# EDGAR Filing Document

**Accession Number:** 0000933691
**File Stem:** 0001193125-26-070989
**Filing Date:** 2026-2
**Character Count:** 128197
**Document Hash:** f5e6ce06f521dc3adf0fd997abdc7c27
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001193125-26-070989.hdr.sgml**: 20260225

**ACCESSION NUMBER**: 0001193125-26-070989

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20251231

**FILED AS OF DATE**: 20260225

**DATE AS OF CHANGE**: 20260225

**PERIOD START**: 20251231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** JNL SERIES TRUST
- **CENTRAL INDEX KEY:** 0000933691

**ORGANIZATION NAME:**
- **EIN:** 381659835
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-08894
- **FILM NUMBER:** 26677550

**BUSINESS ADDRESS:**
- **STREET 1:** 1 CORPORATE WAY
- **CITY:** LANSING
- **STATE:** MI
- **ZIP:** 48951
- **BUSINESS PHONE:** (517) 367-4336

**MAIL ADDRESS:**
- **STREET 1:** 1 CORPORATE WAY
- **CITY:** LANSING
- **STATE:** MI
- **ZIP:** 48951

## Series and Classes Contracts Data

### JNL/JPMORGAN US GOVERNMENT & QUALITY BOND FUND (Series ID: S000001742)

| Class ID   | Class Name                                           | Ticker Symbol   |
|:---|:---|:---|
| C000004649 | JNL/JPMORGAN US GOVERNMENT & QUALITY BOND FUND (A)   |  |
| C000067980 | JNL/JPMORGAN U.S. GOVERNMENT & QUALITY BOND FUND (I) |  |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** JNL Series Trust

- **b. Investment Company Act file number:** 811-8894

- **c. CIK number of Registrant:** 0000933691

- **d. LEI of Registrant:** 549300T5WIPN6IWM0D45

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

  - **Street Address 1:** 1 Corporate Way

  - **City:** Lansing

  - **State:** MI

  - **Foreign country:** US

  - **Zip / Postal Code:** 48951

  - **Telephone number:** 517-367-4336

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

- **a. Name of Series:** JNL/JPMorgan U.S. Government & Quality Bond Fund

- **b. EDGAR series identifier (if any):** S000001742

- **c. LEI of Series:** XC6IKZZ2G4MM0GFFQ252

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

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

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $1258170182.87

**Total Liabilities:** $22124562.59

**Net Assets:** $1236045620.28

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -535.415602693248 | **1-Year:** -11557.090719987946 | **5-Year:** -73090.691962638679 | **10-Year:** -139255.425098540821 | **30-Year:** -167155.568881936823

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

- **3-Month:** 0.000000000000 | **1-Year:** -271.535483056393 | **5-Year:** -1833.497975491843 | **10-Year:** -2352.485811545387 | **30-Year:** -2339.671168564286

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000004649 | 0.72%                | 0.64%                | -0.28%               |
| Class ID C000067980 | 0.74%                | 0.67%                | -0.26%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-2142824.53             | $7437014.19                                |
| Month 2  | $-14962708.64            | $20658638.76                               |
| Month 3  | $630099.72               | $-7610177.21                               |

