01      | Variable      | 6.77%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31407CU88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    107697 | PA      | $110151.05    | 0.03%             | 2035-08-01      | Variable      | 7.41%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31409XQG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19279 | PA      | $19543.29     | 0.00%             | 2036-03-01      | Variable      | 6.34%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402Q5D9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15433 | PA      | $15638.72     | 0.00%             | 2034-07-01      | Variable      | 6.61%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31403VLC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4952 | PA      | $5012.09      | 0.00%             | 2034-01-01      | Variable      | 6.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, 30 Year                                                                    | CUSIP: 31418ET75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4307576 | PA      | $4379913.93   | 1.11%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31401Y3J2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     74313 | PA      | $75921.99     | 0.02%             | 2033-09-01      | Variable      | 7.39%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31409X5Q8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     41485 | PA      | $41508.41     | 0.01%             | 2036-06-01      | Variable      | 6.18%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31413ECE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14876 | PA      | $15166.98     | 0.00%             | 2037-08-01      | Variable      | 7.74%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402RH69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5830 | PA      | $5846.38      | 0.00%             | 2044-10-01      | Variable      | 5.77%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31390AHA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7386 | PA      | $7527.98      | 0.00%             | 2032-04-01      | Variable      | 6.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31409DVM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    244244 | PA      | $251023.30    | 0.06%             | 2036-04-01      | Variable      | 6.85%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31385HU59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3703 | PA      | $3657.62      | 0.00%             | 2036-05-01      | Variable      | 4.44%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC                                                                            | CUSIP: 31300LEF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    420550 | PA      | $429267.58    | 0.11%             | 2034-08-01      | Variable      | 7.24%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31403AQP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    108505 | PA      | $110662.70    | 0.03%             | 2033-10-01      | Variable      | 6.94%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31403NSL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22949 | PA      | $23363.42     | 0.01%             | 2033-11-01      | Variable      | 7.09%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31384VJ60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       298 | PA      | $299.70       | 0.00%             | 2028-07-01      | Variable      | 7.34%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402A5N2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     50592 | PA      | $51546.34     | 0.01%             | 2033-07-01      | Variable      | 7.55%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31405AET6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2639 | PA      | $2649.09      | 0.00%             | 2044-04-01      | Variable      | 5.77%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31411JKZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2271 | PA      | $2323.09      | 0.00%             | 2037-02-01      | Variable      | 6.63%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31413ADY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12321 | PA      | $12464.98     | 0.00%             | 2037-05-01      | Variable      | 6.27%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31410SCZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    475261 | PA      | $481308.92    | 0.12%             | 2036-05-01      | Variable      | 6.20%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402C6N7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4928 | PA      | $4962.93      | 0.00%             | 2034-04-01      | Variable      | 5.97%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31412XPK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       214 | PA      | $217.51       | 0.00%             | 2037-06-01      | Variable      | 7.67%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31403YHN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21196 | PA      | $21795.76     | 0.01%             | 2033-12-01      | Variable      | 6.53%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402DMC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2178 | PA      | $2203.45      | 0.00%             | 2034-09-01      | Variable      | 7.49%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31410SCY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    208775 | PA      | $212792.06    | 0.05%             | 2036-05-01      | Variable      | 6.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31385XJS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6387 | PA      | $6554.56      | 0.00%             | 2040-01-01      | Variable      | 6.91%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402KR48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2949 | PA      | $3016.49      | 0.00%             | 2033-09-01      | Variable      | 7.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31406NSE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     57459 | PA      | $58045.78     | 0.01%             | 2035-05-01      | Variable      | 6.26%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31389VAQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19078 | PA      | $19431.28     | 0.00%             | 2032-04-01      | Variable      | 6.54%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31416B5V6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13829 | PA      | $14347.07     | 0.00%             | 2038-07-01      | Variable      | 7.26%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31404XFS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7287 | PA      | $7429.10      | 0.00%             | 2034-09-01      | Variable      | 7.06%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31406VZ33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    123293 | PA      | $125389.11    | 0.03%             | 2035-06-01      | Variable      | 7.29%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31406LMT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24040 | PA      | $24460.46     | 0.01%             | 2035-01-01      | Variable      | 6.54%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31391LSJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    160108 | PA      | $161373.51    | 0.04%             | 2033-03-01      | Variable      | 5.92%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31401BX83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5306 | PA      | $5381.58      | 0.00%             | 2033-01-01      | Variable      | 6.95%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31407MSF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2046 | PA      | $2105.89      | 0.00%             | 2035-07-01      | Variable      | 6.35%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31407CAP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    770564 | PA      | $787555.51    | 0.20%             | 2035-07-01      | Variable      | 7.13%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31412CBL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14940 | PA      | $15513.17     | 0.00%             | 2036-03-01      | Variable      | 7.32%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31416CAG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4736 | PA      | $4912.47      | 0.00%             | 2037-03-01      | Variable      | 7.04%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31411E2N6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     62843 | PA      | $64513.05     | 0.02%             | 2037-01-01      | Variable      | 6.64%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31401G4N1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16394 | PA      | $16499.93     | 0.00%             | 2033-07-01      | Variable      | 6.52%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC                                                                            | CUSIP: 3128JRV37<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    141679 | PA      | $145555.52    | 0.04%             | 2037-12-01      | Variable      | 7.14%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402CQG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       852 | PA      | $859.05       | 0.00%             | 2039-09-01      | Variable      | 6.43%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31409WCG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29064 | PA      | $30223.14     | 0.01%             | 2036-02-01      | Variable      | 6.65%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31404XEC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5238 | PA      | $5335.47      | 0.00%             | 2034-09-01      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 3138EPR63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    396592 | PA      | $405704.07    | 0.10%             | 2040-04-01      | Variable      | 6.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 3138EHVA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31533 | PA      | $32482.61     | 0.01%             | 2037-07-01      | Variable      | 6.85%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31416BWK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32746 | PA      | $33159.58     | 0.01%             | 2038-09-01      | Variable      | 7.18%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31409ACY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     73742 | PA      | $76439.82     | 0.02%             | 2035-09-01      | Variable      | 8.04%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31410B6S8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7519 | PA      | $7674.20      | 0.00%             | 2036-10-01      | Variable      | 7.15%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31406BV64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    102893 | PA      | $104315.11    | 0.03%             | 2035-01-01      | Variable      | 6.37%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31385WZW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1809 | PA      | $1828.26      | 0.00%             | 2032-12-01      | Variable      | 6.68%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31407AAJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    147997 | PA      | $150441.77    | 0.04%             | 2035-06-01      | Variable      | 7.39%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31405RM94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14826 | PA      | $15051.37     | 0.00%             | 2034-08-01      | Variable      | 7.36%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31385XSY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6729 | PA      | $6754.84      | 0.00%             | 2033-09-01      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31406LZ68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       402 | PA      | $414.20       | 0.00%             | 2034-12-01      | Variable      | 6.68%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31391USA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7845 | PA      | $7979.16      | 0.00%             | 2033-01-01      | Variable      | 6.51%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31407WS87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     59813 | PA      | $60625.90     | 0.02%             | 2035-08-01      | Variable      | 7.04%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31400SJK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7752 | PA      | $7922.00      | 0.00%             | 2033-04-01      | Variable      | 6.52%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31410KVD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        84 | PA      | $83.68        | 0.00%             | 2028-02-01      | Variable      | 5.65%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31412G2Z3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11005 | PA      | $11017.84     | 0.00%             | 2034-07-01      | Variable      | 5.05%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31411JMS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6960 | PA      | $7176.49      | 0.00%             | 2037-02-01      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31406L5A2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31713 | PA      | $32541.09     | 0.01%             | 2036-05-01      | Variable      | 6.82%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402XWG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     58867 | PA      | $59393.39     | 0.02%             | 2033-10-01      | Variable      | 6.78%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402RMG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8522 | PA      | $8744.63      | 0.00%             | 2035-08-01      | Variable      | 6.99%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31416BK49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1439262 | PA      | $1484957.19   | 0.38%             | 2036-02-01      | Variable      | 6.60%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31410GDS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2273 | PA      | $2344.01      | 0.00%             | 2034-02-01      | Variable      | 6.54%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31367JC24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24036 | PA      | $24164.88     | 0.01%             | 2032-06-01      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31389CYT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17578 | PA      | $17651.11     | 0.00%             | 2032-01-01      | Variable      | 6.17%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31401MUQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13649 | PA      | $13944.40     | 0.00%             | 2033-04-01      | Variable      | 6.20%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31390NJT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2098 | PA      | $2099.43      | 0.00%             | 2032-06-01      | Variable      | 5.70%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31374TYQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6947 | PA      | $6998.02      | 0.00%             | 2029-08-01      | Variable      | 7.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31408EQ21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    478695 | PA      | $485197.99    | 0.12%             | 2036-01-01      | Variable      | 6.20%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31404RUM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3920 | PA      | $4023.08      | 0.00%             | 2034-03-01      | Variable      | 6.24%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31391FPC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        50 | PA      | $50.35        | 0.00%             | 2029-08-01      | Variable      | 7.04%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31385WZZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     59943 | PA      | $60191.12     | 0.02%             | 2032-09-01      | Variable      | 5.98%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31400YA22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26159 | PA      | $26454.54     | 0.01%             | 2033-04-01      | Variable      | 6.54%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31406DAE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35883 | PA      | $36265.65     | 0.01%             | 2044-10-01      | Variable      | 5.77%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC, Series 4730, Class WF                                                     | CUSIP: 3137FBCF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2948319 | PA      | $2910756.41   | 0.74%             | 2038-08-15      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31409U6T7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5485 | PA      | $5599.05      | 0.00%             | 2036-02-01      | Variable      | 6.59%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31403DKQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     97668 | PA      | $100912.09    | 0.03%             | 2035-05-01      | Variable      | 6.76%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31405DLX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30746 | PA      | $31332.18     | 0.01%             | 2034-07-01      | Variable      | 7.48%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31405TZV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     39745 | PA      | $40104.00     | 0.01%             | 2034-08-01      | Variable      | 6.30%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC                                                                            | CUSIP: 3128QSU95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    145047 | PA      | $146792.54    | 0.04%             | 2036-06-01      | Variable      | 7.23%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31407XPG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6008 | PA      | $6152.34      | 0.00%             | 2035-11-01      | Variable      | 6.52%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31371MFY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     57863 | PA      | $59535.95     | 0.02%             | 2035-08-01      | Variable      | 7.52%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA II                                                                          | CUSIP: 36225D3S1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     73176 | PA      | $73773.99     | 0.02%             | 2036-05-20      | Variable      | 4.88%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31404NAD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3374 | PA      | $3455.61      | 0.00%             | 2034-11-01      | Variable      | 6.21%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC                                                                            | CUSIP: 3128S5LE2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    420064 | PA      | $433276.73    | 0.11%             | 2036-11-01      | Variable      | 6.80%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31410MHB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    140181 | PA      | $144650.93    | 0.04%             | 2036-04-01      | Variable      | 6.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31388K2K7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30228 | PA      | $30701.25     | 0.01%             | 2031-09-01      | Variable      | 5.39%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31411VHW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       869 | PA      | $889.53       | 0.00%             | 2037-02-01      | Variable      | 6.85%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31411VVR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24847 | PA      | $25437.20     | 0.01%             | 2037-03-01      | Variable      | 6.32%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC                                                                            | CUSIP: 31300MAA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     98322 | PA      | $101975.32    | 0.03%             | 2036-06-01      | Variable      | 6.76%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31404JVP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     69777 | PA      | $70957.41     | 0.02%             | 2034-04-01      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31413NJ63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12498 | PA      | $12438.19     | 0.00%             | 2037-08-01      | Variable      | 5.73%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31406UUX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     81242 | PA      | $82430.31     | 0.02%             | 2035-03-01      | Variable      | 6.14%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31385H5Y4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27511 | PA      | $28192.93     | 0.01%             | 2032-01-01      | Variable      | 6.63%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31407GCT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    161789 | PA      | $166607.94    | 0.04%             | 2035-02-01      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC, Series 413, Class F23                                                     | CUSIP: 3133Q3LF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1726326 | PA      | $1722588.80   | 0.44%             | 2054-05-25      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31404PHL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       854 | PA      | $873.41       | 0.00%             | 2034-03-01      | Variable      | 6.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402REK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1434 | PA      | $1479.83      | 0.00%             | 2035-05-01      | Variable      | 7.03%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31376JNW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3635 | PA      | $3717.28      | 0.00%             | 2036-10-01      | Variable      | 7.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31385YEG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7929 | PA      | $7950.20      | 0.00%             | 2027-08-01      | Variable      | 7.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31403C3Z2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     48618 | PA      | $49714.88     | 0.01%             | 2035-11-01      | Variable      | 6.93%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31405AP64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2176 | PA      | $2245.59      | 0.00%             | 2034-06-01      | Variable      | 7.32%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31404Q5M7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    173750 | PA      | $175905.09    | 0.04%             | 2044-03-01      | Variable      | 5.77%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31405NLW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       689 | PA      | $702.30       | 0.00%             | 2034-09-01      | Variable      | 7.13%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31407WSS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6737 | PA      | $6931.71      | 0.00%             | 2035-09-01      | Variable      | 6.24%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC                                                                            | CUSIP: 3128S54S0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    291978 | PA      | $297907.29    | 0.08%             | 2038-10-01      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31414NBM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18407 | PA      | $18955.92     | 0.00%             | 2038-11-01      | Variable      | 6.83%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31405H3L0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       223 | PA      | $225.64       | 0.00%             | 2034-08-01      | Variable      | 7.03%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31404DZ68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18206 | PA      | $18522.99     | 0.00%             | 2033-10-01      | Variable      | 7.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31410EFD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4907 | PA      | $5024.98      | 0.00%             | 2036-08-01      | Variable      | 7.64%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31390WQX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     48390 | PA      | $49489.17     | 0.01%             | 2033-09-01      | Variable      | 7.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31409JKQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23922 | PA      | $24370.21     | 0.01%             | 2036-05-01      | Variable      | 7.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31410FX34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4961 | PA      | $5097.50      | 0.00%             | 2036-03-01      | Variable      | 7.29%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC                                                                            | CUSIP: 3128NHPT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     53291 | PA      | $54594.38     | 0.01%             | 2036-09-01      | Variable      | 7.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31405RC61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    100803 | PA      | $103328.35    | 0.03%             | 2034-09-01      | Variable      | 7.29%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402REL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6175 | PA      | $6376.53      | 0.00%             | 2035-04-01      | Variable      | 6.60%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31407MSW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31929 | PA      | $32523.84     | 0.01%             | 2035-07-01      | Variable      | 6.34%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31412CFA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7694 | PA      | $7785.71      | 0.00%             | 2037-01-01      | Variable      | 6.17%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31407XUW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34327 | PA      | $35117.60     | 0.01%             | 2035-11-01      | Variable      | 6.41%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31407MSE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3041 | PA      | $3060.40      | 0.00%             | 2035-07-01      | Variable      | 6.37%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31416B5R5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     41092 | PA      | $42209.88     | 0.01%             | 2039-02-01      | Variable      | 7.05%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31403DNX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15528 | PA      | $15855.06     | 0.00%             | 2038-05-01      | Variable      | 7.06%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31406WGK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       948 | PA      | $953.46       | 0.00%             | 2035-07-01      | Variable      | 6.36%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31411HM56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5040 | PA      | $5203.82      | 0.00%             | 2037-01-01      | Variable      | 6.51%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402RQK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17554 | PA      | $17929.31     | 0.00%             | 2036-07-01      | Variable      | 6.87%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31390UMX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1650 | PA      | $1699.05      | 0.00%             | 2033-06-01      | Variable      | 7.41%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31403DC49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    111913 | PA      | $114121.16    | 0.03%             | 2036-02-01      | Variable      | 6.61%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC                                                                            | CUSIP: 3128JR6K7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    128087 | PA      | $132704.80    | 0.03%             | 2037-06-01      | Variable      | 7.14%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31403Q5H9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       901 | PA      | $911.25       | 0.00%             | 2033-10-01      | Variable      | 6.15%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31416BWG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2733 | PA      | $2817.25      | 0.00%             | 2036-09-01      | Variable      | 6.85%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31414URK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    168855 | PA      | $170088.77    | 0.04%             | 2035-01-01      | Variable      | 6.29%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31410VQJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     62171 | PA      | $62591.68     | 0.02%             | 2034-08-01      | Variable      | 6.10%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31403AU60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     86492 | PA      | $88114.02     | 0.02%             | 2033-10-01      | Variable      | 7.01%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31405X5P4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5864 | PA      | $6023.27      | 0.00%             | 2034-12-01      | Variable      | 6.32%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31401GYR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7003 | PA      | $7099.55      | 0.00%             | 2033-04-01      | Variable      | 6.35%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31389TR46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1097 | PA      | $1114.19      | 0.00%             | 2032-06-01      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31406L3G1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1466 | PA      | $1508.04      | 0.00%             | 2036-01-01      | Variable      | 6.42%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31390WTK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4658 | PA      | $4685.34      | 0.00%             | 2033-10-01      | Variable      | 6.04%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31378FEF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1179 | PA      | $1180.59      | 0.00%             | 2027-06-01      | Variable      | 7.33%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31405LNA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34783 | PA      | $35833.98     | 0.01%             | 2034-07-01      | Variable      | 7.10%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31417VFL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     89686 | PA      | $91261.59     | 0.02%             | 2035-07-01      | Variable      | 7.32%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31404UQ60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2202 | PA      | $2238.06      | 0.00%             | 2034-06-01      | Variable      | 7.