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Jackson National Asset Management, LLC                  | JNL Government Money Market Fund - Class SL             | CUSIP: 46628D395<br>LEI: N/A                  | Long             | STIV             | RF                | US        |   3371250 | NS      | $3371250.00   | 0.27%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                  | FUTURE - PHYSICALLY DELIVERED                           | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |       -42 | NC      | $604.96       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                  | FUTURE - PHYSICALLY DELIVERED                           | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |         1 | NC      | $-92.16       | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                  | FUTURE - PHYSICALLY DELIVERED                           | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |       -28 | NC      | $1274.14      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Federal National Mortgage Association, Inc.             | Federal National Mortgage Association, Inc.             | CUSIP: 31407HXM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      1544 | PA      | $1596.97      | 0.00%             | 2036-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.             | Federal National Mortgage Association, Inc.             | CUSIP: 3140LQQG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   8910975 | PA      | $8003817.40   | 0.65%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.             | Federal National Mortgage Association, Inc.             | CUSIP: 3140XJTT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  11680623 | PA      | $10491508.49  | 0.85%             | 2052-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.             | Federal National Mortgage Association, Inc.             | CUSIP: 31418MUN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1758281 | PA      | $1792775.85   | 0.15%             | 2039-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                | CUSIP: 36241KFD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     26784 | PA      | $27920.86     | 0.00%             | 2035-07-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Private Bank, National Association       | Morgan Stanley Private Bank, National Association       | CUSIP: 61776NZW6<br>LEI: 549300GS0W0TEUQS8571 | Long             | DBT              | CORP              | US        |   2955000 | PA      | $2959754.00   | 0.24%             | 2031-11-19      | Fixed         | 4.46%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                | CUSIP: 38380V3Y5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |   3931709 | PA      | $3377069.65   | 0.27%             | 2048-03-20      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| AT&T Inc.                                               | AT&T Inc.                                               | CUSIP: 00206RMX7<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   3100000 | PA      | $3145790.41   | 0.25%             | 2030-08-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Columbia Pipelines Operating Company LLC                | Columbia Pipelines Operating Company LLC                | CUSIP: 19828TAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2000000 | PA      | $2117549.60   | 0.17%             | 2030-08-15      | Fixed         | 5.93%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.             | Federal National Mortgage Association, Inc.             | CUSIP: 31409ANT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      5551 | PA      | $5884.01      | 0.00%             | 2036-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.             | Federal National Mortgage Association, Inc.             | CUSIP: 31410CR46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      1946 | PA      | $2043.06      | 0.00%             | 2036-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                | CUSIP: 3617K3HK8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    788811 | PA      | $676720.88    | 0.05%             | 2050-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| AIB Group Public Limited Company                        | AIB Group Public Limited Company                        | CUSIP: 00135TAD6<br>LEI: 635400AKJBGNS5WNQL34 | Long             | DBT              | CORP              | US        |   4000000 | PA      | $4254512.80   | 0.34%             | 2029-09-13      | Fixed         | 6.61%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.             | Federal National Mortgage Association, Inc.             | CUSIP: 3138NJBJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1855822 | PA      | $1835687.89   | 0.15%             | 2027-06-01      | Variable      | 3.04%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.             | Federal National Mortgage Association, Inc.             | CUSIP: 3138Y7CP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2849959 | PA      | $2690341.26   | 0.22%             | 2045-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.             | Federal National Mortgage Association, Inc.             | CUSIP: 31398GU23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     24515 | PA      | $21535.88     | 0.00%             | 2040-02-25      | Floating      | 2.61%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.             | Federal National Mortgage Association, Inc.             | CUSIP: 31407YER6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      8592 | PA      | $8757.18      | 0.00%             | 2035-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.             | Federal National Mortgage Association, Inc.             | CUSIP: 31410RE21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      1369 | PA      | $1427.86      | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Tricon American Homes 2020-SFR1 Trust                   | Tricon American Homes 2020-SFR1 Trust                   | CUSIP: 89613GAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  11591702 | PA      | $11423927.48  | 0.92%             | 2026-07-17      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                   | Treasury, United States Department of                   | CUSIP: 912810SA7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10000000 | PA      | $7456641.00   | 0.60%             | 2048-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                  | Federal Home Loan Mortgage Corporation                  | CUSIP: 3137ABJQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      2089 | PA      | $2086.38      | 0.00%             | 2026-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.             | Federal National Mortgage Association, Inc.             | CUSIP: 31385V5J6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |       433 | PA      | $451.50       | 0.00%             | 2030-10-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.             | Federal National Mortgage Association, Inc.             | CUSIP: 31398PNS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    715362 | PA      | $728410.31    | 0.06%             | 2039-09-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.             | Federal National Mortgage Association, Inc.             | CUSIP: 3140HYB72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  15000000 | PA      | $11840353.50  | 0.96%             | 2035-05-01      | Fixed         | 1.78%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.             | Federal National Mortgage Association, Inc.             | CUSIP: 3140X86L6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   6055498 | PA      | $5843608.61   | 0.47%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PG&E Recovery Funding LLC                               | PG&E Recovery Funding LLC                               | CUSIP: 71710TAF5<br>LEI: 8YQ2GSDWYZXO2EDN3511 | Long             | DBT              | CORP              | US        |   5115000 | PA      | $5130053.45   | 0.42%             | 2047-07-15      | Fixed         | 5.54%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.             | Federal National Mortgage Association, Inc.             | CUSIP: 3136ANYX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1507942 | PA      | $1491823.95   | 0.12%             | 2034-09-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.             | Federal National Mortgage Association, Inc.             | CUSIP: 31409VX32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     10024 | PA      | $10656.94     | 0.00%             | 2036-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                   | Treasury, United States Department of                   | CUSIP: 912828ZE3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  25000000 | PA      | $24133790.00  | 1.95%             | 2027-03-31      | Fixed         | 0.63%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.             | Federal National Mortgage Association, Inc.             | CUSIP: 3136ARX86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   5617703 | PA      | $5459193.89   | 0.44%             | 2036-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.             | Federal National Mortgage Association, Inc.             | CUSIP: 3136B5RA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   8510226 | PA      | $8137319.34   | 0.66%             | 2048-04-25      | Fixed         | 3.07%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                  | Federal Home Loan Mortgage Corporation                  | CUSIP: 3137BPFL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   5594000 | PA      | $4497762.84   | 0.36%             | 2046-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                | CUSIP: 36210YRU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        36 | PA      | $36.70        | 0.00%             | 2029-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                | CUSIP: 38374CBC4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    204540 | PA      | $211367.21    | 0.02%             | 2033-09-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                | CUSIP: 38375QKS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |    390268 | PA      | $24374.19     | 0.00%             | 2038-05-16      | Floating      | 2.55%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                   | Treasury, United States Department of                   | CUSIP: 912810UN6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  52550000 | PA      | $53165822.94  | 4.30%             | 2045-08-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                   | Treasury, United States Department of                   | CUSIP: 912828U24<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   9000000 | PA      | $8880820.20   | 0.72%             | 2026-11-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                  | Federal Home Loan Mortgage Corporation                  | CUSIP: 31283HR72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |       156 | PA      | $163.60       | 0.00%             | 2032-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.             | Federal National Mortgage Association, Inc.             | CUSIP: 3136A3BT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3966810 | PA      | $3927856.29   | 0.32%             | 2032-01-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.             | Federal National Mortgage Association, Inc.             | CUSIP: 3140HUUN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   6877180 | PA      | $6004407.14   | 0.49%             | 2034-09-01      | Fixed         | 2.52%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.             | Federal National Mortgage Association, Inc.             | CUSIP: 3140N14V2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  18562549 | PA      | $18268642.87  | 1.48%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.             | Federal National Mortgage Association, Inc.             | CUSIP: 31410B7K4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |       388 | PA      | $395.28       | 0.00%             | 2036-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.             | Federal National Mortgage Association, Inc.             | CUSIP: 31418FQ91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   8431899 | PA      | $8552164.52   | 0.69%             | 2055-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                | CUSIP: 38379VPS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1284000 | PA      | $1047882.16   | 0.08%             | 2046-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Progress Residential 2022-SFR3 Trust                    | Progress Residential 2022-SFR3 Trust                    | CUSIP: 74331UAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3882682 | PA      | $3833803.08   | 0.31%             | 2027-04-19      | Variable      | 3.20%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust 2019-C53          | Wells Fargo Commercial Mortgage Trust 2019-C53          | CUSIP: 95002BAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6000000 | PA      | $5728420.20   | 0.46%             | 2029-10-17      | Fixed         | 3.04%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.             | Federal National Mortgage Association, Inc.             | CUSIP: 3138Y7C83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1817314 | PA      | $1712484.13   | 0.14%             | 2045-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.             | Federal National Mortgage Association, Inc.             | CUSIP: 31409YAS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      5805 | PA      | $6123.10      | 0.00%             | 2036-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.             | Federal National Mortgage Association, Inc.             | CUSIP: 3140LD2Y4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  10000000 | PA      | $8446234.00   | 0.68%             | 2033-10-01      | Fixed         | 1.94%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                  | Federal Home Loan Mortgage Corporation                  | CUSIP: 35563PX46<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2864074 | PA      | $2490825.16   | 0.20%             | 2064-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Nomura Credit & Capital, Inc.                           | Nomura Credit & Capital, Inc.                           | CUSIP: 62951MAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    896810 | PA      | $772083.30    | 0.06%             | 2034-03-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.             | Federal National Mortgage Association, Inc.             | CUSIP: 31371MY92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      1232 | PA      | $1296.82      | 0.00%             | 2036-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.             | Federal National Mortgage Association, Inc.             | CUSIP: 3138L8JT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2130223 | PA      | $2115723.14   | 0.17%             | 2027-03-01      | Fixed         | 3.33%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                  | Federal Home Loan Mortgage Corporation                  | CUSIP: 31397EQM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |       507 | PA      | $507.30       | 0.00%             | 2027-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.             | Federal National Mortgage Association, Inc.             | CUSIP: 31407TE89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     11070 | PA      | $11282.41     | 0.00%             | 2035-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.             | Federal National Mortgage Association, Inc.             | CUSIP: 31409JQQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     15402 | PA      | $15970.81     | 0.00%             | 2036-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.             | Federal National Mortgage Association, Inc.             | CUSIP: 3140QM4Y7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   5974423 | PA      | $5110869.03   | 0.41%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.             | Federal National Mortgage Association, Inc.             | CUSIP: 31410CRV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |       697 | PA      | $721.63       | 0.00%             | 2036-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.             | Federal National Mortgage Association, Inc.             | CUSIP: 3136AQE97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  13756569 | PA      | $12132621.16  | 0.98%             | 2045-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.             | Federal National Mortgage Association, Inc.             | CUSIP: 31409YGN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     10263 | PA      | $10814.42     | 0.00%             | 2036-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc.                                          | Citigroup Inc.                                          | CUSIP: 172967QF1<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   3100000 | PA      | $3109691.84   | 0.25%             | 2031-09-11      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.             | Federal National Mortgage Association, Inc.             | CUSIP: 3136B5VN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   7600149 | PA      | $6950845.10   | 0.56%             | 2049-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.             | Federal National Mortgage Association, Inc.             | CUSIP: 31371MT31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      5814 | PA      | $6115.04      | 0.00%             | 2036-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings PLC                                       | HSBC Holdings PLC                                       | CUSIP: 404280FE4<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | US        |   3500000 | PA      | $3510271.45   | 0.28%             | 2031-11-06      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                   | Treasury, United States Department of                   | CUSIP: 91282CNT4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10307000 | PA      | $10394368.32  | 0.84%             | 2035-08-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                  | Federal Home Loan Mortgage Corporation                  | CUSIP: 31283HPA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |        66 | PA      | $68.97        | 0.00%             | 2031-10-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                  | Federal Home Loan Mortgage Corporation                  | CUSIP: 3133KHGV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1517844 | PA      | $1417557.32   | 0.11%             | 2050-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.             | Federal National Mortgage Association, Inc.             | CUSIP: 3136ART40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1864187 | PA      | $1766903.47   | 0.14%             | 2045-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.             | Federal National Mortgage Association, Inc.             | CUSIP: 31398NY24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    244296 | PA      | $243861.93    | 0.02%             | 2040-07-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.             | Federal National Mortgage Association, Inc.             | CUSIP: 31412BGV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     48971 | PA      | $50802.37     | 0.00%             | 2036-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae II                                           | Ginnie Mae II                                           | CUSIP: 36179YDD3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1878676 | PA      | $1629474.85   | 0.13%             | 2053-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.             | Federal National Mortgage Association, Inc.             | CUSIP: 31409CXJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     69684 | PA      | $73250.91     | 0.01%             | 2036-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Amazon.com, Inc.                                        | Amazon.com, Inc.                                        | CUSIP: 023135CV6<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |   1655000 | PA      | $1648416.08   | 0.13%             | 2035-11-20      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                  | Federal Home Loan Mortgage Corporation                  | CUSIP: 3133CYPN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   7098550 | PA      | $7102849.13   | 0.57%             | 2054-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                  | Federal Home Loan Mortgage Corporation                  | CUSIP: 3137A0MG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    311017 | PA      | $304969.13    | 0.02%             | 2036-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.             | Federal National Mortgage Association, Inc.             | CUSIP: 31382LNQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      1565 | PA      | $1644.94      | 0.00%             | 2029-03-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.             | Federal National Mortgage Association, Inc.             | CUSIP: 3138Y7DU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    720225 | PA      | $655682.27    | 0.05%             | 2046-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust 2020-GC45                  | GS Mortgage Securities Trust 2020-GC45                  | CUSIP: 36258YBG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10000000 | PA      | $9450696.00   | 0.76%             | 2029-12-14      | Fixed         | 2.91%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.             | Federal National Mortgage Association, Inc.             | CUSIP: 31364EBA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   4000000 | PA      | $3685615.60   | 0.30%             | 2028-03-23      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.             | Federal National Mortgage Association, Inc.             | CUSIP: 3136A9XK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2214894 | PA      | $2035640.04   | 0.16%             | 2042-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.             | Federal National Mortgage Association, Inc.             | CUSIP: 3136B86L8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   9910827 | PA      | $8128046.36   | 0.66%             | 2035-03-25      | Fixed         | 2.01%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.             | Federal National Mortgage Association, Inc.             | CUSIP: 3138WGFX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   4764732 | PA      | $4486873.08   | 0.36%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.             | Federal National Mortgage Association, Inc.             | CUSIP: 3140LFXA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   6416457 | PA      | $6064733.82   | 0.49%             | 2030-09-01      | Fixed         | 2.59%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                | CUSIP: 3617LJHA4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1050157 | PA      | $916582.41    | 0.07%             | 2049-10-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                  | Federal Home Loan Mortgage Corporation                  | CUSIP: 3132DWGH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  21937759 | PA      | $22346637.04  | 1.81%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.             | Federal National Mortgage Association, Inc.             | CUSIP: 3140QQVZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  10374092 | PA      | $10413605.02  | 0.84%             | 2052-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                | CUSIP: 3617K3K73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2731142 | PA      | $2383755.74   | 0.19%             | 2049-11-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| IRV Trust 2025-200P                                     | IRV Trust 2025-200P                                     | CUSIP: 45006HAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3600000 | PA      | $3676130.64   | 0.30%             | 2035-02-15      | Variable      | 5.29%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.             | Federal National Mortgage Association, Inc.             | CUSIP: 31384AG85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |       452 | PA      | $470.54       | 0.00%             | 2030-02-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.             | Federal National Mortgage Association, Inc.             | CUSIP: 31384WCC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |       100 | PA      | $104.10       | 0.00%             | 2031-01-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.             | Federal National Mortgage Association, Inc.             | CUSIP: 31408H4C6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |       404 | PA      | $418.44       | 0.00%             | 2036-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.             | Federal National Mortgage Association, Inc.             | CUSIP: 31393ELR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    679839 | PA      | $673636.25    | 0.05%             | 2043-06-25      | Fixed         | 4.68%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.             | Federal National Mortgage Association, Inc.             | CUSIP: 31407H3T1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      1462 | PA      | $1536.49      | 0.00%             | 2036-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.             | Federal National Mortgage Association, Inc.             | CUSIP: 3140XG6Y0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   6602970 | PA      | $5920455.19   | 0.48%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                | CUSIP: 36213EAG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        94 | PA      | $97.79        | 0.00%             | 2032-05-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                   | Treasury, United States Department of                   | CUSIP: 912810TC2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  42500000 | PA      | $29708494.50  | 2.40%             | 2041-11-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.             | Federal National Mortgage Association, Inc.             | CUSIP: 3136B7AE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1521281 | PA      | $1407522.04   | 0.11%             | 2048-05-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                   | Treasury, United States Department of                   | CUSIP: 9128282R0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  40000000 | PA      | $39221876.00  | 3.17%             | 2027-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.             | Federal National Mortgage Association, Inc.             | CUSIP: 3136BLW22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   7500000 | PA      | $6480347.25   | 0.52%             | 2031-11-25      | Variable      | 1.71%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.             | Federal National Mortgage Association, Inc.             | CUSIP: 31395B2U6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGA              | US        |    224762 | PA      | $187230.38    | 0.02%             | 2036-04-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.             | Federal National Mortgage Association, Inc.             | CUSIP: 31398GA33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     31504 | PA      | $31085.29     | 0.00%             | 2040-02-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                | CUSIP: 36291XZA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       654 | PA      | $681.58       | 0.00%             | 2035-05-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                | CUSIP: 38383RX44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |   3167415 | PA      | $2269993.41   | 0.18%             | 2052-05-20      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Philip Morris International Inc.                        | Philip Morris International Inc.                        | CUSIP: 718172DY2<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |   3100000 | PA      | $3070985.24   | 0.25%             | 2030-10-29      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.             | Federal National Mortgage Association, Inc.             | CUSIP: 3136B6ZZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   4285255 | PA      | $4039154.87   | 0.33%             | 2046-07-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.             | Federal National Mortgage Association, Inc.             | CUSIP: 31371JXB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |       149 | PA      | $157.03       | 0.00%             | 2031-03-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.             | Federal National Mortgage Association, Inc.             | CUSIP: 31403DRX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    886763 | PA      | $932397.38    | 0.08%             | 2036-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.             | Federal National Mortgage Association, Inc.             | CUSIP: 31409TSX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      3115 | PA      | $3233.54      | 0.00%             | 2036-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                  | Federal Home Loan Mortgage Corporation                  | CUSIP: 35563PZ28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   8570082 | PA      | $7840052.45   | 0.63%             | 2064-11-25      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| PRPM 2025-RPL2, LLC                                     | PRPM 2025-RPL2, LLC                                     | CUSIP: 69392MAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3253612 | PA      | $3168860.47   | 0.26%             | 2055-04-25      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                   | Treasury, United States Department of                   | CUSIP: 912810RM2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  27500000 | PA      | $21199706.00  | 1.72%             | 2045-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Worldwide Plaza Trust 2017-WWP                          | Worldwide Plaza Trust 2017-WWP                          | CUSIP: 98162JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1039001 | PA      | $827351.92    | 0.07%             | 2027-11-12      | Fixed         | 3.53%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                  | Federal Home Loan Mortgage Corporation                  | CUSIP: 3132WVBJ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   6348237 | PA      | $5870004.07   | 0.47%             | 2034-04-01      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                  | Federal Home Loan Mortgage Corporation                  | CUSIP: 3137FWGJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   4361327 | PA      | $4245585.72   | 0.34%             | 2050-05-25      | Variable      | 1.17%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                  | Federal Home Loan Mortgage Corporation                  | CUSIP: 3137BKLV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3715000 | PA      | $3142741.03   | 0.25%             | 2045-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.             | Federal National Mortgage Association, Inc.             | CUSIP: 31409JEW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |       932 | PA      | $964.77       | 0.00%             | 2036-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.             | Federal National Mortgage Association, Inc.             | CUSIP: 31410SNJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      3468 | PA      | $3596.42      | 0.00%             | 2036-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GreenSky Home Improvement Issuer Trust 2025-3           | GreenSky Home Improvement Issuer Trust 2025-3           | CUSIP: 39571WAB2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1945000 | PA      | $1936857.65   | 0.16%             | 2060-12-27      | Fixed         | 4.59%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.             | Federal National Mortgage Association, Inc.             | CUSIP: 3136BVYZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1488384 | PA      | $1355415.70   | 0.11%             | 2054-09-25      | Fixed         | 0.50%                 | No            |                  3 | On Loan: No      |
| Federal National Mortgage Association, Inc.             | Federal National Mortgage Association, Inc.             | CUSIP: 31392B6V3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1108473 | PA      | $1172729.43   | 0.09%             | 2041-12-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                  | Federal Home Loan Mortgage Corporation                  | CUSIP: 31287TPP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |       126 | PA      | $133.14       | 0.00%             | 2032-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.             | Federal National Mortgage Association, Inc.             | CUSIP: 31409UFN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     14028 | PA      | $14887.53     | 0.00%             | 2036-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                   | Treasury, United States Department of                   | CUSIP: 912810SL3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  30000000 | PA      | $17635548.00  | 1.43%             | 2050-02-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.             | Federal National Mortgage Association, Inc.             | CUSIP: 31393XV87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1320462 | PA      | $1322285.64   | 0.11%             | 2034-05-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.             | Federal National Mortgage Association, Inc.             | CUSIP: 31409HBN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      9049 | PA      | $9378.61      | 0.00%             | 2036-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.             | Federal National Mortgage Association, Inc.             | CUSIP: 31410FCT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |       533 | PA      | $551.99       | 0.00%             | 2036-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Marvell Technology, Inc.                                | Marvell Technology, Inc.                                | CUSIP: 573874AP9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3100000 | PA      | $3236905.30   | 0.26%             | 2029-02-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: —       |