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31405WHV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3037 | PA      | $3131.89      | 0.00%             | 2034-10-01      | Variable      | 7.44%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31385XP43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       124 | PA      | $125.07       | 0.00%             | 2030-08-01      | Variable      | 7.36%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31413QJ33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4143 | PA      | $4252.22      | 0.00%             | 2037-11-01      | Variable      | 6.70%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31384VBF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15218 | PA      | $15248.87     | 0.00%             | 2027-05-01      | Variable      | 7.09%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31406V5L6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     87707 | PA      | $88755.78     | 0.02%             | 2035-06-01      | Variable      | 7.04%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31409XXB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29121 | PA      | $29711.39     | 0.01%             | 2036-04-01      | Variable      | 6.61%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31389AZN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8616 | PA      | $8540.97      | 0.00%             | 2036-11-01      | Variable      | 4.19%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31407KRF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     50852 | PA      | $51539.69     | 0.01%             | 2035-09-01      | Variable      | 6.89%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31405YXX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19014 | PA      | $19343.03     | 0.00%             | 2034-10-01      | Variable      | 6.59%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31406DBS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2295 | PA      | $2373.70      | 0.00%             | 2035-01-01      | Variable      | 6.56%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 3138EGSW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    729139 | PA      | $751086.01    | 0.19%             | 2035-09-01      | Variable      | 6.82%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31410L6G2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5139 | PA      | $5277.15      | 0.00%             | 2036-08-01      | Variable      | 7.59%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31403ATU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5153 | PA      | $5269.67      | 0.00%             | 2033-10-01      | Variable      | 6.69%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402M4D9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42811 | PA      | $43610.21     | 0.01%             | 2033-08-01      | Variable      | 7.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31370Q6L8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     96974 | PA      | $96052.23     | 0.02%             | 2033-03-01      | Variable      | 4.26%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31388G7J4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20558 | PA      | $20879.24     | 0.01%             | 2032-09-01      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31400AM96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     49735 | PA      | $50302.91     | 0.01%             | 2033-01-01      | Variable      | 6.37%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402G6P3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9644 | PA      | $9881.04      | 0.00%             | 2033-07-01      | Variable      | 7.34%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC                                                                            | CUSIP: 3128QPQ21<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    574066 | PA      | $597783.50    | 0.15%             | 2037-01-01      | Variable      | 7.73%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31410F7K5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    413329 | PA      | $427423.65    | 0.11%             | 2036-09-01      | Variable      | 7.16%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC, Multi-family Structured Pass-Through Certificates, Series KF160, Class AS | CUSIP: 3137HBBP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3360084 | PA      | $3365449.45   | 0.85%             | 2030-10-25      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402JXS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1804 | PA      | $1837.46      | 0.00%             | 2033-08-01      | Variable      | 7.53%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31381JN24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8402 | PA      | $8357.33      | 0.00%             | 2036-04-01      | Variable      | 6.37%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31378C4V1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2315 | PA      | $2292.53      | 0.00%             | 2027-07-01      | Variable      | 4.29%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31418MM82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    404890 | PA      | $416993.18    | 0.11%             | 2037-01-01      | Variable      | 6.66%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31406KA26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       535 | PA      | $550.66       | 0.00%             | 2035-04-01      | Variable      | 7.03%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402RKC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4686 | PA      | $4783.56      | 0.00%             | 2032-04-01      | Variable      | 6.46%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31403CFP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     57374 | PA      | $58600.38     | 0.01%             | 2033-09-01      | Variable      | 7.27%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31408DXE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9743 | PA      | $9838.43      | 0.00%             | 2035-12-01      | Variable      | 5.96%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31388RPD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     80585 | PA      | $81531.12     | 0.02%             | 2033-07-01      | Variable      | 7.45%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31386QD99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    182356 | PA      | $183073.64    | 0.05%             | 2041-01-01      | Variable      | 5.97%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31409XUP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     44652 | PA      | $45785.33     | 0.01%             | 2036-04-01      | Variable      | 6.65%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC                                                                            | CUSIP: 3128S5L51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1648663 | PA      | $1707121.85   | 0.43%             | 2037-06-01      | Variable      | 7.18%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31410SC47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30730 | PA      | $31472.61     | 0.01%             | 2036-05-01      | Variable      | 6.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31403DFN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    317257 | PA      | $326748.48    | 0.08%             | 2036-04-01      | Variable      | 6.56%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31407LJN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    244519 | PA      | $250021.03    | 0.06%             | 2035-07-01      | Variable      | 7.61%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC                                                                            | CUSIP: 3128S5F66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    217876 | PA      | $222220.52    | 0.06%             | 2037-05-01      | Variable      | 6.56%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31391S6L9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4798 | PA      | $4826.91      | 0.00%             | 2032-11-01      | Variable      | 6.24%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31410KBX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     45617 | PA      | $46105.25     | 0.01%             | 2038-03-01      | Variable      | 6.29%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402C2S0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23055 | PA      | $23433.73     | 0.01%             | 2034-04-01      | Variable      | 6.48%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31418MNV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    964234 | PA      | $998733.38    | 0.25%             | 2036-01-01      | Variable      | 6.63%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31403DVP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14601 | PA      | $15043.90     | 0.00%             | 2035-07-01      | Variable      | 7.03%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31419ACM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    425029 | PA      | $436389.38    | 0.11%             | 2036-01-01      | Variable      | 6.44%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31406DAF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    109746 | PA      | $111126.03    | 0.03%             | 2044-10-01      | Variable      | 5.77%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31411EYM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       625 | PA      | $640.36       | 0.00%             | 2037-01-01      | Variable      | 6.48%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31385XFF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5807 | PA      | $5904.93      | 0.00%             | 2033-04-01      | Variable      | 6.48%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31407BWF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25230 | PA      | $25572.27     | 0.01%             | 2035-07-01      | Variable      | 7.43%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31407P4K1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    235975 | PA      | $237170.89    | 0.06%             | 2035-07-01      | Variable      | 6.04%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402CW32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    142312 | PA      | $144348.03    | 0.04%             | 2034-02-01      | Variable      | 5.95%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31391QWB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5970 | PA      | $6074.78      | 0.00%             | 2032-11-01      | Variable      | 6.64%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31419AB48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6595 | PA      | $6819.70      | 0.00%             | 2036-07-01      | Variable      | 6.86%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31406VL95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        37 | PA      | $37.80        | 0.00%             | 2035-05-01      | Variable      | 7.36%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31408GAQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    144793 | PA      | $148294.34    | 0.04%             | 2036-01-01      | Variable      | 6.74%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31403K4F7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    134059 | PA      | $137989.10    | 0.03%             | 2034-04-01      | Variable      | 6.46%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31412ECK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    261086 | PA      | $270544.27    | 0.07%             | 2036-04-01      | Variable      | 6.91%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31409UBQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37753 | PA      | $38651.28     | 0.01%             | 2036-03-01      | Variable      | 6.74%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31418WMU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    186858 | PA      | $193173.68    | 0.05%             | 2040-08-01      | Variable      | 7.54%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31405AEW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14427 | PA      | $14494.33     | 0.00%             | 2044-04-01      | Variable      | 5.77%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31381JRV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    128375 | PA      | $129968.08    | 0.03%             | 2035-10-01      | Variable      | 6.92%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31406G4D8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31296 | PA      | $31886.63     | 0.01%             | 2035-03-01      | Variable      | 6.57%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31405XXV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15668 | PA      | $15742.59     | 0.00%             | 2035-01-01      | Variable      | 6.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31412CFN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12063 | PA      | $12148.73     | 0.00%             | 2037-01-01      | Variable      | 6.15%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC                                                                            | CUSIP: 3128S5QV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    347346 | PA      | $356937.15    | 0.09%             | 2037-09-01      | Variable      | 7.01%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31403DFV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       300 | PA      | $306.91       | 0.00%             | 2036-04-01      | Variable      | 6.91%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31389AY80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6303 | PA      | $6166.93      | 0.00%             | 2033-05-01      | Variable      | 4.32%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31410D4P2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6395 | PA      | $6512.06      | 0.00%             | 2036-08-01      | Variable      | 7.31%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31406J3L5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       858 | PA      | $875.78       | 0.00%             | 2035-02-01      | Variable      | 6.68%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31405PC40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19364 | PA      | $19491.93     | 0.00%             | 2034-10-01      | Variable      | 6.73%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC                                                                            | CUSIP: 31288QQM5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4642474 | PA      | $4822929.48   | 1.22%             | 2046-11-01      | Variable      | 6.83%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31404GZJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13369 | PA      | $13579.41     | 0.00%             | 2034-02-01      | Variable      | 6.27%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402TL45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     68383 | PA      | $69571.25     | 0.02%             | 2033-09-01      | Variable      | 7.28%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31405UTZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2634 | PA      | $2662.84      | 0.00%             | 2034-11-01      | Variable      | 6.35%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31407CEJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13684 | PA      | $13884.62     | 0.00%             | 2035-07-01      | Variable      | 7.44%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC                                                                            | CUSIP: 31288QGQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1560207 | PA      | $1621559.72   | 0.41%             | 2044-01-01      | Variable      | 7.07%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402G7A5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       668 | PA      | $683.83       | 0.00%             | 2033-08-01      | Variable      | 7.34%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31408FPH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10885 | PA      | $10973.23     | 0.00%             | 2035-09-01      | Variable      | 6.59%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31419AFJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    184270 | PA      | $189569.91    | 0.05%             | 2037-09-01      | Variable      | 6.82%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31403VWN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27863 | PA      | $28554.96     | 0.01%             | 2034-01-01      | Variable      | 6.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31406C6Q6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     51943 | PA      | $51387.28     | 0.01%             | 2034-12-01      | Variable      | 4.20%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402YQW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    181727 | PA      | $186483.84    | 0.05%             | 2033-10-01      | Variable      | 7.28%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31411RTJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2911 | PA      | $3009.78      | 0.00%             | 2037-03-01      | Variable      | 6.35%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31401GY24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     56178 | PA      | $57491.46     | 0.01%             | 2033-04-01      | Variable      | 6.19%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC                                                                            | CUSIP: 3128S5FP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    245257 | PA      | $250479.87    | 0.06%             | 2037-11-01      | Variable      | 6.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31410WFG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3120 | PA      | $3191.14      | 0.00%             | 2037-07-01      | Variable      | 7.37%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31406AVG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11486 | PA      | $11599.90     | 0.00%             | 2034-12-01      | Variable      | 5.97%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31401BYD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12167 | PA      | $12379.01     | 0.00%             | 2033-03-01      | Variable      | 6.70%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31400AP77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3777 | PA      | $3859.37      | 0.00%             | 2033-03-01      | Variable      | 6.37%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31406VC95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       453 | PA      | $461.27       | 0.00%             | 2035-05-01      | Variable      | 6.74%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31409GSP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       236 | PA      | $240.72       | 0.00%             | 2037-01-01      | Variable      | 6.53%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC                                                                            | CUSIP: 31300LUP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    528196 | PA      | $547457.81    | 0.14%             | 2037-03-01      | Variable      | 6.96%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 3138EJDL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    753767 | PA      | $778656.33    | 0.20%             | 2039-09-01      | Variable      | 6.96%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31410GJV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       521 | PA      | $524.97       | 0.00%             | 2033-09-01      | Variable      | 6.71%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31403DFT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    133579 | PA      | $135901.28    | 0.03%             | 2035-08-01      | Variable      | 6.69%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31404CAE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22473 | PA      | $23117.70     | 0.01%             | 2034-04-01      | Variable      | 6.52%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402DEL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2277 | PA      | $2328.69      | 0.00%             | 2033-09-01      | Variable      | 7.28%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31418MBE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    555901 | PA      | $551357.26    | 0.14%             | 2037-08-01      | Variable      | 4.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31408DVM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    250033 | PA      | $254557.32    | 0.06%             | 2035-12-01      | Variable      | 6.47%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31410KSL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27863 | PA      | $28751.54     | 0.01%             | 2035-12-01      | Variable      | 6.84%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31406XXS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     52122 | PA      | $53627.53     | 0.01%             | 2035-05-01      | Variable      | 7.21%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31401DL25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       675 | PA      | $678.09       | 0.00%             | 2033-05-01      | Variable      | 5.94%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31411S6V3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    121014 | PA      | $123553.25    | 0.03%             | 2037-03-01      | Variable      | 6.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31405QCV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6428 | PA      | $6574.44      | 0.00%             | 2034-10-01      | Variable      | 7.22%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31410KFR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11255 | PA      | $11486.69     | 0.00%             | 2038-05-01      | Variable      | 6.73%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31385JLV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4539 | PA      | $4627.24      | 0.00%             | 2032-06-01      | Variable      | 7.36%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31403NRB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10357 | PA      | $10561.61     | 0.00%             | 2033-11-01      | Variable      | 6.24%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31405TJL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6254 | PA      | $6289.90      | 0.00%             | 2034-10-01      | Variable      | 6.04%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31379LCA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       897 | PA      | $895.11       | 0.00%             | 2026-01-01      | Variable      | 5.87%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC                                                                            | CUSIP: 31300MZH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    313131 | PA      | $320728.48    | 0.08%             | 2040-05-01      | Variable      | 7.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402LLN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     38614 | PA      | $39484.36     | 0.01%             | 2033-08-01      | Variable      | 7.28%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC, Series 4107, Class KF                                                     | CUSIP: 3137AUFV6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1471428 | PA      | $1454219.80   | 0.37%             | 2038-06-15      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31408EQC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    100271 | PA      | $102666.22    | 0.03%             | 2036-01-01      | Variable      | 6.46%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31410KWJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    307167 | PA      | $314022.99    | 0.08%             | 2035-09-01      | Variable      | 7.36%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31413H5A2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3543 | PA      | $3649.30      | 0.00%             | 2037-09-01      | Variable      | 7.49%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402RHF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     46954 | PA      | $47434.75     | 0.01%             | 2033-07-01      | Variable      | 6.85%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31408B4W5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3872 | PA      | $3904.56      | 0.00%             | 2036-01-01      | Variable      | 6.31%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31374VCG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       438 | PA      | $437.51       | 0.00%             | 2025-09-01      | Variable      | 7.72%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31403DVU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10442 | PA      | $10845.67     | 0.00%             | 2036-09-01      | Variable      | 6.87%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31401HVK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15724 | PA      | $15916.85     | 0.00%             | 2033-06-01      | Variable      | 7.26%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31373KHS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9702 | PA      | $9623.28      | 0.00%             | 2032-10-01      | Variable      | 4.61%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 3138ESAN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2191445 | PA      | $2264727.65   | 0.57%             | 2040-04-01      | Variable      | 7.01%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31405DUD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       375 | PA      | $378.92       | 0.00%             | 2034-07-01      | Variable      | 7.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31410S6D4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1570 | PA      | $1608.05      | 0.00%             | 2036-05-01      | Variable      | 6.92%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31404XRB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     65046 | PA      | $66724.24     | 0.02%             | 2034-11-01      | Variable      | 6.56%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31401KMH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19772 | PA      | $20278.52     | 0.01%             | 2033-07-01      | Variable      | 7.34%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC, Series 4989, Class FA                                                     | CUSIP: 3137FUKP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4325588 | PA      | $4259731.44   | 1.08%             | 2040-08-15      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31403AX83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17956 | PA      | $18203.60     | 0.00%             | 2033-10-01      | Variable      | 7.27%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402QTK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       984 | PA      | $990.77       | 0.00%             | 2034-11-01      | Variable      | 6.04%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC                                                                            | CUSIP: 31300M4K6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    501686 | PA      | $517284.37    | 0.13%             | 2035-09-01      | Variable      | 6.70%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31385JN87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27635 | PA      | $27909.37     | 0.01%             | 2032-09-01      | Variable      | 7.13%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31401YYL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30065 | PA      | $30852.39     | 0.01%             | 2033-08-01      | Variable      | 7.33%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31404V6Z6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11062 | PA      | $11394.84     | 0.00%             | 2034-06-01      | Variable      | 7.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 3138EGL93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    183962 | PA      | $188807.78    | 0.05%             | 2036-02-01      | Variable      | 7.28%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31385XCP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        92 | PA      | $91.00        | 0.00%             | 2036-05-01      | Variable      | 4.49%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31418MKA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11810 | PA      | $12141.44     | 0.00%             | 2034-06-01      | Variable      | 6.57%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31406F6R7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22268 | PA      | $22464.44     | 0.01%             | 2035-01-01      | Variable      | 6.22%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31413NKA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23798 | PA      | $23776.33     | 0.01%             | 2037-08-01      | Variable      | 6.67%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31419AJH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    188194 | PA      | $192150.73    | 0.05%             | 2035-09-01      | Variable      | 7.29%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC                                                                            | CUSIP: 3128S4KY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    154943 | PA      | $159532.14    | 0.04%             | 2037-09-01      | Variable      | 7.77%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31400YDJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     67497 | PA      | $69686.40     | 0.02%             | 2033-06-01      | Variable      | 7.49%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31384KZR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1453 | PA      | $1466.88      | 0.00%             | 2029-08-01      | Variable      | 7.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31405YPF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    329949 | PA      | $331241.15    | 0.08%             | 2034-11-01      | Variable      | 5.43%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31385XUH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2234 | PA      | $2280.68      | 0.00%             | 2038-03-01      | Variable      | 7.22%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31414CNW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6923 | PA      | $7045.23      | 0.00%             | 2036-01-01      | Variable      | 6.84%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31404WAN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23296 | PA      | $23995.46     | 0.01%             | 2034-06-01      | Variable      | 7.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31400WEN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2696 | PA      | $2774.98      | 0.00%             | 2033-03-01      | Variable      | 6.63%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31413JFD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1080 | PA      | $1107.66      | 0.00%             | 2037-09-01      | Variable      | 7.48%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31404DX60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20614 | PA      | $21042.47     | 0.01%             | 2034-02-01      | Variable      | 6.65%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 313617NN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       296 | PA      | $293.14       | 0.00%             | 2027-07-01      | Variable      | 4.34%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31411AJ97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    145458 | PA      | $149567.84    | 0.04%             | 2036-11-01      | Variable      | 6.