| Morgan Stanley Mortgage Loan Trust 2004-8AR             | Morgan Stanley Mortgage Loan Trust 2004-8AR             | CUSIP: 61748HEG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     26111 | PA      | $25188.68     | 0.00%             | 2034-10-25      | Variable      | 5.28%                 | No            |                  2 | On Loan: No      |
| Santander UK Group Holdings PLC                         | Santander UK Group Holdings PLC                         | CUSIP: 80281LAV7<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | US        |   3500000 | PA      | $3648445.85   | 0.30%             | 2031-04-15      | Fixed         | 5.69%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Company                                   | Wells Fargo & Company                                   | CUSIP: 95000U4A8<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   3100000 | PA      | $3096690.75   | 0.25%             | 2029-09-15      | Fixed         | 4.08%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.             | Federal National Mortgage Association, Inc.             | CUSIP: 3136AASU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2769246 | PA      | $2652705.61   | 0.21%             | 2032-12-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.             | Federal National Mortgage Association, Inc.             | CUSIP: 31409GHL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      2746 | PA      | $2846.56      | 0.00%             | 2036-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MVW 2025-2 LLC                                          | MVW 2025-2 LLC                                          | CUSIP: 55389RAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5460418 | PA      | $5473093.97   | 0.44%             | 2044-10-20      | Fixed         | 4.48%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                   | Treasury, United States Department of                   | CUSIP: 912810RC4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  12735000 | PA      | $11013785.79  | 0.89%             | 2043-08-15      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                   | Treasury, United States Department of                   | CUSIP: 91282CHK0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  20000000 | PA      | $20233594.00  | 1.64%             | 2028-06-30      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                  | Federal Home Loan Mortgage Corporation                  | CUSIP: 3137H7QH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   4265000 | PA      | $3882441.87   | 0.31%             | 2032-05-25      | Fixed         | 2.58%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                | CUSIP: 38375B4Y5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    650323 | PA      | $651102.45    | 0.05%             | 2063-07-20      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust 2006-OA9                         | Alternative Loan Trust 2006-OA9                         | CUSIP: 02146YAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    119769 | PA      | $106979.02    | 0.01%             | 2046-07-20      | Floating      | 3.78%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                  | Federal Home Loan Mortgage Corporation                  | CUSIP: 3128M6LG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    496437 | PA      | $516399.58    | 0.04%             | 2038-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.             | Federal National Mortgage Association, Inc.             | CUSIP: 31371H4K1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |       371 | PA      | $385.02       | 0.00%             | 2029-12-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.             | Federal National Mortgage Association, Inc.             | CUSIP: 3140W1MC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   5927088 | PA      | $6072749.94   | 0.49%             | 2055-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.             | Federal National Mortgage Association, Inc.             | CUSIP: 3136AMN70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3439234 | PA      | $3396244.91   | 0.27%             | 2035-04-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.             | Federal National Mortgage Association, Inc.             | CUSIP: 31409YH91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      5471 | PA      | $5674.06      | 0.00%             | 2036-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                | CUSIP: 3617K3HJ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3741918 | PA      | $3265966.52   | 0.26%             | 2050-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                | CUSIP: 38375JDM4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    454382 | PA      | $469627.26    | 0.04%             | 2037-01-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Hilton Grand Vacations Trust 2025-2                     | Hilton Grand Vacations Trust 2025-2                     | CUSIP: 43285JAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2547301 | PA      | $2557494.00   | 0.21%             | 2044-05-25      | Fixed         | 4.54%                 | No            |                  2 | On Loan: No      |
| Tennessee Valley Authority                              | Tennessee Valley Authority                              | CUSIP: 88059EPH1<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGA              | US        |   6000000 | PA      | $3504048.00   | 0.28%             | 2037-07-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                   | Treasury, United States Department of                   | CUSIP: 912810RD2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  48000000 | PA      | $42144374.40  | 3.41%             | 2043-11-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.             | Federal National Mortgage Association, Inc.             | CUSIP: 3138ENMB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  11382885 | PA      | $11096962.01  | 0.90%             | 2042-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.             | Federal National Mortgage Association, Inc.             | CUSIP: 31410CAN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      5113 | PA      | $5282.89      | 0.00%             | 2036-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                | CUSIP: 36292BPD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     58798 | PA      | $61308.42     | 0.00%             | 2035-07-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Company                        | Pacific Gas and Electric Company                        | CUSIP: 694308KL0<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   3100000 | PA      | $3243990.66   | 0.26%             | 2029-01-15      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                   | Treasury, United States Department of                   | CUSIP: 91282CFU0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10000000 | PA      | $10110938.00  | 0.82%             | 2027-10-31      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                  | Federal Home Loan Mortgage Corporation                  | CUSIP: 31329NGV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3581087 | PA      | $3337763.55   | 0.27%             | 2046-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.             | Federal National Mortgage Association, Inc.             | CUSIP: 3140XHH59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   8824197 | PA      | $8155681.17   | 0.66%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.             | Federal National Mortgage Association, Inc.             | CUSIP: 31411FQW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     24899 | PA      | $26299.70     | 0.00%             | 2036-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                | CUSIP: 36290TA66<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     34805 | PA      | $36273.09     | 0.00%             | 2034-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                | CUSIP: 36291PBB1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5502 | PA      | $5747.54      | 0.00%             | 2034-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                | CUSIP: 36291W6A4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5830 | PA      | $6032.55      | 0.00%             | 2035-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                | CUSIP: 38376LL56<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |    797387 | PA      | $68886.22     | 0.01%             | 2041-07-20      | Floating      | 2.28%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.             | Federal National Mortgage Association, Inc.             | CUSIP: 3140LGR53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1822000 | PA      | $1749786.67   | 0.14%             | 2032-06-01      | Fixed         | 3.54%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.             | Federal National Mortgage Association, Inc.             | CUSIP: 31410CAA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      1121 | PA      | $1160.70      | 0.00%             | 2036-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.             | Federal National Mortgage Association, Inc.             | CUSIP: 31410RNM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      5191 | PA      | $5474.99      | 0.00%             | 2036-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                | CUSIP: 3617WTN47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6283617 | PA      | $5649386.66   | 0.46%             | 2051-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Bank 2020-BNK26                                         | Bank 2020-BNK26                                         | CUSIP: 06540JBG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $4586585.50   | 0.37%             | 2030-02-15      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.             | Federal National Mortgage Association, Inc.             | CUSIP: 3136A8SS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   4000000 | PA      | $3294737.20   | 0.27%             | 2042-09-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                  | Federal Home Loan Mortgage Corporation                  | CUSIP: 31396GJN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |        38 | PA      | $37.63        | 0.00%             | 2026-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Resolution Funding Corporation                          | Resolution Funding Corporation                          | CUSIP: 76116FAB3<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |  20660000 | PA      | $17674776.69  | 1.43%             | 2030-01-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                   | Treasury, United States Department of                   | CUSIP: 91282CDL2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  20000000 | PA      | $18876562.00  | 1.53%             | 2028-11-30      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                  | Federal Home Loan Mortgage Corporation                  | CUSIP: 31297KHR6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    136526 | PA      | $139200.49    | 0.01%             | 2034-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal Farm Credit Banks Funding Corporation           | Federal Farm Credit Banks Funding Corporation           | CUSIP: 3133EHHE6<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   7500000 | PA      | $6767136.00   | 0.55%             | 2037-04-28      | Fixed         | 3.33%                 | No            |                  2 | On Loan: No      |