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31410FWR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1444273 | PA      | $1495669.39   | 0.38%             | 2034-11-01      | Variable      | 7.09%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31416CLA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    444093 | PA      | $458193.48    | 0.12%             | 2036-05-01      | Variable      | 6.56%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31415MU78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     98291 | PA      | $101431.78    | 0.03%             | 2038-01-01      | Variable      | 6.72%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31411SM94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29891 | PA      | $30404.62     | 0.01%             | 2037-02-01      | Variable      | 6.23%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC                                                                            | CUSIP: 3128LUFH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    282055 | PA      | $289488.40    | 0.07%             | 2036-11-01      | Variable      | 6.92%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31403VTK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3552 | PA      | $3598.25      | 0.00%             | 2034-01-01      | Variable      | 6.17%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31386M2Y5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3351 | PA      | $3379.37      | 0.00%             | 2030-08-01      | Variable      | 6.37%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31389HEY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5415 | PA      | $5531.90      | 0.00%             | 2032-03-01      | Variable      | 6.45%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402MNH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       659 | PA      | $672.60       | 0.00%             | 2033-09-01      | Variable      | 7.34%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31385Y2E4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28141 | PA      | $28420.02     | 0.01%             | 2040-06-01      | Variable      | 5.97%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31405YX22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13814 | PA      | $13950.95     | 0.00%             | 2034-10-01      | Variable      | 6.33%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31404XJP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16428 | PA      | $16761.72     | 0.00%             | 2034-11-01      | Variable      | 6.37%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31408C2U9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32039 | PA      | $32574.19     | 0.01%             | 2035-10-01      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                              | FHLMC Pool, 30 Year                                                              | CUSIP: 3132DWNJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1928086 | PA      | $1925300.99   | 0.49%             | 2054-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 3138EM2J9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    966002 | PA      | $1000877.61   | 0.25%             | 2038-01-01      | Variable      | 6.59%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31409XXJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     56540 | PA      | $57307.29     | 0.01%             | 2036-05-01      | Variable      | 7.48%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31411YPE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       476 | PA      | $489.38       | 0.00%             | 2037-05-01      | Variable      | 7.45%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31391SJH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       769 | PA      | $785.48       | 0.00%             | 2033-02-01      | Variable      | 6.54%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31401MHB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3356 | PA      | $3454.69      | 0.00%             | 2033-06-01      | Variable      | 7.41%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31410UXJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    191852 | PA      | $199441.54    | 0.05%             | 2036-09-01      | Variable      | 7.20%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31385WXE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20815 | PA      | $21362.63     | 0.01%             | 2033-01-01      | Variable      | 6.36%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31406WNY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    344874 | PA      | $352482.80    | 0.09%             | 2035-03-01      | Variable      | 6.59%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31404GPG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    284206 | PA      | $287983.82    | 0.07%             | 2034-05-01      | Variable      | 6.08%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31379LCG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7907 | PA      | $7958.10      | 0.00%             | 2027-12-01      | Variable      | 6.64%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31405U6G9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     64249 | PA      | $64865.53     | 0.02%             | 2034-12-01      | Variable      | 6.01%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31410GDM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1866 | PA      | $1900.24      | 0.00%             | 2034-03-01      | Variable      | 6.55%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC                                                                            | CUSIP: 3128JR3X2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    506149 | PA      | $515675.31    | 0.13%             | 2035-11-01      | Variable      | 7.12%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC                                                                            | CUSIP: 31300MZK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    799666 | PA      | $832101.52    | 0.21%             | 2041-10-01      | Variable      | 6.98%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31404ULF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    132613 | PA      | $134093.33    | 0.03%             | 2034-05-01      | Variable      | 7.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402DHN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27422 | PA      | $27781.95     | 0.01%             | 2034-08-01      | Variable      | 6.23%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31409WCB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2012 | PA      | $2035.33      | 0.00%             | 2036-02-01      | Variable      | 6.07%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                              | FHLMC Pool, 30 Year                                                              | CUSIP: 3132DWNL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1887291 | PA      | $1915646.52   | 0.48%             | 2054-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31405DLY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       677 | PA      | $684.05       | 0.00%             | 2034-07-01      | Variable      | 7.54%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC, Series 4895, Class GF                                                     | CUSIP: 3137FMQG0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4980615 | PA      | $4915314.69   | 1.24%             | 2043-11-15      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402RN39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2590 | PA      | $2622.80      | 0.00%             | 2035-08-01      | Variable      | 6.54%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402RH77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32420 | PA      | $32740.95     | 0.01%             | 2044-10-01      | Variable      | 5.77%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31410GDF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13333 | PA      | $13482.22     | 0.00%             | 2033-06-01      | Variable      | 6.08%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31413EE43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    175344 | PA      | $179412.63    | 0.05%             | 2037-09-01      | Variable      | 7.31%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402RHZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       870 | PA      | $888.88       | 0.00%             | 2034-02-01      | Variable      | 6.74%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402DQR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       822 | PA      | $846.27       | 0.00%             | 2034-10-01      | Variable      | 6.98%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402C5X6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33880 | PA      | $34190.71     | 0.01%             | 2034-01-01      | Variable      | 5.39%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31416CGZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    965234 | PA      | $1000144.95   | 0.25%             | 2037-01-01      | Variable      | 7.41%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31409WCD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     51155 | PA      | $52505.81     | 0.01%             | 2036-01-01      | Variable      | 6.36%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31408GXK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     66330 | PA      | $68218.34     | 0.02%             | 2035-11-01      | Variable      | 6.59%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Series 2024-105, Class FC                                                  | CUSIP: 3136BUBH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2859362 | PA      | $2858546.43   | 0.72%             | 2055-01-25      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31410FVN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3308 | PA      | $3376.48      | 0.00%             | 2036-12-01      | Variable      | 6.32%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31360QU74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        13 | PA      | $12.85        | 0.00%             | 2025-08-01      | Variable      | 4.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402JXU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21783 | PA      | $22210.58     | 0.01%             | 2033-08-01      | Variable      | 7.53%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31385W6E4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       225 | PA      | $228.18       | 0.00%             | 2036-08-01      | Variable      | 6.73%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31414SKF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    108655 | PA      | $110590.25    | 0.03%             | 2038-05-01      | Variable      | 5.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31405X5R0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21701 | PA      | $22212.00     | 0.01%             | 2034-11-01      | Variable      | 6.24%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31413NJ30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     92180 | PA      | $93871.56     | 0.02%             | 2037-08-01      | Variable      | 5.82%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31406PCX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       684 | PA      | $703.68       | 0.00%             | 2035-03-01      | Variable      | 6.46%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31405RXD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5299 | PA      | $5393.86      | 0.00%             | 2034-10-01      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 3138YBWH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     64148 | PA      | $66131.71     | 0.02%             | 2045-04-01      | Variable      | 6.60%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31401G4Z4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20754 | PA      | $21129.81     | 0.01%             | 2033-04-01      | Variable      | 6.24%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Series 2019-59, Class BF                                                   | CUSIP: 3136B6LC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5198396 | PA      | $5144928.17   | 1.30%             | 2049-10-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31414UQL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     51636 | PA      | $52031.72     | 0.01%             | 2034-07-01      | Variable      | 6.16%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402DHL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     95635 | PA      | $97570.24     | 0.02%             | 2034-07-01      | Variable      | 6.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31409DYY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     54202 | PA      | $56175.24     | 0.01%             | 2036-03-01      | Variable      | 7.70%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31404NLA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13178 | PA      | $13491.80     | 0.00%             | 2034-09-01      | Variable      | 7.06%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31403DX46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     41045 | PA      | $41406.95     | 0.01%             | 2036-07-01      | Variable      | 6.06%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31391XH93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22872 | PA      | $23035.97     | 0.01%             | 2032-10-01      | Variable      | 6.09%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31401CAQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17791 | PA      | $17962.78     | 0.00%             | 2033-05-01      | Variable      | 6.20%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31405XWJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    619656 | PA      | $639692.65    | 0.16%             | 2034-10-01      | Variable      | 7.21%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31409VSA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25395 | PA      | $25698.75     | 0.01%             | 2033-10-01      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31403UYH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5010 | PA      | $5089.59      | 0.00%             | 2033-11-01      | Variable      | 6.18%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31406H3D7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34924 | PA      | $35865.93     | 0.01%             | 2035-01-01      | Variable      | 6.22%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31405FTT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30702 | PA      | $31655.08     | 0.01%             | 2034-08-01      | Variable      | 7.42%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31407HD37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    116848 | PA      | $119407.17    | 0.03%             | 2035-07-01      | Variable      | 7.51%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31410FZT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9641 | PA      | $9778.03      | 0.00%             | 2036-11-01      | Variable      | 7.32%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31403JP42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     40997 | PA      | $42040.83     | 0.01%             | 2033-10-01      | Variable      | 6.80%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31408GJF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4382 | PA      | $4498.34      | 0.00%             | 2035-12-01      | Variable      | 6.54%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 3138EHZ70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37250 | PA      | $37588.64     | 0.01%             | 2037-08-01      | Variable      | 6.32%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31409DT60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     94767 | PA      | $97448.47     | 0.02%             | 2036-03-01      | Variable      | 6.83%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 3138EQJX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    223971 | PA      | $232333.29    | 0.06%             | 2040-12-01      | Variable      | 7.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31412HRW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25509 | PA      | $25450.71     | 0.01%             | 2037-12-01      | Variable      | 5.49%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31408EGX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31044 | PA      | $31624.62     | 0.01%             | 2036-01-01      | Variable      | 6.52%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31403C7L9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4274 | PA      | $4320.53      | 0.00%             | 2035-10-01      | Variable      | 6.17%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 3140JBML7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8526654 | PA      | $8835163.95   | 2.23%             | 2047-04-01      | Variable      | 7.03%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31386G7J6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5819 | PA      | $5811.49      | 0.00%             | 2040-11-01      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31407VNZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    325164 | PA      | $333679.03    | 0.08%             | 2035-09-01      | Variable      | 7.41%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31400RDY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5806 | PA      | $5884.43      | 0.00%             | 2033-02-01      | Variable      | 6.32%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31403DHP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       549 | PA      | $569.59       | 0.00%             | 2036-04-01      | Variable      | 6.73%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402VNU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6124 | PA      | $6235.24      | 0.00%             | 2033-09-01      | Variable      | 7.13%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31388XVV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    272508 | PA      | $270075.45    | 0.07%             | 2033-08-01      | Variable      | 4.20%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC                                                                            | CUSIP: 31300LLX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    202123 | PA      | $207461.97    | 0.05%             | 2037-08-01      | Variable      | 6.66%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31404NBN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2541 | PA      | $2603.75      | 0.00%             | 2035-02-01      | Variable      | 6.24%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31403YV59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3303 | PA      | $3376.84      | 0.00%             | 2034-04-01      | Variable      | 6.72%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31406TTE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11044 | PA      | $11231.82     | 0.00%             | 2035-03-01      | Variable      | 6.51%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31390PQW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6568 | PA      | $6741.97      | 0.00%             | 2032-12-01      | Variable      | 6.33%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA II                                                                          | CUSIP: 36225DN75<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     20729 | PA      | $20687.61     | 0.01%             | 2035-04-20      | Variable      | 4.88%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31391UJV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8165 | PA      | $8297.16      | 0.00%             | 2033-01-01      | Variable      | 6.56%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31409JKP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    161089 | PA      | $165562.62    | 0.04%             | 2036-06-01      | Variable      | 7.34%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31406AZ62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12283 | PA      | $12463.80     | 0.00%             | 2035-01-01      | Variable      | 6.19%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC                                                                            | CUSIP: 3128QSAC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    948708 | PA      | $980877.78    | 0.25%             | 2036-01-01      | Variable      | 6.45%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31411JLF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5358 | PA      | $5465.79      | 0.00%             | 2037-02-01      | Variable      | 6.55%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31391RYS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16032 | PA      | $16111.45     | 0.00%             | 2031-02-01      | Variable      | 6.27%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31407GB80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    193778 | PA      | $196514.74    | 0.05%             | 2035-07-01      | Variable      | 7.22%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA II                                                                          | CUSIP: 36225DAS3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10850 | PA      | $11006.65     | 0.00%             | 2034-05-20      | Variable      | 4.88%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31385XP84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1610 | PA      | $1617.47      | 0.00%             | 2033-09-01      | Variable      | 5.11%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31410QAR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42151 | PA      | $43275.99     | 0.01%             | 2036-09-01      | Variable      | 6.70%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31415CML8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     90141 | PA      | $92911.75     | 0.02%             | 2048-05-01      | Variable      | 7.24%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31419AFS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     99530 | PA      | $101458.40    | 0.03%             | 2036-11-01      | Variable      | 6.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31407E6Z1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       465 | PA      | $478.56       | 0.00%             | 2035-09-01      | Variable      | 7.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402DKQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4223 | PA      | $4312.57      | 0.00%             | 2034-08-01      | Variable      | 7.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31410KCR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2155 | PA      | $2200.15      | 0.00%             | 2038-04-01      | Variable      | 6.81%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC                                                                            | CUSIP: 3128S44P9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    468633 | PA      | $477870.90    | 0.12%             | 2035-12-01      | Variable      | 6.95%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31411JZ58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     44252 | PA      | $45678.86     | 0.01%             | 2037-02-01      | Variable      | 6.71%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402NYZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13669 | PA      | $13883.55     | 0.00%             | 2033-06-01      | Variable      | 6.43%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31406AV82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    108407 | PA      | $109368.12    | 0.03%             | 2034-12-01      | Variable      | 6.16%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31403DR76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6033 | PA      | $6149.84      | 0.00%             | 2034-08-01      | Variable      | 7.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31413JB45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6587 | PA      | $6687.53      | 0.00%             | 2037-09-01      | Variable      | 7.17%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31404DTQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       993 | PA      | $1014.24      | 0.00%             | 2034-01-01      | Variable      | 6.68%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402QWH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11177 | PA      | $11361.26     | 0.00%             | 2034-07-01      | Variable      | 7.32%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31410GDT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1359 | PA      | $1384.38      | 0.00%             | 2035-03-01      | Variable      | 6.55%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 3138EJN20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    121383 | PA      | $124182.87    | 0.03%             | 2034-11-01      | Variable      | 6.11%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31406TTD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    161080 | PA      | $164353.53    | 0.04%             | 2035-03-01      | Variable      | 6.60%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31405DJE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    100119 | PA      | $102424.07    | 0.03%             | 2034-06-01      | Variable      | 7.63%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA II, Single-family, 30 Year                                                  | CUSIP: 3618N5C72<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2969258 | PA      | $3005627.97   | 0.76%             | 2054-12-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Series 2019-38, Class AF                                                   | CUSIP: 3136B5DN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3383452 | PA      | $3346423.25   | 0.85%             | 2049-07-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402QZ46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    101320 | PA      | $104871.04    | 0.03%             | 2035-01-01      | Variable      | 6.41%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31391UD69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    140023 | PA      | $141729.32    | 0.04%             | 2033-01-01      | Variable      | 6.47%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31407XZM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     41807 | PA      | $42791.27     | 0.01%             | 2035-11-01      | Variable      | 6.49%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31405N7F6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2083 | PA      | $2106.40      | 0.00%             | 2034-10-01      | Variable      | 7.02%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402RN54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    219934 | PA      | $223575.73    | 0.06%             | 2035-06-01      | Variable      | 7.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31403GCV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2515 | PA      | $2574.68      | 0.00%             | 2033-09-01      | Variable      | 7.21%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31407JWL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11064 | PA      | $11203.31     | 0.00%             | 2035-08-01      | Variable      | 7.20%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31406GY52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35878 | PA      | $36581.23     | 0.01%             | 2035-03-01      | Variable      | 6.56%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC                                                                            | CUSIP: 31300LFK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    143601 | PA      | $146399.72    | 0.04%             | 2038-03-01      | Variable      | 6.98%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31409WCJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    351311 | PA      | $363828.66    | 0.09%             | 2036-02-01      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 3138EHDZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    345776 | PA      | $354494.66    | 0.09%             | 2035-04-01      | Variable      | 6.61%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31386C3W0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     49688 | PA      | $49799.07     | 0.01%             | 2040-09-01      | Variable      | 5.97%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31405PRS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22889 | PA      | $23128.83     | 0.01%             | 2044-07-01      | Variable      | 5.77%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31403AU86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4714 | PA      | $4777.86      | 0.00%             | 2033-10-01      | Variable      | 6.98%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402ENR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19694 | PA      | $20367.13     | 0.01%             | 2033-08-01      | Variable      | 7.39%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31385XSL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4121 | PA      | $4192.93      | 0.00%             | 2036-07-01      | Variable      | 6.98%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402RN88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7819 | PA      | $7889.96      | 0.00%             | 2034-03-01      | Variable      | 6.21%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31403N6X0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    104951 | PA      | $107033.01    | 0.03%             | 2033-12-01      | Variable      | 6.18%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31406C6X1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27174 | PA      | $26890.50     | 0.01%             | 2033-08-01      | Variable      | 4.21%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402HBG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     80043 | PA      | $82790.36     | 0.02%             | 2033-12-01      | Variable      | 6.69%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31401CP31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3951 | PA      | $3995.76      | 0.00%             | 2033-05-01      | Variable      | 7.36%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC                                                                            | CUSIP: 3128S5FR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    304145 | PA      | $311167.84    | 0.08%             | 2037-12-01      | Variable      | 6.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31384ACD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1262 | PA      | $1260.96      | 0.00%             | 2029-06-01      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31406NME1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34886 | PA      | $35629.04     | 0.01%             | 2035-04-01      | Variable      | 6.59%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31411UN64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4954 | PA      | $5011.69      | 0.00%             | 2037-04-01      | Variable      | 6.59%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31403GWE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10470 | PA      | $10661.44     | 0.00%             | 2033-09-01      | Variable      | 6.20%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31391JKL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6713 | PA      | $6895.51      | 0.00%             | 2032-12-01      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31406M3E4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15534 | PA      | $15737.45     | 0.00%             | 2035-04-01      | Variable      | 6.43%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31401PEJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13988 | PA      | $14119.91     | 0.00%             | 2033-04-01      | Variable      | 6.17%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31403GCU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6568 | PA      | $6714.44      | 0.00%             | 2033-08-01      | Variable      | 7.33%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31418MQ96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     64970 | PA      | $66320.97     | 0.02%             | 2039-11-01      | Variable      | 6.59%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31406HG50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4469 | PA      | $4644.36      | 0.00%             | 2034-04-01      | Variable      | 6.86%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31405WHS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21805 | PA      | $22397.24     | 0.01%             | 2034-09-01      | Variable      | 6.21%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402DB25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5029 | PA      | $5187.48      | 0.00%             | 2034-06-01      | Variable      | 6.70%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 3140J5FX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    222573 | PA      | $230018.66    | 0.06%             | 2037-01-01      | Variable      | 7.08%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31391BC39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5515 | PA      | $5590.62      | 0.00%             | 2032-09-01      | Variable      | 6.51%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, 15 Year                                                                    | CUSIP: 31418D2R2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         0 | PA      | $0.02         | 0.00%             | 2036-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31413MFB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    207820 | PA      | $210674.30    | 0.05%             | 2037-06-01      | Variable      | 5.14%                 | No            |                  2 | On Loan: No      |