| FHLBanks Office of Finance                              | FHLBanks Office of Finance                              | CUSIP: 3133XG6E9<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGA              | US        |   5000000 | PA      | $5045756.50   | 0.41%             | 2026-06-12      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                  | Federal Home Loan Mortgage Corporation                  | CUSIP: 3137BCP85<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2277242 | PA      | $2159309.90   | 0.17%             | 2040-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                | CUSIP: 3617K3LF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1695364 | PA      | $1455512.07   | 0.12%             | 2049-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BBCMS Trust 2015-VFM                                    | BBCMS Trust 2015-VFM                                    | CUSIP: 05546JAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    106012 | PA      | $105560.56    | 0.01%             | 2026-03-12      | Fixed         | 2.47%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.             | Federal National Mortgage Association, Inc.             | CUSIP: 3136B8G60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   7734605 | PA      | $6314491.06   | 0.51%             | 2050-03-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.             | Federal National Mortgage Association, Inc.             | CUSIP: 3136AW5J2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2619389 | PA      | $2365690.91   | 0.19%             | 2047-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                  | Federal Home Loan Mortgage Corporation                  | CUSIP: 3137ASW26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1666076 | PA      | $1587839.64   | 0.13%             | 2042-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                  | Federal Home Loan Mortgage Corporation                  | CUSIP: 3137FQXD0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3869016 | PA      | $3386500.58   | 0.27%             | 2049-09-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust 2020-GC46           | Citigroup Commercial Mortgage Trust 2020-GC46           | CUSIP: 17328RAZ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8750000 | PA      | $8137990.00   | 0.66%             | 2030-02-15      | Fixed         | 2.72%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.             | Federal National Mortgage Association, Inc.             | CUSIP: 31384VNL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |       876 | PA      | $911.15       | 0.00%             | 2030-01-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                  | Federal Home Loan Mortgage Corporation                  | CUSIP: 31396AVS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2300285 | PA      | $2337610.24   | 0.19%             | 2035-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.             | Federal National Mortgage Association, Inc.             | CUSIP: 3140FXKX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3440820 | PA      | $3333952.19   | 0.27%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                  | Federal Home Loan Mortgage Corporation                  | CUSIP: 35563PPE3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   5804305 | PA      | $5162155.42   | 0.42%             | 2059-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                | CUSIP: 36200AZ28<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       193 | PA      | $200.99       | 0.00%             | 2035-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust 2006-OA17                        | Alternative Loan Trust 2006-OA17                        | CUSIP: 12668PAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    231386 | PA      | $211625.04    | 0.02%             | 2046-12-20      | Floating      | 3.93%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.             | Federal National Mortgage Association, Inc.             | CUSIP: 3138Y7CQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    686832 | PA      | $659583.37    | 0.05%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.             | Federal National Mortgage Association, Inc.             | CUSIP: 31407PLG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     10512 | PA      | $11061.07     | 0.00%             | 2035-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                  | Federal Home Loan Mortgage Corporation                  | CUSIP: 3137BGD55<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   5143000 | PA      | $4199700.26   | 0.34%             | 2045-02-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.             | Federal National Mortgage Association, Inc.             | CUSIP: 31408FKM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    184213 | PA      | $190849.94    | 0.02%             | 2036-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                | CUSIP: 36241KHK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     54229 | PA      | $56557.59     | 0.00%             | 2036-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                  | Federal Home Loan Mortgage Corporation                  | CUSIP: 3137FQJK0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   5230079 | PA      | $4597049.81   | 0.37%             | 2049-10-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                  | Federal Home Loan Mortgage Corporation                  | CUSIP: 31397EXZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    298561 | PA      | $308234.66    | 0.02%             | 2036-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.             | Federal National Mortgage Association, Inc.             | CUSIP: 31409HAZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |       700 | PA      | $725.13       | 0.00%             | 2036-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.             | Federal National Mortgage Association, Inc.             | CUSIP: 3140LEGK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  35000000 | PA      | $30836869.00  | 2.49%             | 2031-12-01      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.             | Federal National Mortgage Association, Inc.             | CUSIP: 3136B8FR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   4040871 | PA      | $3632622.91   | 0.29%             | 2049-09-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.             | Federal National Mortgage Association, Inc.             | CUSIP: 31407TGQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |       787 | PA      | $802.52       | 0.00%             | 2035-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.             | Federal National Mortgage Association, Inc.             | CUSIP: 31409WVM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |       884 | PA      | $926.99       | 0.00%             | 2036-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                   | Treasury, United States Department of                   | CUSIP: 91282CHC8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5800000 | PA      | $5581140.48   | 0.45%             | 2033-05-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                   | Treasury, United States Department of                   | CUSIP: 91282CNX5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5155000 | PA      | $5138488.02   | 0.42%             | 2030-08-31      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                  | Federal Home Loan Mortgage Corporation                  | CUSIP: 31296LZK0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     33655 | PA      | $34275.47     | 0.00%             | 2033-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.             | Federal National Mortgage Association, Inc.             | CUSIP: 31375QVC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |        22 | PA      | $21.53        | 0.00%             | 2026-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.             | Federal National Mortgage Association, Inc.             | CUSIP: 31394UPE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    600265 | PA      | $616066.04    | 0.05%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.             | Federal National Mortgage Association, Inc.             | CUSIP: 31407HXQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      3085 | PA      | $3197.82      | 0.00%             | 2036-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                | CUSIP: 38385G2J7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3813882 | PA      | $3748289.30   | 0.30%             | 2055-06-20      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| JNL Government Money Market Fund                        | JNL Government Money Market Fund                        | CUSIP: 46628D437<br>LEI: N/A                  | Long             | STIV             | RF                | US        |   8566544 | NS      | $8566544.18   | 0.69%             |  |  |  | No            |                  1 | On Loan: No      |
| CF Hippolyta Issuer LLC                                 | CF Hippolyta Issuer LLC                                 | CUSIP: 12530MAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4444195 | PA      | $3742339.16   | 0.30%             | 2060-07-15      | Fixed         | 1.69%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                  | Federal Home Loan Mortgage Corporation                  | CUSIP: 3128HXMV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   4008969 | PA      | $3727607.39   | 0.30%             | 2042-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.             | Federal National Mortgage Association, Inc.             | CUSIP: 31410PNL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      3449 | PA      | $3582.06      | 0.00%             | 2036-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                | CUSIP: 38374UC74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    860836 | PA      | $859082.15    | 0.07%             | 2039-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                          | Morgan Stanley                                          | CUSIP: 61748UAM4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   3150000 | PA      | $3140350.92   | 0.25%             | 2031-10-22      | Fixed         | 4.36%                 | No            |                  2 | On Loan: No      |