| Institutional Fiduciary Trust - Money Market Portfolio  | Institutional Fiduciary Trust - Money Market Portfolio                           | CUSIP: 457756500<br>LEI: 549300M4TP89K77LG374 | Long             | STIV             | RF                | US        |  13434222 | NS      | $13434222.07  | 3.40%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31404NEM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9977 | PA      | $10186.00     | 0.00%             | 2035-06-01      | Variable      | 7.26%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31401PFA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     54729 | PA      | $54784.85     | 0.01%             | 2033-04-01      | Variable      | 5.85%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402QST9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18814 | PA      | $19231.54     | 0.00%             | 2033-08-01      | Variable      | 7.23%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31403VWF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30812 | PA      | $31410.76     | 0.01%             | 2034-01-01      | Variable      | 6.65%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31413GLM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3475 | PA      | $3594.20      | 0.00%             | 2037-08-01      | Variable      | 8.15%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 3138EQ5S7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    546962 | PA      | $564862.56    | 0.14%             | 2042-07-01      | Variable      | 6.97%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31410GD83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       156 | PA      | $161.49       | 0.00%             | 2034-04-01      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31391SSV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       374 | PA      | $382.70       | 0.00%             | 2032-12-01      | Variable      | 6.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31410UK68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2252 | PA      | $2277.20      | 0.00%             | 2036-08-01      | Variable      | 6.36%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31419AFH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    333036 | PA      | $333826.21    | 0.08%             | 2037-10-01      | Variable      | 6.78%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31385WTF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31312 | PA      | $31574.92     | 0.01%             | 2036-11-01      | Variable      | 7.19%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402VZX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19652 | PA      | $19969.72     | 0.01%             | 2033-08-01      | Variable      | 6.31%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31400ANT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1453 | PA      | $1473.19      | 0.00%             | 2033-02-01      | Variable      | 6.21%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31390WRA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9808 | PA      | $9838.57      | 0.00%             | 2033-09-01      | Variable      | 6.13%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31407XR78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    602889 | PA      | $619285.31    | 0.16%             | 2035-11-01      | Variable      | 6.55%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 3138ENA82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    224279 | PA      | $227679.47    | 0.06%             | 2042-01-01      | Variable      | 6.95%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31405YU25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26110 | PA      | $26359.34     | 0.01%             | 2034-10-01      | Variable      | 6.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31400QTZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17249 | PA      | $17528.35     | 0.00%             | 2033-03-01      | Variable      | 6.47%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31391XEH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     92207 | PA      | $94315.39     | 0.02%             | 2032-08-01      | Variable      | 7.23%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31403VYY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    110581 | PA      | $113093.56    | 0.03%             | 2034-02-01      | Variable      | 6.54%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31389AZ55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1791 | PA      | $1787.97      | 0.00%             | 2038-01-01      | Variable      | 5.72%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31407MEP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6274 | PA      | $6411.18      | 0.00%             | 2035-08-01      | Variable      | 7.72%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31404B2P6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4175 | PA      | $4207.26      | 0.00%             | 2034-01-01      | Variable      | 6.21%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31418NAF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10034 | PA      | $10308.59     | 0.00%             | 2040-04-01      | Variable      | 6.70%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31389AZX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6345 | PA      | $6323.14      | 0.00%             | 2038-06-01      | Variable      | 5.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31404UDP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     81629 | PA      | $84291.50     | 0.02%             | 2034-04-01      | Variable      | 6.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31400H5W9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     61507 | PA      | $62999.60     | 0.02%             | 2033-03-01      | Variable      | 6.31%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31410GK44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5401 | PA      | $5526.63      | 0.00%             | 2035-10-01      | Variable      | 7.20%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 3138EK6B6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    611907 | PA      | $630017.26    | 0.16%             | 2038-09-01      | Variable      | 6.91%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31404RUN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12589 | PA      | $12807.17     | 0.00%             | 2034-03-01      | Variable      | 6.24%                 | No            |                  2 | On Loan: No      |
| United States of America                                | U.S. Treasury Notes                                                              | CUSIP: 91282CMH1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  20000000 | PA      | $20157421.80  | 5.10%             | 2027-01-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31379LCK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       910 | PA      | $906.75       | 0.00%             | 2027-12-01      | Variable      | 5.34%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 3140JA4Y1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2150009 | PA      | $2228649.98   | 0.56%             | 2042-07-01      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31410PMX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2562 | PA      | $2644.09      | 0.00%             | 2036-08-01      | Variable      | 7.66%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402DLJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33054 | PA      | $33321.06     | 0.01%             | 2034-06-01      | Variable      | 6.87%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31405RND4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2717 | PA      | $2768.19      | 0.00%             | 2034-08-01      | Variable      | 6.37%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31409UWR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     40556 | PA      | $41782.71     | 0.01%             | 2036-01-01      | Variable      | 6.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402BSQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1828 | PA      | $1881.48      | 0.00%             | 2033-07-01      | Variable      | 7.41%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31403DFB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    140595 | PA      | $143586.74    | 0.04%             | 2035-05-01      | Variable      | 6.92%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31405UY60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     90389 | PA      | $91379.34     | 0.02%             | 2034-12-01      | Variable      | 6.04%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31406MEP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3568 | PA      | $3658.66      | 0.00%             | 2035-01-01      | Variable      | 6.26%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31401KSS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     56459 | PA      | $57849.32     | 0.01%             | 2033-05-01      | Variable      | 7.29%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31406QGB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6700 | PA      | $6853.56      | 0.00%             | 2035-02-01      | Variable      | 6.29%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31405PP38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2922 | PA      | $2948.22      | 0.00%             | 2034-07-01      | Variable      | 6.42%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31400ARR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11282 | PA      | $11616.47     | 0.00%             | 2033-04-01      | Variable      | 6.37%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31406WEF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13642 | PA      | $13927.66     | 0.00%             | 2035-06-01      | Variable      | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31407CCP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3316 | PA      | $3396.14      | 0.00%             | 2035-07-01      | Variable      | 7.72%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC                                                                            | CUSIP: 3128S5XQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    541376 | PA      | $563081.33    | 0.14%             | 2037-06-01      | Variable      | 6.95%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31418UHN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     61511 | PA      | $63187.66     | 0.02%             | 2040-05-01      | Variable      | 7.56%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31410GQL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     41826 | PA      | $43211.70     | 0.01%             | 2036-10-01      | Variable      | 7.09%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA II                                                                          | CUSIP: 36225DLD4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12550 | PA      | $12753.76     | 0.00%             | 2035-01-20      | Variable      | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402DSD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     62034 | PA      | $62420.17     | 0.02%             | 2033-07-01      | Variable      | 6.69%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31361ML80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       265 | PA      | $262.45       | 0.00%             | 2026-09-01      | Variable      | 4.20%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 3140JBVK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3509597 | PA      | $3634226.93   | 0.92%             | 2047-05-01      | Variable      | 6.84%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31385XK48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37004 | PA      | $37651.21     | 0.01%             | 2033-07-01      | Variable      | 6.43%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31386G6N8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9235 | PA      | $9276.51      | 0.00%             | 2040-11-01      | Variable      | 5.97%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 3138EGV68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     63082 | PA      | $64896.87     | 0.02%             | 2036-01-01      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31418MVF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    416291 | PA      | $424031.09    | 0.11%             | 2037-08-01      | Variable      | 7.01%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31400QZ48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2395 | PA      | $2430.07      | 0.00%             | 2033-04-01      | Variable      | 6.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31406GR84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    439759 | PA      | $444302.38    | 0.11%             | 2035-02-01      | Variable      | 6.29%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31410GDL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     55952 | PA      | $58061.64     | 0.01%             | 2035-02-01      | Variable      | 6.43%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31405AR70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15637 | PA      | $16153.94     | 0.00%             | 2035-06-01      | Variable      | 6.46%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31406XTD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    194886 | PA      | $198837.67    | 0.05%             | 2035-06-01      | Variable      | 8.31%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31385HN32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       827 | PA      | $817.06       | 0.00%             | 2036-05-01      | Variable      | 4.60%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402MPQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2449 | PA      | $2497.52      | 0.00%             | 2034-04-01      | Variable      | 6.46%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31409JSM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30961 | PA      | $31201.72     | 0.01%             | 2036-05-01      | Variable      | 6.09%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC                                                                            | CUSIP: 31300LKW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    403559 | PA      | $416475.31    | 0.11%             | 2036-07-01      | Variable      | 6.77%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31401L4L4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1578 | PA      | $1612.16      | 0.00%             | 2033-05-01      | Variable      | 6.76%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31387UEK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        32 | PA      | $31.90        | 0.00%             | 2030-12-01      | Variable      | 8.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31414UP36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     91140 | PA      | $93642.88     | 0.02%             | 2037-05-01      | Variable      | 6.28%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 3140JBKS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  14738282 | PA      | $15321139.82  | 3.87%             | 2044-04-01      | Variable      | 6.99%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC                                                                            | CUSIP: 3128JRGX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1568972 | PA      | $1622662.92   | 0.41%             | 2035-07-01      | Variable      | 7.22%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 3140JBHN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2102342 | PA      | $2186336.86   | 0.55%             | 2045-09-01      | Variable      | 6.98%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | U.S. Treasury 2 Year Notes                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       555 | NC      | $989451.45    | 0.25%             |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC                                                   | FHLMC                                                                            | CUSIP: 3128NHML4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     94260 | PA      | $95410.33     | 0.02%             | 2036-01-01      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31419AFT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    720883 | PA      | $742922.63    | 0.19%             | 2037-08-01      | Variable      | 6.61%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31410FZG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3214 | PA      | $3261.04      | 0.00%             | 2036-07-01      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31404H4G1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4043 | PA      | $4127.55      | 0.00%             | 2034-02-01      | Variable      | 6.63%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31410G6F5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    203739 | PA      | $207726.42    | 0.05%             | 2036-09-01      | Variable      | 6.93%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31409DSH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1092 | PA      | $1132.10      | 0.00%             | 2036-03-01      | Variable      | 6.71%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31407GCY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       833 | PA      | $861.20       | 0.00%             | 2035-05-01      | Variable      | 6.97%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31371MAV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6029 | PA      | $6130.17      | 0.00%             | 2035-03-01      | Variable      | 6.63%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31407QG59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15695 | PA      | $16141.62     | 0.00%             | 2035-09-01      | Variable      | 7.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31410FWV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4762 | PA      | $4868.08      | 0.00%             | 2037-02-01      | Variable      | 6.58%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC                                                                            | CUSIP: 31288QLK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3549671 | PA      | $3703948.61   | 0.94%             | 2046-11-01      | Variable      | 6.97%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, 30 Year                                                                    | CUSIP: 31418EQ94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11798649 | PA      | $11801083.89  | 2.98%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31390S3K5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2447 | PA      | $2454.43      | 0.00%             | 2032-05-01      | Variable      | 6.10%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402RMJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     98529 | PA      | $99865.65     | 0.03%             | 2035-07-01      | Variable      | 6.44%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31416BK56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     74479 | PA      | $77393.26     | 0.02%             | 2035-07-01      | Variable      | 6.79%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31390K5E4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     72411 | PA      | $73024.68     | 0.02%             | 2032-11-01      | Variable      | 6.37%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31406PCY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1579 | PA      | $1611.02      | 0.00%             | 2035-04-01      | Variable      | 6.46%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31403DXK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4261 | PA      | $4342.43      | 0.00%             | 2035-12-01      | Variable      | 6.68%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC, Series 4197, Class KF                                                     | CUSIP: 3137B1TL6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1405427 | PA      | $1354108.67   | 0.34%             | 2037-09-15      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC                                                                            | CUSIP: 31288QF62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4336696 | PA      | $4491524.18   | 1.14%             | 2047-06-01      | Variable      | 6.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31406GNF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37355 | PA      | $38081.02     | 0.01%             | 2035-02-01      | Variable      | 6.71%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31406DBZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5434 | PA      | $5607.95      | 0.00%             | 2035-02-01      | Variable      | 6.44%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31409XQY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8163 | PA      | $8256.16      | 0.00%             | 2036-03-01      | Variable      | 6.49%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31375HEE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1108 | PA      | $1108.67      | 0.00%             | 2026-02-01      | Variable      | 6.85%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31406WHP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3588 | PA      | $3636.75      | 0.00%             | 2035-06-01      | Variable      | 6.73%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402JBV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5498 | PA      | $5449.98      | 0.00%             | 2033-08-01      | Variable      | 5.32%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31389PVL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     93704 | PA      | $94263.09     | 0.02%             | 2032-03-01      | Variable      | 6.04%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402CQF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       527 | PA      | $531.31       | 0.00%             | 2039-09-01      | Variable      | 6.42%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31408EKN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    141064 | PA      | $144235.82    | 0.04%             | 2036-01-01      | Variable      | 6.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31405JQP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       377 | PA      | $381.73       | 0.00%             | 2034-09-01      | Variable      | 7.17%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31400KQZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5562 | PA      | $5604.74      | 0.00%             | 2033-05-01      | Variable      | 5.92%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31385WUW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3743 | PA      | $3781.37      | 0.00%             | 2032-12-01      | Variable      | 6.04%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31410SC96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5741 | PA      | $5840.96      | 0.00%             | 2036-05-01      | Variable      | 6.26%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31391FFF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5832 | PA      | $5824.90      | 0.00%             | 2027-08-01      | Variable      | 5.89%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31404QF61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3531 | PA      | $3594.97      | 0.00%             | 2034-05-01      | Variable      | 6.28%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC                                                                            | CUSIP: 31300LB87<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    107787 | PA      | $110574.50    | 0.03%             | 2036-02-01      | Variable      | 6.74%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC                                                                            | CUSIP: 31300MAW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    168388 | PA      | $173325.77    | 0.04%             | 2037-03-01      | Variable      | 7.13%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31389AZ22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2284 | PA      | $2254.28      | 0.00%             | 2027-11-01      | Variable      | 5.72%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31403QQG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1289 | PA      | $1326.37      | 0.00%             | 2034-01-01      | Variable      | 6.55%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31406WQP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2015 | PA      | $2050.52      | 0.00%             | 2035-03-01      | Variable      | 6.18%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 3140FCAM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    790197 | PA      | $819758.05    | 0.21%             | 2046-03-01      | Variable      | 6.67%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31404KRM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18219 | PA      | $18499.21     | 0.00%             | 2034-04-01      | Variable      | 6.51%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31406WRX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1297 | PA      | $1341.62      | 0.00%             | 2035-05-01      | Variable      | 6.79%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31402A5X0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34258 | PA      | $35008.52     | 0.01%             | 2033-07-01      | Variable      | 6.64%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31407CEQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16221 | PA      | $16485.77     | 0.00%             | 2035-07-01      | Variable      | 7.42%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31391MCM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17266 | PA      | $17435.51     | 0.00%             | 2033-11-01      | Variable      | 4.93%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31404EAC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18878 | PA      | $19248.41     | 0.00%             | 2034-02-01      | Variable      | 6.67%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31400AMS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21924 | PA      | $22221.37     | 0.01%             | 2033-01-01      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, Series 2021-44, Class FA                                                   | CUSIP: 3136BHC80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4111183 | PA      | $4012263.85   | 1.01%             | 2045-06-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31403DMV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    227549 | PA      | $229833.03    | 0.06%             | 2036-04-01      | Variable      | 6.22%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31405JFC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    160875 | PA      | $162991.00    | 0.04%             | 2034-09-01      | Variable      | 7.17%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31409XZU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4628 | PA      | $4710.25      | 0.00%             | 2036-01-01      | Variable      | 6.33%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31406VYX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25432 | PA      | $25611.21     | 0.01%             | 2035-06-01      | Variable      | 6.92%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31400ANG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8302 | PA      | $8453.97      | 0.00%             | 2033-01-01      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31418MMV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    191524 | PA      | $195055.12    | 0.05%             | 2036-12-01      | Variable      | 6.92%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31410FWH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    387209 | PA      | $399614.88    | 0.10%             | 2037-02-01      | Variable      | 6.48%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31390RZZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       720 | PA      | $735.85       | 0.00%             | 2032-11-01      | Variable      | 6.77%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31403EDZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1147 | PA      | $1191.56      | 0.00%             | 2033-10-01      | Variable      | 7.24%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31406H3G0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3614 | PA      | $3671.59      | 0.00%             | 2034-12-01      | Variable      | 6.19%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31391T4G0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3090 | PA      | $3152.17      | 0.00%             | 2032-11-01      | Variable      | 6.30%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC                                                                            | CUSIP: 3128JRFC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    704136 | PA      | $728012.17    | 0.18%             | 2034-12-01      | Variable      | 6.70%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31385WYA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32270 | PA      | $32475.48     | 0.01%             | 2039-09-01      | Variable      | 6.77%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31405AEY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    100555 | PA      | $101530.93    | 0.03%             | 2044-04-01      | Variable      | 5.77%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31410QZE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     44814 | PA      | $46081.18     | 0.01%             | 2034-11-01      | Variable      | 8.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31405X2Q5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    226724 | PA      | $230798.00    | 0.06%             | 2034-10-01      | Variable      | 6.74%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31407KKY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    148987 | PA      | $152374.42    | 0.04%             | 2035-09-01      | Variable      | 7.39%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA                                                                             | CUSIP: 31407WSR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9088 | PA      | $9352.44      | 0.00%             | 2035-09-01      | Variable      | 6.21%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-05-30

**Name of Applicant:** Franklin Investors Securities Trust

**Signature:** Monica Krogh

**Name of Signer:** Monica Krogh

**Title:** Assistant Treasurer