| Progress Residential 2024-SFR5 Trust                    | Progress Residential 2024-SFR5 Trust                    | CUSIP: 74334GAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   7973816 | PA      | $7606739.73   | 0.62%             | 2042-04-17      | Fixed         | 3.31%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                   | Treasury, United States Department of                   | CUSIP: 912810SJ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5000000 | PA      | $3143750.00   | 0.25%             | 2049-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                   | Treasury, United States Department of                   | CUSIP: 91282CNC1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  24810000 | PA      | $25049376.80  | 2.03%             | 2035-05-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Meta Platforms, Inc.                                    | Meta Platforms, Inc.                                    | CUSIP: 30303MAD4<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |   1732000 | PA      | $1729786.50   | 0.14%             | 2035-11-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                  | Federal Home Loan Mortgage Corporation                  | CUSIP: 31283HQ32<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      2250 | PA      | $2372.23      | 0.00%             | 2032-03-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.             | Federal National Mortgage Association, Inc.             | CUSIP: 31371MGH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     11234 | PA      | $11794.42     | 0.00%             | 2035-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                  | Federal Home Loan Mortgage Corporation                  | CUSIP: 3137A0AV7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    246457 | PA      | $252427.65    | 0.02%             | 2040-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.             | Federal National Mortgage Association, Inc.             | CUSIP: 31398F7A3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     67048 | PA      | $70155.48     | 0.01%             | 2049-12-25      | Variable      | 5.99%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.             | Federal National Mortgage Association, Inc.             | CUSIP: 31407SES7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     15512 | PA      | $16228.94     | 0.00%             | 2035-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.             | Federal National Mortgage Association, Inc.             | CUSIP: 3140XJLS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  19006831 | PA      | $18747467.75  | 1.52%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                  | Federal Home Loan Mortgage Corporation                  | CUSIP: 31427GW26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   4740738 | PA      | $4810874.15   | 0.39%             | 2055-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                | CUSIP: 36200NBT7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       730 | PA      | $759.22       | 0.00%             | 2034-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                | CUSIP: 36291X3M9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11604 | PA      | $12130.08     | 0.00%             | 2035-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                  | Federal Home Loan Mortgage Corporation                  | CUSIP: 31335A5C8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1731133 | PA      | $1588154.00   | 0.13%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.             | Federal National Mortgage Association, Inc.             | CUSIP: 31407FEN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |       756 | PA      | $794.46       | 0.00%             | 2035-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                  | Federal Home Loan Mortgage Corporation                  | CUSIP: 31292HN42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      2790 | PA      | $2950.41      | 0.00%             | 2032-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                  | Federal Home Loan Mortgage Corporation                  | CUSIP: 3137AQSD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    270358 | PA      | $269719.11    | 0.02%             | 2041-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.             | Federal National Mortgage Association, Inc.             | CUSIP: 31410SPC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |       501 | PA      | $528.76       | 0.00%             | 2036-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                  | Federal Home Loan Mortgage Corporation                  | CUSIP: 31293EGS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      4968 | PA      | $5100.66      | 0.00%             | 2028-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.             | Federal National Mortgage Association, Inc.             | CUSIP: 3136APDQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   5051066 | PA      | $4820991.46   | 0.39%             | 2035-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                  | Federal Home Loan Mortgage Corporation                  | CUSIP: 31393WZN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    256508 | PA      | $260668.65    | 0.02%             | 2033-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust 2017-GS7                   | GS Mortgage Securities Trust 2017-GS7                   | CUSIP: 36254CAV2<br>LEI: 549300WZ62L3Y22NOZ64 | Long             | ABS-MBS          | CORP              | US        |  10500000 | PA      | $10375883.70  | 0.84%             | 2027-07-12      | Fixed         | 3.43%                 | No            |                  2 | On Loan: No      |
| Lendmark Funding Trust 2021-1                           | Lendmark Funding Trust 2021-1                           | CUSIP: 525951AA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   6420000 | PA      | $6413113.91   | 0.52%             | 2035-05-21      | Fixed         | 4.51%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                   | Treasury, United States Department of                   | CUSIP: 912828V98<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  65000000 | PA      | $64091014.00  | 5.19%             | 2027-02-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.             | Federal National Mortgage Association, Inc.             | CUSIP: 3136AY2C6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1823439 | PA      | $1800273.25   | 0.15%             | 2027-09-25      | Variable      | 2.94%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.             | Federal National Mortgage Association, Inc.             | CUSIP: 31394EFT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     41611 | PA      | $42499.59     | 0.00%             | 2035-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                  | Federal Home Loan Mortgage Corporation                  | CUSIP: 31397JNJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    213132 | PA      | $223005.15    | 0.02%             | 2037-07-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.             | Federal National Mortgage Association, Inc.             | CUSIP: 3140M5PP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  10605590 | PA      | $10629413.74  | 0.86%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.             | Federal National Mortgage Association, Inc.             | CUSIP: 3140XH4D6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  11889670 | PA      | $11949817.97  | 0.97%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                | CUSIP: 38374EW60<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    301908 | PA      | $309407.80    | 0.03%             | 2033-12-16      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| T-Mobile USA, Inc.                                      | T-Mobile USA, Inc.                                      | CUSIP: 87264ABF1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |  10000000 | PA      | $9824300.00   | 0.79%             | 2030-04-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                   | Treasury, United States Department of                   | CUSIP: 912810TS7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5000000 | PA      | $4493750.00   | 0.36%             | 2043-05-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.             | Federal National Mortgage Association, Inc.             | CUSIP: 3136B7S77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   9000000 | PA      | $7906447.80   | 0.64%             | 2034-04-25      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                  | Federal Home Loan Mortgage Corporation                  | CUSIP: 3137FQA37<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3055436 | PA      | $2710081.32   | 0.22%             | 2049-10-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                | CUSIP: 38377QQD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10026758 | PA      | $10055038.27  | 0.81%             | 2040-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments II Trust 2006-AR7 | Structured Asset Mortgage Investments II Trust 2006-AR7 | CUSIP: 86361HAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    198241 | PA      | $161534.36    | 0.01%             | 2036-08-25      | Floating      | 2.37%                 | No            |                  2 | On Loan: No      |
| AerCap Ireland Capital Designated Activity Company      | AerCap Ireland Capital Designated Activity Company      | CUSIP: 00774MAE5<br>LEI: 549300TI38531ODB1G63 | Long             | DBT              | CORP              | US        |   3750000 | PA      | $3731806.50   | 0.30%             | 2028-01-23      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.             | Federal National Mortgage Association, Inc.             | CUSIP: 3136AGG48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3840082 | PA      | $3733265.55   | 0.30%             | 2033-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.             | Federal National Mortgage Association, Inc.             | CUSIP: 31392JYP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    309229 | PA      | $316650.86    | 0.03%             | 2042-06-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.             | Federal National Mortgage Association, Inc.             | CUSIP: 31410DUT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      2261 | PA      | $2377.73      | 0.00%             | 2036-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Bridge 2025-SFR1 Trust                                  | Bridge 2025-SFR1 Trust                                  | CUSIP: 10807GAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5112390 | PA      | $4942098.60   | 0.40%             | 2030-09-17      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.             | Federal National Mortgage Association, Inc.             | CUSIP: 3140HVY57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   9848013 | PA      | $8550839.29   | 0.69%             | 2034-10-01      | Fixed         | 2.41%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.             | Federal National Mortgage Association, Inc.             | CUSIP: 3136AYEY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   5061314 | PA      | $4582725.26   | 0.37%             | 2037-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.             | Federal National Mortgage Association, Inc.             | CUSIP: 31385CWQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |        93 | PA      | $95.38        | 0.00%             | 2030-05-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                  | Federal Home Loan Mortgage Corporation                  | CUSIP: 31397RCQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    129058 | PA      | $131572.19    | 0.01%             | 2037-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.             | Federal National Mortgage Association, Inc.             | CUSIP: 31410BHZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      5527 | PA      | $5832.05      | 0.00%             | 2036-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.             | Federal National Mortgage Association, Inc.             | CUSIP: 31410CSN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      1411 | PA      | $1462.71      | 0.00%             | 2036-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                | CUSIP: 36211SD95<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     29904 | PA      | $31210.61     | 0.00%             | 2035-05-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SACO I Trust 2006-6                                     | SACO I Trust 2006-6                                     | CUSIP: 785779AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       807 | PA      | $9866.27      | 0.00%             | 2036-06-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Company                                   | Wells Fargo & Company                                   | CUSIP: 95000U3W1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   3050000 | PA      | $3147870.84   | 0.25%             | 2031-04-23      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                | CUSIP: 38379FBM0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  12871883 | PA      | $10864944.05  | 0.88%             | 2045-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                  | Federal Home Loan Mortgage Corporation                  | CUSIP: 3137H93C1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   6000000 | PA      | $5741013.60   | 0.46%             | 2032-08-25      | Fixed         | 3.53%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.             | Federal National Mortgage Association, Inc.             | CUSIP: 31398SMF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1398399 | PA      | $1359617.48   | 0.11%             | 2040-12-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                | CUSIP: 36201X7H5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1339 | PA      | $1389.90      | 0.00%             | 2034-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.             | Federal National Mortgage Association, Inc.             | CUSIP: 3136A6MJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    376257 | PA      | $365436.21    | 0.03%             | 2042-04-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                  | Federal Home Loan Mortgage Corporation                  | CUSIP: 31392XUX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     40347 | PA      | $40451.06     | 0.00%             | 2032-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.             | Federal National Mortgage Association, Inc.             | CUSIP: 3140HY4K1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   5121517 | PA      | $4018338.89   | 0.33%             | 2037-06-01      | Fixed         | 2.04%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc., The                          | Goldman Sachs Group, Inc., The                          | CUSIP: 38141GD35<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   3150000 | PA      | $3140974.94   | 0.25%             | 2031-10-21      | Fixed         | 4.37%                 | No            |                  2 | On Loan: No      |
| MASTR Adjustable Rate Mortgages Trust 2004-10           | MASTR Adjustable Rate Mortgages Trust 2004-10           | CUSIP: 576433JG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    176761 | PA      | $152719.09    | 0.01%             | 2034-02-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.             | Federal National Mortgage Association, Inc.             | CUSIP: 31408GPU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      1850 | PA      | $1852.23      | 0.00%             | 2035-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.             | Federal National Mortgage Association, Inc.             | CUSIP: 3140H6EN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1156626 | PA      | $1123744.95   | 0.09%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.             | Federal National Mortgage Association, Inc.             | CUSIP: 31410CMB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      7150 | PA      | $7402.93      | 0.00%             | 2036-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.             | Federal National Mortgage Association, Inc.             | CUSIP: 31418AQ35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3784206 | PA      | $3589710.22   | 0.29%             | 2043-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                  | Federal Home Loan Mortgage Corporation                  | CUSIP: 31427HRK0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3740743 | PA      | $3796025.84   | 0.31%             | 2055-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                          | Morgan Stanley                                          | CUSIP: 6174468L6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   4300000 | PA      | $4031187.65   | 0.33%             | 2031-01-22      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Avolon Holdings Funding Limited                         | Avolon Holdings Funding Limited                         | CUSIP: 05401AAU5<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | US        |   3750000 | PA      | $3877312.50   | 0.31%             | 2029-03-01      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.             | Federal National Mortgage Association, Inc.             | CUSIP: 3136ANVA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   4156205 | PA      | $4013993.38   | 0.32%             | 2035-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.             | Federal National Mortgage Association, Inc.             | CUSIP: 3140XJR21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3469283 | PA      | $3348973.17   | 0.27%             | 2050-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.             | Federal National Mortgage Association, Inc.             | CUSIP: 31410BY24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     10311 | PA      | $10693.77     | 0.00%             | 2036-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.             | Federal National Mortgage Association, Inc.             | CUSIP: 31419JR83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1118243 | PA      | $1140373.64   | 0.09%             | 2040-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SCF Equipment Leasing 2025-2 LLC                        | SCF Equipment Leasing 2025-2 LLC                        | CUSIP: 78439XAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   6605000 | PA      | $6622013.82   | 0.54%             | 2030-08-20      | Fixed         | 4.33%                 | No            |                  2 | On Loan: No      |
| Bank of America Corporation                             | Bank of America Corporation                             | CUSIP: 06051GLH0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   4000000 | PA      | $4132198.80   | 0.33%             | 2034-04-25      | Fixed         | 5.29%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.             | Federal National Mortgage Association, Inc.             | CUSIP: 31386JEK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      2929 | PA      | $3027.82      | 0.00%             | 2031-01-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.             | Federal National Mortgage Association, Inc.             | CUSIP: 3140XJQF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  19449399 | PA      | $19190074.59  | 1.55%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| U.S. Department of Veterans Affairs                     | U.S. Department of Veterans Affairs                     | CUSIP: 911760QP4<br>LEI: 549300MGSV36CLTS9L88 | Long             | ABS-MBS          | CORP              | US        |    236343 | PA      | $240317.12    | 0.02%             | 2031-02-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                   | Treasury, United States Department of                   | CUSIP: 912810TQ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  13000000 | PA      | $11720820.80  | 0.95%             | 2043-02-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                | CUSIP: 3617K3KR9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4241671 | PA      | $3702153.31   | 0.30%             | 2049-09-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                  | Federal Home Loan Mortgage Corporation                  | CUSIP: 3137B2G87<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3444434 | PA      | $3358551.16   | 0.27%             | 2033-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                  | Federal Home Loan Mortgage Corporation                  | CUSIP: 31395LE98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    370771 | PA      | $377700.17    | 0.03%             | 2035-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.             | Federal National Mortgage Association, Inc.             | CUSIP: 31410MXH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      4231 | PA      | $4463.13      | 0.00%             | 2036-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                | CUSIP: 36291EUP4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2295 | PA      | $2390.81      | 0.00%             | 2034-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                   | Treasury, United States Department of                   | CUSIP: 91282CLF6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10000000 | PA      | $9856250.00   | 0.80%             | 2034-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                  | Federal Home Loan Mortgage Corporation                  | CUSIP: 31292K7A9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    249211 | PA      | $249748.27    | 0.02%             | 2040-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.             | Federal National Mortgage Association, Inc.             | CUSIP: 31386M3S7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      1731 | PA      | $1832.52      | 0.00%             | 2031-02-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.             | Federal National Mortgage Association, Inc.             | CUSIP: 31409FFG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      2225 | PA      | $2346.33      | 0.00%             | 2036-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Securities (USA) LLC                      | Credit Suisse Securities (USA) LLC                      | CUSIP: 22541SZL5<br>LEI: 1V8Y6QCX6YMJ2OELII46 | Long             | ABS-MBS          | CORP              | US        |    103711 | PA      | $102731.94    | 0.01%             | 2034-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.             | Federal National Mortgage Association, Inc.             | CUSIP: 3136B3XY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2826817 | PA      | $2796771.25   | 0.23%             | 2028-09-25      | Variable      | 3.56%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.             | Federal National Mortgage Association, Inc.             | CUSIP: 31409CHA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     24075 | PA      | $25594.77     | 0.00%             | 2036-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.             | Federal National Mortgage Association, Inc.             | CUSIP: 31410GJA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    303218 | PA      | $314064.69    | 0.03%             | 2035-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2026-02-25

**Name of Applicant:** JNL Series Trust

**Signature:** Andrew Tedeschi

**Name of Signer:** Andrew Tedeschi

**Title:** Principal Financial Officer